Professor Heather Mitchell

Position

Honorary Professor

School /
Work Unit

Economics, Finance and Marketing

Contact Details

+61 3 9925 5876

heather.mitchell@rmit.edu.au

Location

Building: 080
Level: 10
Room: 046-17

City campus

College/Portfolio

College of Business

Heather Mitchell Picture

Qualifications

  • Doctor of Philosophy (1997) RMIT – In statistics - Supervisor – Professor Peter Brockwell
    Thesis: Topics in Multiple Time Series
  • Master Of Applied Science (1992) RMIT - In mathematics by research - Supervisor Dr Daniel Kildae
    Thesis: Regression under the convex order restriction
  • Bachelor of Applied Science (1986) RMIT in mathematics with distinction
  • Diploma of Civil Engineering (1973) Caulfield Institute of Technology (now Monash Caulfield Campus)

Teaching

  • Course co-ordinator Financial Econometrics – Masters level course, both locally and offshore.
  • Occasional teaching for other quantitative courses including:
    • Business statistics
    • Quantitative analysis
    • Business forecasting
    • Basic econometrics
    • Quantitative methods in finance

Research Interests

Empirical analysis using regression and time series analysis for financial and economic data.

New time series models for financial data.

Research Projects and Funding

2007 $20,000. Melbourne Centre for Financial Studies Research Grant. The Costs of Financial Services Regulation in Australia: The Price of Consuming Regulation (with Ass Pros Bruce Cowling and Terry Hallahan).

2007 $8,000. Melbourne Centre for Financial Studies Research Grant. An re Actively Managed Funds Really that Bad? (with Prof Richard Heaney and Ass Pro Terry Hallahan).

Other External Research Funding

Champion data research consultancy on player performance (with Drs Mark Stewart and Con Stavros)

Publications

Major Publications:

Mitchell H. (1993) Testing for Linearity versus Convexity in Regression Using a Contrast Type Test, Biometrika, 80, 3, 695-697

Mitchell H., (1993) Estimating Convex and Strictly Convex Functions, Communications in Statistics, Part B: Simulation and Computation, 22(3), 803-811

Mitchell H. and Brockwell P. (1997) Estimation of the Coefficients of a Multivariate Linear Filter Using the Innovations Algorithm, Journal of Time Series Analysis, 18,2, 157-180

Brooks R.D., Faff R.W., McKenzie M.D. and Mitchell H. (2000) A multi-country study of power ARCH models and national stock market returns, Journal of International Money and Finance, 19, 377-397

McKenzie M.D., Mitchell H. Brooks R.D. and Faff R.W. (2001) Power Arch modelling of commodity futures on the London Metal Exchange, European Journal of Finance,7, 22-38

Mitchell H and McKenzie MD (2003) GARCH model selection criteria, Quantitative Finance, 3, 262-284

Mitchell H and McKenzie MD, (2006) ‘ A Note on the Wang and Wang Measure of the Quality of the Compass Rose’ Journal of Banking and Finance, 30, 3519-3524

Mitchell H. and Stewart M. (2007) “A Competitive Index for International Sport”, Applied Economics, 39, pp 587-603

Mitchell H, Stewart M, and Stavros C (2011) “Does the Australian Football League Draft Undervalue Indigenous Australian Footballers?”, Journal of Sports Economics, 12,1, 36-54.

Feeny S, Mitchell H, Tran C and Clarke M (2012) ‘The determinants of economic growth versus genuine progress in South Korea’, Social Indicators Research, to appear, available online.

Other Professional Publications:

Brockwell P. and Mitchell H (1998) Linear Prediction for a Class of Multivariate Stable Processes, Communications in Statistics, Stochastic Models, 14(1-2), 297-310

Mitchell H., Brown R. and Easton S (2002) Old volatility – ARCH effects in 19th century consol data, Applied Financial Economics, 301-307.

Davidson S., Faff R., Mitchell H. (2002) Are Returns in the International Economy Explained by a Single or Multifactor Structure? Studies in Economics and Econometrics, 26,17-32

Mitchell H. and Stewart M (2004) Olympic Cheats – A Statistical Analysis Chance, May, 13-18

Yim, J., & Mitchell, H., (2004), ‘A comparison of Japanese failure models: Hybrid neural networks, logit models, and discriminant analysis’, International Journal of Asian Management, Vol. 3, No. 1, pp. 103-120.

Yim, J., & Mitchell, H., (2005), ‘A comparison of country risk models: Hybrid neural networks, logit models, and discriminant analysis’, Expert Systems with Applications, Vol. 28, pp. 137-148

Logan, M. & Mitchell, H, (2005), ‘Did hard work ever kill anyone?’, Agenda, Vol 12, 2, p 131-144

Yim, J., & Mitchell, H., (2005), ‘A comparison of corporate distress prediction models in Brazil: Hybrid neural networks, logit models, and discriminant analysis’, Nova Economia, Vol. 15, No. 1, pp. 73-93.

Heaney R, Hallahan T, Josev T and Mitchell H (2007) “Time Changing Alpha? The Case of Australian International Mutual Funds”, Australian Journal of Management,32, 1, pp 95-112

Stewart M, Mitchell H and Stavros C (2007) “MoneyballApplied: Econometrics and the Identification and Recruitment of Elite Australian Footballers”, International Journal of Sports Finance, 4, 2, November, pp 231-248.

Yim, J., & Mitchell, H., (2007), ‘Predicting Financial distress in the Australian Financial Services Industry’, Australian Economic Papers, Vol. 46, No.4, pp. 375-388.

Mitchell H and McKenzie MD, (2008) ‘A comparison of alternative techniques for selecting an optimum ARCH model’ Journal of Statistical Computation and Simulation, 78,1, 51-67

Thomas S., Ramiah V., Mitchell H., Heaney R., (2011) ‘Seasonal Factors and Outlier Effects in Rate of Return on Electricity Spot Prices in Australia’s National Electricity Market’ Applied Economics, 43, 3

Mitchell , H., and Joseph, S., (2010), ‘Changes in Malaysia: Capital controls, prime ministers and political connections’, Pacific-Basin Finance Journal, 18, 460-476

Mitchell H and McKenzie M, (2011) The Effect of Tick Size on Testing for Nonlinearity in Financial Markets Data, Journal of Mathematical Finance, 1, 1-7

Mitchell H and Stewart M, (2012) Movies and Holidays, Applied Economics Letters, 19, 15, 1437-1440

Mitchell H, Spong H and Stewart M, (2012) ‘Gambling with public money: An economic analysis of national sports team funding’, The Economic and Labour Relations Review, 23, 3, 7-22

Feeny S, Mitchell H, Tran C and Clarke M (2012) ‘The determinants of economic growth versus genuine progress in South Korea’, Social Indicators Research, to appear available online.

Working Papers:

Mitchell, H., (2009) A Discrete Time Series Model for High Frequency Financial Data, RMIT Centre for Finance Working Paper Series, No 1/2009

Mitchell, H., and Joseph, S., (2009), ‘Changes in Malaysia: Have Political Connections Lost Their Value?’, RMIT Centre for Finance Working Paper Series, No 2/2009

Lee S.J. and Mitchell H. (2002) The use of closing price data for volatility estimation: Does it matter?, RMIT Business Working paper Series, No 6/2002

Mitchell H. (2000) Investor Perceptions of Crown Casino, RMIT School of Economics and Finance

Mitchell H. (2000) Parity and the Big Mac, RMIT School of Economics and Finance

Mitchell H. (1999) Does Factor Analysis Produce Meaningful Results for Financial Data?, RMIT School of Economics and Finance

Ragunathan V. and Mitchell H. (1997) Modelling the Correlation Between National Stock Market Returns, RMIT School of Economics and Finance 97-7

Mitchell H. (1997) Missing Values in Vector Time Series, RMIT School of Economics and Finance 97-6

Mitchell H and Brockwell P.J. (1995) Minimum Mean-Squared Error Prediction for the VARMA(1,1) Process, RMIT department of Statistics and Operations Research, Research Report No 6, March 1995

Conferences Papers/Publications

Yim J, and Mitchell H (2003) A comparison of corporate failure models in Australia: hybrid neural networks, logit Models and discriminant analysis. Proceedings: Developments in Applied Artificial Intelligence, Chung P., Ali, M. (Eds) Springer-Verlag, Germany.

Logan M and Mitchell H, (2005) “Live long and prosper: retirement longevity in a defined benefit scheme”, Association of Financial Service Educators Conference, July 2005, Sydney.

Mitchell, H. and McKenzie, M.D. (2004) "The Use of Forecasting Accuracy as an ARCH Model Selection Tool" Modelling and Analysis of Safety and Risk in Complex Systems, Russian Academy of Sciences, International Scientific School, June

Mitchell H and McKenzie, M.D. (2003) Share Price Rationality and Price Expectations: The Case of Woolstock Australia, Banking and Finance Conference, December 2003, Sydney

Yim J and Mitchell H, (2003), “A Comparison of Asian Banking Failure Models: Hybrid Neural Networks, Logit Models and Discriminant Analysis”, Banking and Finance Conference, December 2003, Sydney

Yim J and Mitchell H, (2002), “A Comparison of Australian Financial Service Failure Models: Hybrid Neural Networks, Logit Models and Discriminant Analysis”, Banking and Finance Conference, December 2002, Sydney

Mitchell H. (1999) Does Factor Analysis Produce Meaningful Results for Financial Data? Queensland Finance Conference, October 1999, Brisbane

Mitchell H., Brown R. and Easton S (1999) Old volatility – ARCH effects in 19th century consol data, Asia-Pacific Finance Association Conference, July 1999, Melbourne

H. Mitchell (1999) Food and Pokies: Turning Teaching into Research, RMIT School of Economics and Finance, 8th Annual Teaching Economics Conference, Melbourne

Mitchell H. (1997) Missing Values in Vector Time Series, Econometric Society of Australia Meeting, July 1997, Melbourne, Conference Proceedings; Econometric Theory 2, 107-119

Technical Reports

Joint Author: (1996) Failure Models for Individual Water Mains – Urban Water Research Association of Australia Research Project AM 23, Melbourne