• About Me

    I am currently a Ph.D. student at MONASH University. My interesting areas are Financial Econometrics, Time series and Dependence modelling via copulas.

    Currently, I am working on forecasting volatility in the financial markets and its application specially on Electricity market. Indeed volatility concept tied to energy management strategies and doing this project can give us a powerful technique to set a strong and an effective policy for future energy markets.

  • Research Publications

    Hans, Manner., Alavi Fard, Farzad., Pourkhanali, Armin., and Tafakori, Laleh., "Forecasting the Joint Distribution of Australian Electricity Prices using Dynamic Vine Copulae". Energy Economics, 2018.

    Tafakori, Laleh., Pourkhanali, Armin., Alavi Fard, Farzad., “Forecasting spikes in electricity return innovations”. Energy, pp 508-526, 2018.

    Alavi Fard, Farzad, Pourkhanali, Armin., Malick Sy., “A Non-parametric Inference for Implied Volatility Governed by a Levy-Driven Ornstein-Uhlenbeck process”.  Algorithmic Finance, 7(1-2), 15-30, 2018.

    Tafakori, Laleh., Pourkhanali, Armin., and Saralees Nadarajah. "A new lifetime model with different types of failure rate". Communications in Statistics-Theory and Methods, 47(16), pp.4006-4020, 2018.

    Alavi Fard, Farzad., Pourkhanali, Armin., Sy, Malick., "A non-parametric estimation for implied volatility". In: Proceedings of the 24th Annual Conference of the Multinational Finance Society, Bucharest, Romania, 25-28 June, 2017.

    Pourkhanali, Armin., Alavi Fard, Farzad,. "Pricing Equity Linked Annuities Under Regime-Switching Generalized Gamma Process". Corporate Ownership and Control, 12(3), pp.258-268, 2015.

  • Grants and Awards

    Second place in Three Minute Thesis Competition (3MT), School of Mathematics, Monash University, Jun 2019.

    ACEMS Travel Grant, Dec 2018.

    AMSI Winter School 2017, Travel Grant, Jun 2017.

    The Multinational Finance Society, Best Paper Award (prize 500 USD), Jun 2017.

    Australian Postgraduate Award (APA), Jan 2017.

    QUT Postgraduate Research Award (QUTPRA), Feb 2016.

    QUT HDR Tuition Fee Sponsorship, Feb 2016.

  • Research Interests

    Semiparametric and Nonparametric Estimation

    Financial Econometrics

    Modelling of Time Series

    Applied Statistics

  • Contact

    Email: armin.pourkhanali@monash.edu

    a.pourkhanali@gmail.com