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Professor Francis In

BAlsc Seoul National Uni MEc Monash PhD Cornell

Professor Francis In

Francis In is currently Professor of Finance in the Department of Accounting and Finance at Monash University. He has published over forty articles in academic refereed journals and he has taught for the past fifteen years (University of New England and Deakin University), including US colleges (Macalester and Bethel Colleges). During 1999, he was a Visiting Research Fellow at the University of Rochester (New York) and University of Montreal, Quebec and Canada, respectively. Currently he is undertaking research in the areas of asset pricing theory, the term structure of interest rates, time-series modeling of financial market volatility, optimal consumption and portfolio choices, performance of mutual fund management, dynamic modeling of credit default swap spreads, credit risk and wavelet analysis in finance. A major theme in his recent research concerns wavelet analysis and its application to finance. He currently has several wavelet-based publications including the Journal of Business, Studies in Nonlinear Dynamics and Econometrics, Journal of Portfolio Management and the Journal of Empirical Finance.

Research: Intertemporal asset pricing theory, the term structure of interest rates, time-series modeling of financial market volatility, optimal consumption and portfolio choices, performance of mutual and hedging fund management, dynamic modeling of credit default swap spreads, credit risk and wavelet analysis in finance.
Teaching:

AFC3540 Advanced Modeling in Finance
AFC4354 Advanced Modeling in Finance (Honours)
AFC3240 International Finance
AFC3244 International Finance (Honours)
AFC4240 Mathematical Finance

Address: Department of Accounting and Finance
Monash University
Clayton Vic 3800
Australia
Located at: Room 953, Building 11 (Menzies), Clayton Campus
Tel: +61 3 9905 1561
Fax: +61 3 9905 5475
Email: Francis.In@BusEco.monash.edu.au

Recent Publications:

F. In and J. Yoon, Determination of asset prices with an investment-specific technology model: implications for the equity premium puzzle, Journal of Economic Dynamics and Control (accepted: September 20th 2006).

 F. In, Volatility Spillovers Across International Swap Markets VAR-EGARCH (1,1) Approach, Journal of International Money and Finance (accepted: September 17th  2005 and forthcoming 2006).

 F. In and S. Kim, The Hedge Ratio and the Empirical Relationship between the Stock and Futures Markets: A New Approach Using Wavelet Analysis, Journal of Business, Volume 79, number 2, 2006, 799-820.

F. In and S. Kim, Multiscale Hedge Ratio between Stock and Futures Markets: Evidence from the Wavelet Analysis, Journal of Multinational Financial Management, 16, 2006, 411- 423.

S. Kim and F. In, The Relation between Stock Returns and Inflation: New Evidence from Wavelet Analysis, Journal of   Empirical Finance, 12, 2005, 435-444.

S. Kim and F. In, Multihorizon Sharpe Ratio, Journal of Portfolio Management, Volume 31, Number 2, winter 2005 issue, pp105-111.

S. Kim and F. In, Financial Variables and Real Activity, Studies in Nonlinear Dynamics and Econometrics, Vol. 7, no.4, 2003, article 4.

F. In, R. Brown and V. Fang, Links among Interest Rate Swap Markets: the U.S., U.K., and Japan, Journal of Fixed Income, Volume 13, Number 3, December, 2003, pp 84-95.

F. In, J. Batten and S. Kim, What Drives the Term and Risk Structure of Japanese Bonds? Quarterly Review of Economics and Finance, Vol. 43, 2003, pp. 518-541.

S. Kim and F. In, The Influence of Foreign Stock Markets and Macroeconomic News Announcements on Australian Financial Markets, Pacific-Basin Finance Journal, 10, August 2002, pp. 353-365.