Heather M. Anderson : Citation Profile


Are you Heather M. Anderson?

Monash University

12

H index

15

i10 index

1379

Citations

RESEARCH PRODUCTION:

29

Articles

36

Papers

2

Chapters

EDITOR:

2

Series edited

RESEARCH ACTIVITY:

   30 years (1990 - 2020). See details.
   Cites by year: 45
   Journals where Heather M. Anderson has often published
   Relations with other researchers
   Recent citing documents: 54.    Total self citations: 24 (1.71 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pan164
   Updated: 2021-11-20    RAS profile: 2021-05-27    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Vahid, Farshid (4)

Caggiano, Giovanni (3)

Wong, Benjamin (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Heather M. Anderson.

Is cited by:

Franses, Philip Hans (26)

JAWADI, Fredj (23)

Osborn, Denise (23)

Guillén, Osmani (21)

Mignon, Valérie (21)

van Dijk, Dick (20)

Swanson, Norman (18)

Hecq, Alain (17)

Balcilar, Mehmet (17)

Clements, Michael (17)

Reitz, Stefan (16)

Cites to:

Pesaran, M (44)

Campbell, John (27)

Engle, Robert (27)

Watson, Mark (20)

Vahid, Farshid (20)

Dees, Stephane (18)

Stock, James (17)

Smith, L. Vanessa (17)

Bollerslev, Tim (15)

Diebold, Francis (14)

Granger, Clive (14)

Main data


Where Heather M. Anderson has published?


Journals with more than one article published# docs
Journal of Applied Econometrics4
Journal of Econometrics3
Journal of Banking & Finance2
Journal of Economic Dynamics and Control2
Economics Letters2
Economic Modelling2
Oxford Bulletin of Economics and Statistics2

Working Papers Series with more than one paper published# docs
Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics22
Econometric Society 2004 Australasian Meetings / Econometric Society2

Recent works citing Heather M. Anderson (2021 and 2020)


YearTitle of citing document
2021Dating business cycles in France: A reference chronology. (2021). DIEBOLT, Claude ; Pionnier, Pierre-Alain ; Mignon, Valrie ; Heyer, Eric ; Ferrara, Laurent ; Doz, Catherine ; BEC, Frdrique ; Aviat, Antonin. In: Working Papers. RePEc:afc:wpaper:08-21.

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2020A study on the leverage effect on financial series using a TAR model: a Bayesian approach. (2020). Nieto, Fabio ; Espinosa, Oscar. In: Papers. RePEc:arx:papers:2002.05319.

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2021Macroeconomic Data Transformations Matter. (2020). Stevanovic, Dalibor ; Surprenant, St'Ephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.01714.

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2021Machine Learning Advances for Time Series Forecasting. (2020). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Papers. RePEc:arx:papers:2012.12802.

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2021Predictive Quantile Regression with Mixed Roots and Increasing Dimensions. (2021). Shin, Youngki ; Lee, Ji Hyung ; Fan, Rui. In: Papers. RePEc:arx:papers:2101.11568.

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2021Multiple-index Nonstationary Time Series Models: Robust Estimation Theory and Practice. (2021). Tu, Yundong ; Peng, Bin ; Gao, Jiti ; Dong, Chaohua. In: Papers. RePEc:arx:papers:2111.02023.

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2021Debt-Secular Economic Changes and Bond Yields. (2021). Fontaine, Jean-Sebastien ; Feunou, Bruno. In: Staff Working Papers. RePEc:bca:bocawp:21-14.

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2020Does Trade Elasticity Vary Across Regimes? New Evidence from Korean Exports, Incorporating Regime Changes. (2020). Choi, Moonjung ; Kim, Seiwan. In: Asian Economic Journal. RePEc:bla:asiaec:v:34:y:2020:i:4:p:379-403.

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2021Nonlinear relationships between inflation, output growth and uncertainty in India: New evidence from a bivariate threshold model. (2021). Kundu, Srikanta ; Sarkar, Kaustav Kanti ; Chowdhury, Kushal Banik. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:73:y:2021:i:3:p:469-493.

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2020Convergence of actual, warranted, and natural growth rates in a Kaleckian–Harrodian‐classical model. (2020). Kempbenedict, Eric. In: Metroeconomica. RePEc:bla:metroe:v:71:y:2020:i:4:p:851-881.

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2021The Behavior of Divorce Rates: A Smooth Transition Regression Approach. (2021). Korhonen, Marko ; Marko, Korhonen ; Mikko, Puhakka. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:13:y:2021:i:1:p:1-19:n:2.

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2020Constrained interest rates and changing dynamics at the zero lower bound. (2020). Strachan, Rodney ; Kaufmann, Daniel ; Baeurle, Gregor ; Rodney, Strachan ; Sylvia, Kaufmann ; Daniel, Kaufmann ; Gregor, Baurle. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:24:y:2020:i:2:p:26:n:3.

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2020Macroeconomic Data Transformations Matter. (2020). Stevanovic, Dalibor ; Surprenant, Stephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: CIRANO Working Papers. RePEc:cir:cirwor:2020s-42.

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2020Forecasting Economic Activity Using the Yield Curve: Quasi-Real-Time Applications for New Zealand, Australia and the US. (2020). Phillips, Peter ; Henry, Todd . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2259.

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2021Dating business cycles in France: A reference chronology. (2021). Mignon, Valérie ; Ferrara, Laurent ; DIEBOLT, Claude ; Bec, Frédérique ; Pionnier, Pierre-Alain ; Heyer, Eric ; Ferrand, Denis ; Doz, Catherine ; Aviat, Antonin. In: EconomiX Working Papers. RePEc:drm:wpaper:2021-23.

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2020A multilevel index of heterogeneous short-term and long-term debt dynamics. (2020). Golinelli, Roberto ; Bottazzi, Laura ; Bontempi, Maria. In: Journal of Corporate Finance. RePEc:eee:corfin:v:64:y:2020:i:c:s0929119920301103.

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2021Is the assumption of constant factor loadings too strong in practice?. (2021). Hartigan, Luke ; Aslanidis, Nektarios. In: Economic Modelling. RePEc:eee:ecmode:v:98:y:2021:i:c:p:100-108.

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2020Global hemispheric temperatures and co-shifting: A vector shifting-mean autoregressive analysis. (2020). Teräsvirta, Timo ; Holt, Matthew ; Terasvirta, Timo. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:1:p:198-215.

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2021Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors. (2021). Ghysels, Eric ; Andreou, Elena. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:366-398.

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2021Asymmetric responses of consumer spending to energy prices: A threshold VAR approach. (2021). Knotek, Edward ; Zaman, Saeed. In: Energy Economics. RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988321000323.

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2021Moving out of the linear rut: A period-specific and regime-dependent exchange rate and oil price pass-through in the BRICS countries. (2021). USMAN, OJONUGWA ; Balcilar, Mehmet ; Wohar, Mark E ; Roubaud, David. In: Energy Economics. RePEc:eee:eneeco:v:98:y:2021:i:c:s0140988321001547.

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2021Stock markets and the COVID-19 fractal contagion effects. (2021). Lin, Boqiang ; Okorie, David Iheke. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320305638.

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2020Estimating unknown arbitrage costs: Evidence from a 3-regime threshold vector error correction model. (2020). Urban, Jorg ; Ters, Kristyna. In: Journal of Financial Markets. RePEc:eee:finmar:v:47:y:2020:i:c:s1386418119300084.

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2020Momentum and Reversion to Fundamentals: Are They Captured by Subjective Expectations of House Prices?. (2020). Ma, Chao. In: Journal of Housing Economics. RePEc:eee:jhouse:v:49:y:2020:i:c:s1051137720300243.

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2021Are global spillovers complementary or competitive? Need for international policy coordination. (2021). Mallick, Sushanta ; Bhattarai, Keshab ; Yang, BO. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:110:y:2021:i:c:s0261560620302473.

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2021Stock market volatility and jumps in times of uncertainty. (2021). Triantafyllou, Athanasios ; Vlastakis, Nikolaos ; Megaritis, Anastasios. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:113:y:2021:i:c:s0261560621000048.

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2021The impact of the term spread in US monetary policy from 1870 to 2013. (2021). Iglesias, Jesus ; Golpe, Antonio A ; Vides, Jose Carlos. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:43:y:2021:i:1:p:230-251.

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2020.

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2020Duration of Global Financial Cycles. (2020). Berument, Hakan M ; Varlik, Serdar ; Akdi, Yilmaz. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:549:y:2020:i:c:s0378437120301102.

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2020Fed’s unconventional monetary policy and risk spillover in the US financial markets. (2020). Ozdemir, Zeynel ; Balcilar, Mehmet ; Wohar, Mark E. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:78:y:2020:i:c:p:42-52.

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2021An investigation of semantic similarity in PBOC’s communication on RMB volatility. (2021). Pang, Xin ; Miao, Shan ; Guo, Yumei. In: International Review of Economics & Finance. RePEc:eee:reveco:v:75:y:2021:i:c:p:441-455.

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2021The reinvestment risk premium in the valuation of British and Russian government bonds. (2021). Rodina, Victoria A ; Teplova, Tamara V. In: Research in International Business and Finance. RePEc:eee:riibaf:v:55:y:2021:i:c:s0275531919307718.

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2020Consumer confidence: Causality links with subjective and objective information sources. (2020). Merello, Paloma ; Zorio-Grima, Ana. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:150:y:2020:i:c:s0040162519310583.

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2021Dating business cycles in France:A reference chronology. (2021). DIEBOLT, Claude ; Bec, Frédérique ; Pionnier, Pierre-Alain ; Mignon, Valerie ; Heyer, Eric ; Ferrara, Laurent ; Ferrand, Denis ; Doz, Catherine ; Aviat, Antonin. In: THEMA Working Papers. RePEc:ema:worpap:2021-15.

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2021Public Debt Thresholds: An Analysis for Cyprus. (2021). Savva, Christos S ; Michail, Nektarios A. In: Cyprus Economic Policy Review. RePEc:erc:cypepr:v:15:y:2021:i:1:p:75-85.

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2020Analyzing Crude Oil Prices under the Impact of COVID-19 by Using LSTARGARCHLSTM. (2020). Ucan, Yasemen ; Bayazit, Nilgun Guler ; Bildirici, Melike. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:11:p:2980-:d:369469.

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2020.

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2021Dating business cycles in France: a reference chronology. (2021). Pionnier, Pierre-Alain ; Mignon, Valerie ; Heyer, Eric ; Ferrara, Laurent ; Ferrand, Denis ; Doz, Catherine ; Diebolt, Claude ; Bec, Frederique ; Aviat, Antonin. In: Working Papers. RePEc:hal:wpaper:hal-03373425.

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2020Investigating the Asymmetric Impact of Oil Prices on GCC Stock Markets. (2020). Rault, Christophe ; Ben Naceur, Sami ; Kanaan, Oussama ; Bennaceur, Sami ; ben Cheikh, Nidhaleddine. In: IZA Discussion Papers. RePEc:iza:izadps:dp13853.

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2020Current Account Behavior, Real Exchange Rate Adjustment and Relative Output in Nigeria. (2020). Shuaibu, Mohammed ; Sule, Ibrahim K. In: Journal of Economic Development. RePEc:jed:journl:v:45:y:2020:i:3:p:77-99.

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2020Factors driving International Capital Flows and the Change after the Global Financial Crisis. (2020). Inoguchi, Masahiro. In: Public Policy Review. RePEc:mof:journl:ppr16_02_01.

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2021Have Business Cycles Become More Synchronous After NAFTA?. (2021). Vatsa, Puneet. In: American Business Review. RePEc:ris:ambsrv:0026.

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2021The robustness of forecast combination in unstable environments: a Monte Carlo study of advanced algorithms. (2021). Zhao, Yongchen. In: Empirical Economics. RePEc:spr:empeco:v:61:y:2021:i:1:d:10.1007_s00181-020-01864-w.

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2020Bayesian Estimation and Unit Root Test for Logistic Smooth Transition Autoregressive Process. (2020). Chaturvedi, Anoop ; Jaiswal, Shivam. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:18:y:2020:i:4:d:10.1007_s40953-019-00193-9.

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2021.

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2020Robustness of Forecast Combination in Unstable Environment: A Monte Carlo Study of Advanced Algorithms. (2015). Zhao, Yongchen. In: Working Papers. RePEc:tow:wpaper:2015-04.

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2021Dating business cycles in France: A reference chronology.. (2021). DIEBOLT, Claude ; Pionnier, Pierre-Alain ; Mignon, Valerie ; Heyer, Eric ; Ferrara, Laurent ; Ferrand, Denis ; Doz, Catherine ; Bec, Frederique ; Aviat, Antonin. In: Working Papers of BETA. RePEc:ulp:sbbeta:2021-33.

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2021TESTING THE WEAK FORM EFFICIENCY OF THE FRENCH ETF MARKET WITH LSTAR-ANLSTGARCH APPROACH USING A SEMIPARAMETRIC ESTIMATION.. (2021). DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers of BETA. RePEc:ulp:sbbeta:2021-36.

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2020Bayesian estimation and model selection of a multivariate smooth transition autoregressive model. (2020). Nur, Darfiana ; Livingston, Glen. In: Environmetrics. RePEc:wly:envmet:v:31:y:2020:i:6:n:e2615.

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2021MULTIMODALITY IN MACROFINANCIAL DYNAMICS. (2021). Giannone, Domenico ; Boyarchenko, Nina ; Adrian, Tobias. In: International Economic Review. RePEc:wly:iecrev:v:62:y:2021:i:2:p:861-886.

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2021Regime switches and permanent changes in impacts of housing risk factors on MSA?level housing returns. (2021). Huang, Meichi. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:310-342.

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2020Recession probabilities falling from the STARs. (2020). Noller, Marvin ; Eraslan, Sercan. In: Discussion Papers. RePEc:zbw:bubdps:082020.

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2020Aid for Trade flows and Poverty Reduction in Recipient-Countries. (2020). Gnangnon, Sena Kimm. In: EconStor Preprints. RePEc:zbw:esprep:213807.

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2021An extensible model for historical financial data with an application to German company and stock market data. (2021). Walz, Uwe ; Gram, Dennis ; Liebald, Marius ; Krzyzanowski, Jan ; Karapanagiotis, Pantelis. In: SAFE Working Paper Series. RePEc:zbw:safewp:300.

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Heather M. Anderson is editor of


Journal
Empirical Economics
Studies in Empirical Economics

Works by Heather M. Anderson:


YearTitleTypeCited
2005Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help? In: ANU Working Papers in Economics and Econometrics.
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paper32
2007Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help?.(2007) In: Journal of Business & Economic Statistics.
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2007Reported Earnings and Analyst Forecasts as Competing Sources of Information: A New Approach In: ANU Working Papers in Economics and Econometrics.
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paper2
2012Reported earnings and analyst forecasts as competing sources of information: A new approach.(2012) In: Australian Journal of Management.
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2010Do Jumps Matter? Forecasting Multivariate Realized Volatility Allowing for Common Jumps In: ANU Working Papers in Economics and Econometrics.
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paper9
2010Do Jumps Matter? Forecasting Multivariate Realized Volatility allowing for Common Jumps.(2010) In: Monash Econometrics and Business Statistics Working Papers.
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2001Market Architecture and Nonlinear Dynamics of Australian Stock and Futures Indices In: Australian Economic Papers.
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2001Market Architecture and Nonlinear Dynamics of Australian Stock and Future Indices..(2001) In: Monash Econometrics and Business Statistics Working Papers.
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2020Sectoral Employment Dynamics in Australia and the COVID?19 Pandemic In: Australian Economic Review.
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2020Sectoral employment dynamics in Australia.(2020) In: CAMA Working Papers.
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2020Sectoral Employment Dynamics in Australia.(2020) In: Monash Econometrics and Business Statistics Working Papers.
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2007New Introduction to Multiple Time Series Analysis ? by Helmut Lütkepohl In: The Economic Record.
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1997Transaction Costs and Non-linear Adjustment towards Equilibrium in the US Treasury Bill Market. In: Oxford Bulletin of Economics and Statistics.
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article114
2005Nonlinear Correlograms and Partial Autocorrelograms* In: Oxford Bulletin of Economics and Statistics.
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2003Nonlinear Correlograms and Partial Autocorrelograms.(2003) In: Monash Econometrics and Business Statistics Working Papers.
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2001PREDICTING THE PROBABILITY OF A RECESSION WITH NONLINEAR AUTOREGRESSIVE LEADING-INDICATOR MODELS In: Macroeconomic Dynamics.
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2000Predicting the Probability of a Recession with Nonlinear Autoregressive Leading Indicator Models..(2000) In: Monash Econometrics and Business Statistics Working Papers.
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2004A Model for Trade Frequency in the Presence of Announcements In: Econometric Society 2004 Australasian Meetings.
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2004Single Source of Error State Space Approach to the Beveridge Nelson Decomposition In: Econometric Society 2004 Australasian Meetings.
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2006Single source of error state space approach to the Beveridge Nelson decomposition.(2006) In: Economics Letters.
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2005Single source of error state space approach to the Beveridge Nelson decomposition.(2005) In: CAMA Working Papers.
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2004Single Source of Error State Space Approach to the Beveridge Nelson Decomposition.(2004) In: Monash Econometrics and Business Statistics Working Papers.
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2016How do shocks to domestic factors affect real exchange rates of Asian developing countries? In: Journal of Development Economics.
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2015How do Shocks to Domestic Factors Affect Real Exchange Rates of Asian Developing Countries.(2015) In: Monash Econometrics and Business Statistics Working Papers.
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2020The effects of trade size and market depth on immediate price impact in a limit order book market In: Journal of Economic Dynamics and Control.
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2002U.S. and Canadian industrial production indices as coupled oscillators In: Journal of Economic Dynamics and Control.
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article12
2011Financial integration and the construction of historical financial data for the Euro Area In: Economic Modelling.
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article9
2010Financial Integration and the Construction of Historical Financial Data for the Euro Area.(2010) In: Centre for Growth and Business Cycle Research Discussion Paper Series.
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2019The global effects of productivity gains in Asian emerging economies In: Economic Modelling.
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article1
1998On the pooling of cross-sectional and time-series data in the presence of heteroskedasticity In: Economics Letters.
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article1
2006Common features In: Journal of Econometrics.
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2020High-dimensional predictive regression in the presence of cointegration In: Journal of Econometrics.
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1998Testing multiple equation systems for common nonlinear components In: Journal of Econometrics.
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2014Forecast combinations under structural break uncertainty In: International Journal of Forecasting.
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2014How does public information affect the frequency of trading in airline stocks? In: Journal of Banking & Finance.
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article1
2019Testing for cojumps in high-frequency financial data: An approach based on first-high-low-last prices In: Journal of Banking & Finance.
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2011Testing for co-jumps in high-frequency financial data: an approach based on first-high-low-last prices.(2011) In: Monash Econometrics and Business Statistics Working Papers.
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2006Nonlinear autoregressive leading indicator models of output in G-7 countries In: CAMA Working Papers.
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2007Nonlinear autoregressive leading indicator models of output in G-7 countries.(2007) In: Journal of Applied Econometrics.
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2002Nonlinear Autoregresssive Leading Indicator Models of Output in G-7 Countries.(2002) In: Monash Econometrics and Business Statistics Working Papers.
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2006BEVERRIDGE NELSON DECOMPOSITION WITH MARKOV SWITCHING In: CAMA Working Papers.
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2006Beveridge-Nelson Decomposition with Markov Switching.(2006) In: Melbourne Institute Working Paper Series.
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2006Beveridge-Nelson Decomposition with Markov Switching.(2006) In: Monash Econometrics and Business Statistics Working Papers.
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2007CONSTRUCTING HISTORICAL EURO AREA DATA In: CAMA Working Papers.
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2007Constructing Historical Euro Area Data.(2007) In: Money Macro and Finance (MMF) Research Group Conference 2006.
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1990TREASURY BI;; YIELD CURVES AND COINTEGRATION. In: Australian National University - Department of Economics.
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1997On the Correspondence between Individual and Aggregate Food Consumption Functions: Evidence from the USA and the Netherlands. In: Journal of Applied Econometrics.
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1997On the Correspondence between Individual and Aggregate Food Consumption Functions: Evidence from the USA and the Netherlands: Reply. In: Journal of Applied Econometrics.
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1992Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models. In: Journal of Applied Econometrics.
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1999Does International Trade Synchronize Business Cycles? In: Monash Econometrics and Business Statistics Working Papers.
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2001Capturing the Shape of Business Cycles with Nonlinear Autoregressive Leading Indicator Models. In: Monash Econometrics and Business Statistics Working Papers.
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2002Choosing Lag Lengths in Nonlinear Dynamic Models In: Monash Econometrics and Business Statistics Working Papers.
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2003The Decline in Income Growth Volatility in the United States: Evidence from Regional Data In: Monash Econometrics and Business Statistics Working Papers.
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2003Does Beta React to Market Conditions? Estimates of Bull and Bear Betas using a Nonlinear Market Model with an Endogenous Threshold Parameter In: Monash Econometrics and Business Statistics Working Papers.
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2009Does beta react to market conditions? Estimates of bull and bear betas using a nonlinear market model with an endogenous threshold parameter.(2009) In: Quantitative Finance.
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2005Random Walk Smooth Transition Autoregressive Models In: Monash Econometrics and Business Statistics Working Papers.
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2010VARs, Cointegration and Common Cycle Restrictions In: Monash Econometrics and Business Statistics Working Papers.
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2011Forecasting Under Strucural Break Uncertainty In: Monash Econometrics and Business Statistics Working Papers.
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2013Common non-linearities in multiple series of stock market volatility In: Monash Econometrics and Business Statistics Working Papers.
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2013Do Policy-Related Shocks Affect Real Exchange Rates of Asian Developing Countries? In: Monash Econometrics and Business Statistics Working Papers.
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2014The Effects of Productivity Gains in Asian Emerging Economies: A Global Perspective In: Monash Econometrics and Business Statistics Working Papers.
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2017Robust Bayesian exponentially tilted empirical likelihood method In: Monash Econometrics and Business Statistics Working Papers.
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1993Modeling Nonlinearity over the Business Cycle In: NBER Chapters.
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2010Memoirs of A Cointegration Analysis of Treasury Bill Yields In: Journal of Financial Econometrics.
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