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Roselyne Joyeux

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  • Title: Doctor
  • Position: Associate Professor - Department of Economics
  • Qualifications: BA Aix-Marseilles, MA Calif., PhD Calif.

Contact Details

Areas of Expertise

  • Econometrics
  • non stationary time series analysis

Profile

Roselyne Joyeux received a PhD in Economics and a Master degree in Mathematics from the University of California at San Diego. She has held positions at Cornell University, the University of Auckland, the Centre for Operations Research and Econometrics at the University of Louvain-la-Neuve and the GREQAM at the University of Provence. She has also taught for the European Consortium for Political Research at the University of Essex.

Publications

Refereed Journal Articles

  • Forecasting Demand for Australian Passports, Asia Pacific Journal of Tourism Research forthcoming, with G. Milunovich and J. Rigg.
  • Energy Consumption and Real Income: A Panel Cointegration Multi-country Study, The Energy Journal, 32, 107-142, 2011, with R. Ripple
  • A Generalization of the Concept of Cointegration to Harmonizable and Class (KF) Processes, European Journal of Pure and Applied Mathematics, 3, 519-530, 2010.
  • Interest Rates Linkages Between the US, UK and German Interest Rates: Should the UK join the European Monetary Union?, International Review of Applied Economics, 24, 2010, with W.A.Bryant.
  • Long Memory Processes: A Joint Paper with Clive Granger, Journal of Financial Econometrics, 8, 184-186, 2010.
  • International Steam Coal Market Integration, The Energy Journal, 31, 179-200, 2010, with R. Li and R. Ripple.
  • Testing Market Efficiency in the EU Carbon Futures Market, Applied Financial Economics, 20, 1-7, 2010, with G. Milunovich.
  • Price and Efficiency Effects of Taxes and Subsidies for Australian Housing, Economic Papers, 26, 2, 147-169, 2007, with P. Abelson.
  • The evaluation of standard of living and the role of household electricity consumption: a panel cointegration analysis, Energy Policy, 35, 50-60, 2007, with R. Ripple.
  • Explaining House Prices in Australia: 1970 to 2003, Economic Record, 81, 1, 96-103, 2005, with P. Abelson, G. Milunovich and D. Chung.

Book Chapters

  • An Introduction to Long-Memory Time Series Models and Fractional Differencing, The International Library of Financial Econometrics Series, Andrew Lo (ed) Volume 1, Part IV, Edward Elgar Publishing, April 2007, with C.W.J. Granger (reprinted from the Journal of Times Series Analysis, 1, 1, 1980).
  • "Econometric Methods" in Wei-Bin Zhang (ed), Mathematical Models in Economics, in Encyclopaedia of Life Support Systems (EOLSS), Developed under the Auspices of the UNESCO, Eolss Publishers, Oxford, UK, June 2007, with G. Milunovich (over 15000 words) [http://www.eolss.net].
  • "Structural breaks in cointegration analysis: An applied analysis" in B. Bhaskara Rao (ed.), Cointegration for the Applied Economist, 2nd edition, Palgrave Macmillan, August 2007.

PhD Student Supervision

Research Interests

Time series analysis and its applications to finance, energy economics and macroeconomics; panel data; financial econometrics.

Current Research Grant

2010-2012: member of the International project of Scientific Cooperation, "Hierarchical models, risks and dynamic correlations", funded by the CNRS, France.

Involvement in Professional Associations

  • External collaborator for the Centre for Research in Energy and Minerals Economics (CREME) at Curtin University.
  • Research Associate in the Centre for Applied Macroeconomic Analysis at the Australian National University.
  • Member of FIRN (Financial Integrity Research Network).

Recent Discussion Papers/Reports

  • Pricing efficiency and arbitrage in the EU-ETS carbon futures market, Journal of Investment Strategy, 2, 2, 23-25, 2007, with G. Milunovich.