Faculty of Economics and Commerce Department of Finance

Jonathan Dark
Senior Lecturer

Qualifications

BCom(Hons) Ec, PhD Newcastle

Research Interests

Dynamic hedging strategies, value at risk and time varying beta estimation.
The research has focused on the importance of long memory in volatility, time varying higher order moments and price limits.

Grants and Awards

Barclays

Publications

Journal Articles
  1. Brooks, R., Dark, J., Faff, R., Fry, T. and Maldonado-Rey, D. Forthcoming. "A Comparison of Two Time Varying Beta Estimators for Latin American Stocks", Emerging Markets Letters,
  2. Raghavan, M. and Dark, J. Forthcoming. "Return and Volatility Spillovers between the Foreign Exchange Market and the Australian All Ordinaries Index", The ICFAI Journal of Applied Finance,,
  3. Dark, J. 2007. "Basis convergence and long memory in volatility when dynamic hedging with futures", Journal of Financial and Quantitative Analysis, 4 (42): pp. 1021-1040.
  4. Dark, J. 2005. "A Critique of Minimum Variance hedging", Accounting Research Journal, 1 (18): pp. 40-49.
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