Dr Akram Hasanov

Senior Lecturer

Department of Econometrics & Business Statistics

akram.hasanov@monash.edu
603 5514 4455
Room 6-5-96

 

I completed my PhD at University Putra Malaysia in 2012. Prior to joining Monash University Malaysia, I was a post doctorial research fellow at University Putra Malaysia. My principal research interests lie in the areas of time series analysis and forecasting, applied econometrics and financial volatility modelling. My research papers have been published in a number of international refereed journals. In addition, I was an invited speaker and presented papers at international conferences. I obtained several international and national competitive research grants. Also, I refereed articles for international journals of high-esteem such as Energy Economics, Economic Modelling, and Journal of Applied Statistics. My more recent specific research investigates the volatility forecasting performance of a wide variety of conditionally heteroskedastic models in the context of biofuel feedstock markets in the presence of structural breaks. In this research, the model specifications allow for different conditional distribution functions in the rolling window estimations. At Monash University, I have taught Financial Econometrics, Applied Econometrics, Survey Methods and Managerial Statistics, and Operations Research. Currently, I am supervising and co-supervising several PhD and Honors students.

Academic Qualifications

Doctor of Philosophy
Institution University Putra Malaysia
Year awarded 2012
Master of Accountancy
Institution Tashkent Finance Institute
Year awarded 2003

Areas of Expertise

1 Time Series Analysis and Forecasting
2 Applied Macro Econometrics
3 Volatility Modelling of Financial and Commodity Returns

Teaching

Subject CodeSubject
ETW3510 Applied Econometric Methods
ETW 3481 Econometric Methods for Finance
ETW2440 Business Modelling and Analytics Methods
ETW2420 Survey Methods and Managerial Statistics

Book Chapters

1 Herath, G., Hasanov, A.S. (2017). Climate Change and Threats to Sustainability in South East Asia: Dynamic Modelling Approach for Malaysia. In (Eds) Batabyal, A.A., Nijkamp, P., Regional Growth and Sustainable Development in Asia. Springer International Publishing Switzerland.
2 Hameed, A.A, Hasanov, A.S., Idris, N., Abdullah, A.M., Arshad, F.M., Shamsudin, M. (2014). Supply and Demand Model for the Malaysian Cocoa Market. In (Eds) Yacob, M.R., Radam, A., Alias, E.F. Quantitative Models for Agricultural Policy Analysis. Universiti Putra Malaysia Press.

Scholarly Journals

1

Hasanov, A.S., Shaiban, M., Al-Freedi, A. (2020). Forecasting volatility in the petroleum futures markets: A re-examination and extension. Energy Economics, 86, pp. 1-12.

2

Hasanov, A.S., Poon, W.C., Al-Freedi, A., and Heng, Z. Y. (2018). Forecasting volatility in the biofuel feedstock markets in the presence of structural breaks: A comparison of alternative distribution functions. Energy Economics, 70, pp. 307-333.

3

Hasanov, A.S., Do, H.X., and Shaiban, M. (2016)Fossil fuel price uncertainty and feedstock edible oil prices: Evidence from MGARCH-M and VIRF analysis. Energy Economics, 57, pp. 16-27.

4

Hasanov, A.S. and Baharumshah, A.Z. (2014)Exchange rate risk and exports: Evidence from a set of transition economies. Problems of Economic Transition, 57(1), pp. 80-101.

5

Hasanov, A.S. and Shitan, M. (2014). Volatility model estimations of palm oil price returns via long-memory, asymmetric and heavy-tailed GARCH parameterization. Malaysian Journal of Mathematical Sciences, 8(1), pp. 15-34.

Conference Presentations and Proceedings

1Hasanov, A.S., Poon W.C., Al-Freedi, A. (2017). Forecasting volatility in the biofuel feedstock and energy commodity markets under structural breaks: A comparison of alternative distributional assumptions. International Conference on Social Science, Literature, Business and Education, Vienna, Austria, 17-18 March 2017.
2

Li Di, M.S. Shaiban, A.S. and Hasanov, A.S. (2017). Contagion Effect from US banking to Conventional and Islamic banking in Dual-banking system during Financial Crisis. Paper was presented at KFUPM conference on Islamic banking and finance, November 19-20, 2017, Dammam, Saudi Arabia.

3 Shaiban, M., Li Di, Hasanov, A.S., (2017). Does investor sentiment have stronger explanatory power in determining oil prices than other determinants? International Conference on Energy Finance, Zhejiang University, Hangzhou, China, 26-27 May 2017.
4 Shaiban, M., Li Di, Hasanov, A.S., (2017). Bank equity prices and oil price shocks: A global perspective. International Conference on Energy Finance, Zhejiang University, Hangzhou, China, 26-27 May 2017.
5

Hasanov, A.S., Ahmad Sidique, S., and Nurul Islam, G. (2016). Mean and Variance Transmissions from Energy to Marine Commodities: Evidence from Causality Analysis Based on a Multivariate GARCH Process. Paper was presented at the Applied Financial Modelling Conference, February 4, 2016, Melbourne, Australia.

6

Hasanov, A.S. and Shaiban, M. (2015). Volatility Transmission and Volatility Impulse Response Functions in Islamic and Conventional Banks. Paper was presented at the 28th Australasian Finance and Banking Conference 2015, Sydney, Australia.

7

Hasanov, A.S. (2014). Trade Models with Risk Variables: Econometric Issues and Future Directions. International Statistical Institute, Regional Statistics Conference, ISI-RSC-2014. Sasana Kijang, Kuala-Lumpur, Malaysia, 17-21 November 2014, (Invited Speaker).

8

Hasanov, A.S.and Shitan, M. (2014). Multivariate Volatility Models in Finance. International Conference on Management Research and Advances in Accounting, ICMRAA-2013. Puteri Park Hotel, Kuala- Lumpur, Malaysia, 2-4 July 2013, (Invited Speaker).

Local External Grants

Title Consultancy Services for Malaysia GDP Forecasting Study
Investigators Santha Vaithilingam, Pervaiz K Ahmed, Prabahkaran Narayanan, Mahendhiran Nair, Akram S. Hasanov
Funding Period 2019 – 2022
Funding Body/Organisation Tenaga Nasional Berhad
Title Forecasting Malaysian agricultural commodity price, returns, and volatility: Evidence from asymmetric GARCH-class of models
Investigators Akram S. Hasanov, Poon Wai Ching
Funding Period 2014 - 2016
Funding Body/Organisation Ministry of Higher Education, FRGS
Title The dynamics of executive compensation, board diversity, and ownership on dividend payout in Malaysian firms
Investigators Ravichandran K.Subramaniam, Teh Chee Ghee, Akram S. Hasanov, and Sakthi Mahenthiran
Funding Period 2014 – 2016
Funding Body/Organisation Ministry of Higher Education, FRGS

Internal Grants

Title How to deal with the structural breaks in volatility forecasting? Evidence from biofuel markets”
Investigators Akram S. Hasanov
Funding Period 2020-2021
Funding Body/Organisation Monash University Malaysia
Title Structural breaks in the stock return volatility of Malaysian Islamic banks
Investigators Akram S. Hasanov, Mohammed Sharaf Shaiban
Funding Period 2013-2014
Funding Body/Organisation Halal Ecosystem Research Platform, Monash University Malaysia
Title Models with risk variables: Review of econometric issues and perspectives
Investigators Akram S. Hasanov
Funding Period 2013-2014
Funding Body/Organisation SETA research platform, Monash University

PhD Supervision

Student Li Di
Title Contagion and investor sentiment: Conventional vs. Islamic banking, PhD
Student Edwin Tan Kim Leng
Title Fluctuations and cross-correlations of crude oil prices, interest rates, and the dollar: The MF-DFA and MF-DCCA approaches, PhD
Student Sanggetha Vellachami
Title Energy and environmental dilemma: Cross-commodity volatility spillover effects in the European carbon, fossil fuel and biofuel markets, PhD
Student Siti Hawa Yusof
Title Exploring the interdependence, contagion effects and portfolio dynamics in the cryptocurrency market, PhD
Student Tauhidul Islam Tanin
Title The age of Islamic banks: Does oil price matter?,PhD
Student Fang Cheng
Title The impact of energy commodities on agricultural commodities: In the context of US-China trade war, PhD

Honours supervision

Student Puteri Zahrah Aminan
Title Modelling and forecasting volatility of energy commodity prices
Student Heng Zin Yau
Title The impact of the oil volatility on stock, exchange rate, and agricultural commodity markets
Student Jeehye Park
Title Impact of climate change on paddy production in Malaysia: Empirical analysis at the national and state-level experience
Student Eric Aswinton
Title Modelling and forecasting Indonesian stock market volatility in the presence of structural breaks and heavy-tailness

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