Heather M. Anderson : Citation Profile


Are you Heather M. Anderson?

Monash University

11

H index

15

i10 index

1281

Citations

RESEARCH PRODUCTION:

25

Articles

34

Papers

2

Chapters

EDITOR:

2

Series edited

RESEARCH ACTIVITY:

   27 years (1990 - 2017). See details.
   Cites by year: 47
   Journals where Heather M. Anderson has often published
   Relations with other researchers
   Recent citing documents: 72.    Total self citations: 23 (1.76 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pan164
   Updated: 2019-11-16    RAS profile: 2019-10-05    
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Relations with other researchers


Works with:

Dumrongrittikul, Taya (2)

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 (22)

Osborn, Denise (21)

van Dijk, Dick (20)

Mignon, Valérie (18)

Swanson, Norman (18)

Hecq, Alain (17)

Clements, Michael (17)

Arango Thomas, Luis (16)

Reitz, Stefan (15)

Guillén, Osmani (14)

Cites to:

Pesaran, M (29)

Engle, Robert (24)

Vahid, Farshid (21)

Campbell, John (20)

Watson, Mark (19)

Stock, James (17)

Bollerslev, Tim (16)

Granger, Clive (14)

Diebold, Francis (12)

Teräsvirta, Timo (11)

Barndorff-Nielsen, Ole (11)

Main data


Where Heather M. Anderson has published?


Journals with more than one article published# docs
Journal of Applied Econometrics4
Journal of Banking & Finance2
Economics Letters2
Journal of Econometrics2
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 Statistics21
Econometric Society 2004 Australasian Meetings / Econometric Society2

Recent works citing Heather M. Anderson (2019 and 2018)


YearTitle of citing document
2017Nonlinear models in macroeconometrics. (2017). Teräsvirta, Timo ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-32.

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2018Forecasting dynamically asymmetric fluctuations of the U.S. business cycle. (2018). Zanetti Chini, Emilio. In: CREATES Research Papers. RePEc:aah:create:2018-13.

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2018Forecasters’ utility and forecast coherence. (2018). Zanetti Chini, Emilio. In: CREATES Research Papers. RePEc:aah:create:2018-23.

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2019Testing Nonlinearity through a Logistic Smooth Transition AR Model with Logistic Smooth Transition GARCH Errors. (2019). DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:03-19.

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2018New Proposals of a Stress Measure in a Capital and its Robust Estimator. (2018). Rydlewski, Jerzy P ; Mielczarek, Dominik ; Kosiorowski, Daniel ; Klecha, Tadeusz. In: Papers. RePEc:arx:papers:1802.03756.

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2019Stationarity and ergodicity of vector STAR models. (2019). Saikkonen, Pentti ; Kheifets, Igor L. In: Papers. RePEc:arx:papers:1805.11311.

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2018Non-Linear Fiscal Multipliers for Public Expenditure and Tax Revenue in Colombia. (2018). Pinchao-Rosero, Andres ; Rodriguez-Nio, Norberto ; Lopez-Vera, Alejandro. In: Revista ESPE - Ensayos sobre Política Económica. RePEc:bdr:ensayo:v:36:y:2018:i:85:p:48-64.

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2018Improving equity premium forecasts by incorporating structural break uncertainty. (2018). Tian, Jing ; Zhou, Qing. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:619-656.

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2018Do Korean Exports Have Different Patterns over Different Regimes?: New Evidence from STAR-VECM. (2018). Choi, Moon Jung ; Kim, Sei-Wan. In: Working Papers. RePEc:bok:wpaper:1830.

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2018Parameter heterogeneity, persistence and cross-sectional dependence: new insights on fiscal policy reaction functions for the Euro area. (2018). Mammi, Irene ; Golinelli, Roberto ; Musolesi, A. In: Working Papers. RePEc:bol:bodewp:wp1120.

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2018Non-Linear Fiscal Multipliers for Public Expenditure and Tax Revenue in Colombia. (2018). Pinchao-Rosero, Andres ; Rodriguez-Nio, Norberto ; Lopez-Vera, Alejandro. In: Revista ESPE - ENSAYOS SOBRE POLÍTICA ECONÓMICA. RePEc:col:000107:016935.

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2019Duration-dependent Markov-switching model: an empirical study for the Brazilian business cycle.. (2019). Fernando, ; Moura, Guilherme Valle ; Caldeira, Joo Frois. In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00262.

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2018Nonlinear Exchange Rate Transmission in the Euro Area: A Multivariate Smooth Transition Regression Approach. (2018). Ben Cheikh, Nidhaleddine ; Nguyen, Pascal ; Younes, Ben Zaied ; ben Zaied, Younes . In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00270.

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2018Gold - Silver Nexus: A Threshold Cointegration Approach. (2018). Mighri, Zouheir Ahmed ; al Saggaf, Majid Ibrahim. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2018-05-28.

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2018Asymmetric monetary and exchange-rate policies in Latin American countries that use inflation targeting. (2018). Libman, Emiliano . In: Revista CEPAL. RePEc:ecr:col070:44318.

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2018Multivariate specification tests based on a dynamic Rosenblatt transform. (2018). Kheifets, Igor L. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:124:y:2018:i:c:p:1-14.

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2018Directional predictability and time-varying spillovers between stock markets and economic cycles. (2018). Shahzad, Syed Jawad Hussain ; Bekiros, Stelios ; Ur, Mobeen ; Arreola-Hernandez, Jose ; Hussain, Syed Jawad. In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:301-312.

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2019Analysis of shock transmissions to a small open emerging economy using a SVARMA model. (2019). Raghavan, Mala ; Athanasopoulos, George. In: Economic Modelling. RePEc:eee:ecmode:v:77:y:2019:i:c:p:187-203.

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2018International synchronization of the Mexican states business cycles: Explaining factors. (2018). Aroca, Patricio ; Vergara-Gonzalez, Reyna ; Rendon-Rojas, Liliana ; Mejia-Reyes, Pablo . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:278-288.

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2017Rethinking cointegration and the expectation hypothesis of the term structure. (2017). Li, Jing ; Davis, George. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:177-189.

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2018Nonlinear equilibrium adjustment dynamics and predictability of the term structure of interest rates. (2018). Bekiros, Stelios ; Hassapis, Christis ; Avdoulas, Christos. In: International Review of Financial Analysis. RePEc:eee:finana:v:55:y:2018:i:c:p:140-155.

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2019Professional macroeconomic forecasts and Chinese commodity futures prices. (2019). Liu, Xiaoquan ; Jiang, Ying ; Guo, Ranran ; Ye, Wuyi ; Deschamps, Bruno. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:130-136.

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2018Financial stress and equilibrium dynamics in term interbank funding markets. (2018). Yoldas, Emre ; Senyuz, Zeynep. In: Journal of Financial Stability. RePEc:eee:finsta:v:34:y:2018:i:c:p:136-149.

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2019The effectiveness of foreign exchange intervention in Latin America: A nonlinear approach to the coordination channel. (2019). Gamboa-Estrada, Fredy. In: Global Finance Journal. RePEc:eee:glofin:v:40:y:2019:i:c:p:13-27.

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2017Exchange rate dynamics in a Taylor rule framework. (2017). Yao, Shujie ; Chen, Chuanglian ; Ou, Jinghua . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:46:y:2017:i:c:p:158-173.

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2019Real exchange rate and asymmetric shocks in the West African Monetary Zone (WAMZ). (2019). Baimbridge, Mark ; Litsios, Ioannis ; Adu, Raymond. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:59:y:2019:i:c:p:232-249.

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2017A vector heterogeneous autoregressive index model for realized volatility measures. (2017). Hecq, Alain ; Guardabascio, Barbara ; Cubadda, Gianluca. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:337-344.

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2018Predictions of short-term rates and the expectations hypothesis. (2018). Guidolin, Massimo ; Thornton, Daniel L. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:636-664.

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2018Forecasting dynamically asymmetric fluctuations of the U.S. business cycle. (2018). Zanetti Chini, Emilio. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:711-732.

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2019Forecasting the exchange rate using nonlinear Taylor rule based models. (2019). Stamatogiannis, Michalis P ; Morley, Bruce ; Wang, Rudan. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:429-442.

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2019Another look at forecast selection and combination: Evidence from forecast pooling. (2019). Petropoulos, Fotios ; Barrow, Devon ; Kourentzes, Nikolaos. In: International Journal of Production Economics. RePEc:eee:proeco:v:209:y:2019:i:c:p:226-235.

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2017Realized volatility forecast of agricultural futures using the HAR models with bagging and combination approaches. (2017). Yang, KE ; Li, Steven ; Chen, Langnan ; Tian, Fengping. In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:276-291.

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2019Fed’s Unconventional Monetary Policy and Risk Spillover in the US Financial Markets. (2019). Wohar, Mark ; Ozdemir, Zeynel ; Balcilar, Mehmet. In: Working Papers. RePEc:emu:wpaper:15-47.pdf.

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2019Testing the Asymmetric Effects of Exchange Rate and Oil Price Pass-Through in BRICS Countries: Does the state of the economy matter?. (2019). Wohar, Mark ; Balcilar, Mehmet ; Usman, Ojonugwa ; Roubaud, David. In: Working Papers. RePEc:emu:wpaper:15-49.pdf.

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2019Asymptotic Theory for Cointegration Analysis When the Cointegration Rank Is Deficient. (2019). Bernstein, David H ; Nielsen, Bent. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:1:p:6-:d:198742.

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2018Forecast Combinations for Structural Breaks in Volatility: Evidence from BRICS Countries. (2018). De Gaetano, Davide. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:4:p:64-:d:177224.

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2019The Stability of Factor Sensitivities of German Stock Market Sector Indices: Empirical Evidence and Some Thoughts about Practical Implications. (2019). Basse, Tobias ; Wegener, Christoph. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:3:p:140-:d:262212.

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2017A Machine Learning Approach to the Forecast Combination Puzzle. (2017). Mandel, Antoine ; Sani, Amir. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01317974.

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2018The Role of International Reserves Holding in Buffering External Shocks. (2018). Allegret, Jean-Pierre. In: Post-Print. RePEc:hal:journl:halshs-01665908.

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2018A Semi-Parametric Non-linear Neural Network Filter: Theory and Empirical Evidence. (2018). Vouldis, Angelos ; Michaelides, Panayotis ; Konstantakis, Konstantinos ; Patrinos, Panagiotis ; Tsionas, Efthymios G. In: Computational Economics. RePEc:kap:compec:v:51:y:2018:i:3:d:10.1007_s10614-016-9628-6.

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2019A Nonlinear Optimal Control Approach to Stabilization of Business Cycles of Finance Agents. (2019). Ghosh, T ; Siano, P ; Rigatos, G. In: Computational Economics. RePEc:kap:compec:v:53:y:2019:i:3:d:10.1007_s10614-017-9785-2.

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2017Equity prices and fundamentals: a DDM–APT mixed approach. (2017). JAWADI, Fredj ; Prat, Georges. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:49:y:2017:i:3:d:10.1007_s11156-016-0604-y.

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2018Volatility-Induced Stationarity and Error-Correction in Macro-Finance Term Structure Modeling. (2018). Hansen, Anne Lundgaard. In: Discussion Papers. RePEc:kud:kuiedp:1812.

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2019Oil Prices and GCC Stock Markets: New Evidence from Vector Smooth Transition Models. (2019). Rault, Christophe ; Ben Cheikh, Nidhaleddine ; Ben Naceur, Sami ; Kanaan, Oussama ; Bennaceur, Sami . In: LEO Working Papers / DR LEO. RePEc:leo:wpaper:2697.

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2017Intuitive and Reliable Estimates of the Output Gap from a Beveridge-Nelson Filter. (2017). Wong, Benjamin ; Morley, James ; Kamber, Gunes. In: Reserve Bank of New Zealand Discussion Paper Series. RePEc:nzb:nzbdps:2017/1.

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2018Forecasting Bond Yields with Segmented Term Structure Models. (2018). Almeida, Caio ; Vicente, Jose ; Simonsen, Axel ; Kubudi, Daniela ; Ardison, Kym . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:16:y:2018:i:1:p:1-33..

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2018Forecasting dynamically asymmetric fluctuations of the U.S. business cycle. (2018). Zanetti Chini, Emilio. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0156.

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2018Does Pak-Rupee Exchange Rate Respond to Monetary Fundamentals? A Structural Analysis. (2018). Nawaz, Saima ; Khan, Muhammad Arshad. In: The Pakistan Development Review. RePEc:pid:journl:v:57:y:2018:i:2:p:175-202.

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2019STRUCTURAL CHANGES AND ECONOMIC GROWTH IN PAKISTAN. (2019). Farooq, Sohail ; Ajmair, Muhammad ; Gilal, Muhammad Akram. In: Pakistan Journal of Applied Economics. RePEc:pje:journl:article29sumii.

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2018Leading Indicators and Financial Crisis: A Multi-Sectoral Approach Using Signal Extraction. (2018). Bosupeng, Mpho. In: Journal of Empirical Studies. RePEc:pkp:joestu:2018:p:20-44.

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2019The Effect of Exchange Rate Regimes on Business Cycle Synchronization: A Robust Analysis. (2019). Knaze, Jakub ; Hou, Jia. In: MPRA Paper. RePEc:pra:mprapa:95182.

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2017FORECASTING WITH GARCH MODELS UNDER STRUCTURAL BREAKS: AN APPROACH BASED ON COMBINATIONS ACROSS ESTIMATION WINDOWS. (2017). De Gaetano, Davide. In: Departmental Working Papers of Economics - University 'Roma Tre'. RePEc:rtr:wpaper:0219.

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2018Forecasting Realized Volatility Measures with Multivariate and Univariate Models: The Case of The US Banking Sector. (2018). Hecq, Alain ; Cubadda, Gianluca ; Riccardo, Antonio. In: CEIS Research Paper. RePEc:rtv:ceisrp:445.

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2018Evolutionary-based return forecasting with nonlinear STAR models: evidence from the Eurozone peripheral stock markets. (2018). Bekiros, Stelios ; Boubaker, Sabri ; Avdoulas, Christos. In: Annals of Operations Research. RePEc:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-015-2078-z.

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2019Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model. (2019). ben Ameur, Hachmi ; Cheffou, Abdoulkarim Idi ; Louhichi, Wael ; Jawadi, Fredj. In: Annals of Operations Research. RePEc:spr:annopr:v:281:y:2019:i:1:d:10.1007_s10479-018-2793-3.

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2017Forecast combination for discrete choice models: predicting FOMC monetary policy decisions. (2017). Vasnev, Andrey ; Pauwels, Laurent L. In: Empirical Economics. RePEc:spr:empeco:v:52:y:2017:i:1:d:10.1007_s00181-016-1080-x.

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2017A diagram to detect serial dependencies: an application to transport time series. (2017). Punzo, Antonio ; de Capitani, Lucio ; Bagnato, Luca. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:51:y:2017:i:2:d:10.1007_s11135-016-0426-y.

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2017Intuitive and Reliable Estimates of the Output Gap from a Beveridge-Nelson Filter. (2017). Wong, Benjamin ; Morley, James ; Kamber, Gunes. In: Discussion Papers. RePEc:swe:wpaper:2016-09a.

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2018US Economic Uncertainty, EU Business Cycles and the Global Financial Crisis. (2018). Shabi, Sarosh ; Hassan, Syed ; Choudhry, Taufiq. In: Working Papers. RePEc:swn:wpaper:2018-05.

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2018Testing for Serial Independence: Beyond the Portmanteau Approach. (2018). Punzo, Antonio ; de Capitani, Lucio ; Bagnato, Luca. In: The American Statistician. RePEc:taf:amstat:v:72:y:2018:i:3:p:219-238.

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2017Forecasting REIT volatility with high-frequency data: a comparison of alternative methods. (2017). Zhou, Jian. In: Applied Economics. RePEc:taf:applec:v:49:y:2017:i:26:p:2590-2605.

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2018How good can heuristic-based forecasts be? A comparative performance of econometric and heuristic models for UK and US asset returns. (2018). Guidolin, Massimo ; Pedio, Manuela ; Orlov, Alexei G. In: Quantitative Finance. RePEc:taf:quantf:v:18:y:2018:i:1:p:139-169.

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2018Analysis of shock transmissions to a small open emerging economy using a SVARMA model. (2018). Raghavan, Mala ; Athanasopoulos, George. In: Working Papers. RePEc:tas:wpaper:27231.

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2018Essays on functional coefficient models. (2018). Koo, Chao . In: Other publications TiSEM. RePEc:tiu:tiutis:ba87b8a5-3c55-40ec-967d-9eab42c14ddf.

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2019Testing Nonlinearity through a Logistic Smooth Transition AR Model with Logistic Smooth Transition GARCH Errors.. (2019). DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers of BETA. RePEc:ulp:sbbeta:2019-06.

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2018Stein-Rule Combination Forecasting on RFID Based Supply Chain. (2018). Wang, Wenjie ; Fan, Dandan ; Xu, QI. In: Asia-Pacific Journal of Operational Research (APJOR). RePEc:wsi:apjorx:v:35:y:2018:i:02:n:s0217595918400018.

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2018A note on averaging day-ahead electricity price forecasts across calibration windows. (2018). Weron, Rafał ; Marcjasz, Grzegorz ; Hubicka, Katarzyna. In: HSC Research Reports. RePEc:wuu:wpaper:hsc1803.

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2017Homogenous vs. heterogenous transition functions in smooth transition regressions: A LM-type test. (2017). Reitz, Stefan ; Leppin, Julian ; Demetrescu, Matei. In: Kiel Working Papers. RePEc:zbw:ifwkwp:2094.

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2018Machine learning for time series forecasting - a simulation study. (2018). Treichel, Alex ; Krauss, Christopher ; Fischer, Thomas. In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:022018.

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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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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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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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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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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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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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2002U.S. and Canadian industrial production indices as coupled oscillators In: Journal of Economic Dynamics and Control.
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2011Financial integration and the construction of historical financial data for the Euro Area In: Economic Modelling.
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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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1998On the pooling of cross-sectional and time-series data in the presence of heteroskedasticity In: Economics Letters.
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2006Common features 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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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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