7
H index
6
i10 index
168
Citations
University of Technology Sydney | 7 H index 6 i10 index 168 Citations RESEARCH PRODUCTION: 8 Articles 8 Papers RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Angelia L. Grant. | Is cited by: | Cites to: |
Year | Title of citing document |
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2020 | Does strategic commodities price respond to U.S. Partisan Conflict? Evidence from a parametric test of Granger causality in quantiles. (2018). Jiang, Yong. In: Papers. RePEc:arx:papers:1810.08396. Full description at Econpapers || Download paper |
2020 | Econometric issues with Laubach and Williams estimates of the natural rate of interest. (2020). Buncic, Daniel. In: Papers. RePEc:arx:papers:2002.11583. Full description at Econpapers || Download paper |
2020 | Seemingly Unrelated Regression with Measurement Error: Estimation via Markov chain Monte Carlo and Mean Field Variational Bayes Approximation. (2020). Rahman, Mohammad Arshad ; Chaturvedi, Anoop ; BRESSON, Georges ; Shalabh, . In: Papers. RePEc:arx:papers:2006.07074. Full description at Econpapers || Download paper |
2020 | A Model of the Feds View on Inflation. (2020). Pellegrino, Filippo ; Hasenzagl, Thomas ; Ricco, Giovanni ; Reichlin, Lucrezia. In: Papers. RePEc:arx:papers:2006.14110. Full description at Econpapers || Download paper |
2020 | Developments on the Bayesian Structural Time Series Model: Trending Growth. (2020). Kohns, David ; Bhattacharjee, Arnab. In: Papers. RePEc:arx:papers:2011.00938. Full description at Econpapers || Download paper |
2020 | Semi-Structural VAR and Unobserved Components Models to Estimate Finance-Neutral Output Gap. (2020). Kátay, Gábor ; Matthieu, Lequien ; Lisa, Kerdelhue. In: Working papers. RePEc:bfr:banfra:791. Full description at Econpapers || Download paper |
2020 | Identification of structural vector autoregressions by stochastic volatility. (2020). Braun, Robin ; Bertsche, Dominik. In: Bank of England working papers. RePEc:boe:boeewp:0869. Full description at Econpapers || Download paper |
2020 | Is the slope of the Phillips curve time-varying? Evidence from unobserved components models. (2020). Fu, Bowen. In: Economic Modelling. RePEc:eee:ecmode:v:88:y:2020:i:c:p:320-340. Full description at Econpapers || Download paper |
2020 | Trends and cycles under changing economic conditions. (2020). Maria, José ; Duarte, Cláudia ; Sazedj, Sharmin. In: Economic Modelling. RePEc:eee:ecmode:v:92:y:2020:i:c:p:126-146. Full description at Econpapers || Download paper |
2021 | Sectoral Okuns law and cross-country cyclical differences. (2021). Bürgi, Constantin ; Bürgi, Constantin ; Bürgi, Constantin ; Burgi, Constantin ; Goto, Eiji. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:91-103. Full description at Econpapers || Download paper |
2021 | Mixed-frequency SV model for stock volatility and macroeconomics. (2021). Zheng, Tingguo ; Shang, Yuhuang. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:462-472. Full description at Econpapers || Download paper |
2020 | Deviance information criterion for latent variable models and misspecified models. (2020). Yu, Jun ; Zeng, Tao ; Li, Yong. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:2:p:450-493. Full description at Econpapers || Download paper |
2020 | On generalized bivariate student-t Gegenbauer long memory stochastic volatility models with leverage: Bayesian forecasting of cryptocurrencies with a focus on Bitcoin. (2020). Peiris, Shelton ; Chan, Jennifer ; Phillip, Andrew. In: Econometrics and Statistics. RePEc:eee:ecosta:v:16:y:2020:i:c:p:69-90. Full description at Econpapers || Download paper |
2020 | The time-varying asymmetry of exchange rate returns: A stochastic volatility – stochastic skewness model. (2020). Iseringhausen, Martin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:275-292. Full description at Econpapers || Download paper |
2020 | How do oil price shocks affect the output volatility of the U.S. energy mining industry? The roles of structural oil price shocks. (2020). Xiao, Helu ; Lin, Ling ; Liu, Qing ; Zhou, Zhongbao ; Jiang, Yong. In: Energy Economics. RePEc:eee:eneeco:v:87:y:2020:i:c:s0140988320300761. Full description at Econpapers || Download paper |
2020 | Copula stochastic volatility in oil returns: Approximate Bayesian computation with volatility prediction. (2020). Galeano, Pedro ; Ausin, Concepcion M ; Virbickait, Audron. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320303017. Full description at Econpapers || Download paper |
2020 | Heterogeneous dependence between crude oil price volatility and China’s agriculture commodity futures: Evidence from quantile-on-quantile regression. (2020). Ma, Xiang ; Huang, Rui ; Zhu, Huiming ; Hau, Liya. In: Energy. RePEc:eee:energy:v:213:y:2020:i:c:s0360544220318880. Full description at Econpapers || Download paper |
2020 | Managing the risks of energy efficiency insurances in a portfolio context: An actuarial diversification approach. (2020). Wiethe, Christian ; Trankler, Timm ; Toppel, Jannick ; Baltuttis, Dennik. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521918305131. Full description at Econpapers || Download paper |
2021 | Assessing the cyclical behaviour of bank capital buffers in a finance-augmented macro-economy. (2021). Mouratidis, Kostas ; Whyte, Kemar ; Montagnoli, Alberto. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:110:y:2021:i:c:s0261560620302126. Full description at Econpapers || Download paper |
2020 | Does the price of strategic commodities respond to U.S. partisan conflict?. (2020). Sharp, Basil ; Liu, Jiang-Long ; Ma, Chao-Qun ; Ren, Yi-Shuai ; Jiang, Yong. In: Resources Policy. RePEc:eee:jrpoli:v:66:y:2020:i:c:s0301420719307299. Full description at Econpapers || Download paper |
2021 | The contagious effect of China’s energy policy on stock markets: The case of the solar photovoltaic industry. (2021). Hsiao, Cody Yu-Ling ; Sheng, NI ; Wei, Xinyang ; Ai, Dan. In: Renewable Energy. RePEc:eee:renene:v:164:y:2021:i:c:p:74-86. Full description at Econpapers || Download paper |
2020 | Bayesian state space models in macroeconometrics. (2020). Strachan, Rodney. In: CAMA Working Papers. RePEc:een:camaaa:2020-90. Full description at Econpapers || Download paper |
2020 | Estimates of r* Consistent with a Supply-Side Structure and a Monetary Policy Rule for the U.S. Economy. (2020). Laforte, Jean-Philippe ; Gonzalez-Astudillo, Manuel. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2020-85. Full description at Econpapers || Download paper |
2020 | Business cycle dynamics after the Great Recession: An Extended Markov-Switching Dynamic Factor Model. (2020). Ferrara, Laurent ; Doz, Catherine ; Pionnier, Pierre-Alain. In: PSE Working Papers. RePEc:hal:psewpa:halshs-02443364. Full description at Econpapers || Download paper |
2020 | Business cycle dynamics after the Great Recession: An Extended Markov-Switching Dynamic Factor Model. (2020). Pionnier, Pierre-Alain ; Ferrara, Laurent ; Doz, Catherine. In: Working Papers. RePEc:hal:wpaper:halshs-02443364. Full description at Econpapers || Download paper |
2020 | FAQ: How do I extract the output gap?. (2020). Canova, Fabio. In: Working Paper Series. RePEc:hhs:rbnkwp:0386. Full description at Econpapers || Download paper |
2020 | Econometric issues with Laubach and Williams’ estimates of the natural rate of interest. (2020). Buncic, Daniel. In: Working Paper Series. RePEc:hhs:rbnkwp:0397. Full description at Econpapers || Download paper |
2020 | Why has the U.S. economy stagnated since the Great Recession?. (2020). Morley, James ; Eo, Yunjong. In: Discussion Paper Series. RePEc:iek:wpaper:2001. Full description at Econpapers || Download paper |
2020 | Addressing the Pandemics Medium-Term Fallout in Australia and New Zealand. (2020). Loukoianova, Elena ; Bannister, Geoffrey J ; Kothari, Siddharth ; Kido, Yosuke ; Finger, Harald. In: IMF Working Papers. RePEc:imf:imfwpa:2020/272. Full description at Econpapers || Download paper |
2020 | . Full description at Econpapers || Download paper |
2020 | Semi-Structural VAR and Unobserved Components Models to Estimate Finance-Neutral Output Gap. (2020). Lequien, Matthieu ; Kátay, Gábor ; Kerdelhu, Lisa. In: Working Papers. RePEc:jrs:wpaper:202011. Full description at Econpapers || Download paper |
2020 | Causal Relationships Between Inflation and Inflation Uncertainty. (2020). Barnett, William ; Ftiti, Zied ; Jawadi, Fredj. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202010. Full description at Econpapers || Download paper |
2020 | Identifying Risk Factors and Their Premia: A Study on Electricity Prices. (2020). Lunde, Asger ; Wei, Wei. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2020-10. Full description at Econpapers || Download paper |
2020 | Modeling the Volatility of Returns on Commodities: An Application and Empirical Comparison of GARCH and SV Models. (2020). RodrÃguez, Gabriel ; Fernandez, Jean Pierre. In: Documentos de Trabajo / Working Papers. RePEc:pcp:pucwps:wp00484. Full description at Econpapers || Download paper |
2020 | Causal Relationships between Inflation and Inflation Uncertainty. (2020). Barnett, William ; Ftiti, Zied ; Jawadi, Fredj. In: MPRA Paper. RePEc:pra:mprapa:101682. Full description at Econpapers || Download paper |
2020 | Structural Panel Bayesian VAR with Multivariate Time-varying Volatility to jointly deal with Structural Changes, Policy Regime Shifts, and Endogeneity Issues. (2020). Pacifico, Antonio. In: MPRA Paper. RePEc:pra:mprapa:104292. Full description at Econpapers || Download paper |
2020 | Machine Learning Predictions of Housing Market Synchronization across US States: The Role of Uncertainty. (2020). Salisu, Afees ; GUPTA, RANGAN ; Pierdzioch, Christian ; Marfatia, Hardik A. In: Working Papers. RePEc:pre:wpaper:202077. Full description at Econpapers || Download paper |
2020 | Does the price of crude oil help predict the conditional distribution of aggregate equity return?. (2020). Nonejad, Nima. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:1:d:10.1007_s00181-019-01643-2. Full description at Econpapers || Download paper |
2020 | Why are Bayesian trend-cycle decompositions of US real GDP so different?. (2020). Kim, Jaeho ; Chon, Sora . In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:3:d:10.1007_s00181-018-1554-0. Full description at Econpapers || Download paper |
2020 | Reproducing the results in “Does the time-consistency problem explain the behavior of inflation in the United States?†using the Metropolis–Hastings algorithm. (2020). Nonejad, Nima. In: Empirical Economics. RePEc:spr:empeco:v:59:y:2020:i:5:d:10.1007_s00181-019-01778-2. Full description at Econpapers || Download paper |
2020 | On the contribution of international shocks in Australian business cycle fluctuations. (2020). Poon, Aubrey ; Cross, Jamie L. In: Empirical Economics. RePEc:spr:empeco:v:59:y:2020:i:6:d:10.1007_s00181-019-01752-y. Full description at Econpapers || Download paper |
2020 | Composite likelihood methods for large Bayesian VARs with stochastic volatility. (2020). Koop, Gary ; Chan, Joshua ; Hou, Chenghan ; Eisenstat, Eric. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:35:y:2020:i:6:p:692-711. Full description at Econpapers || Download paper |
2020 | A detailed look at crude oil price volatility prediction using macroeconomic variables. (2020). Nonejad, Nima. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:7:p:1119-1141. Full description at Econpapers || Download paper |
2020 | Sparse Bayesian vector autoregressions in huge dimensions. (2020). Kastner, Gregor ; Huber, Florian. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:7:p:1142-1165. Full description at Econpapers || Download paper |
2021 | Dynamics and synchronization of global equilibrium interest rates. (2021). Milivojevic, Lazar ; Beyer, Robert . In: IMFS Working Paper Series. RePEc:zbw:imfswp:146. Full description at Econpapers || Download paper |
2020 | Inflation expectation uncertainty in a New Keynesian framework. (2020). Schmidt, Torsten ; Fuest, Angela. In: Ruhr Economic Papers. RePEc:zbw:rwirep:867. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2016 | Fast computation of the deviance information criterion for latent variable models In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 22 |
2014 | Fast Computation of the Deviance Information Criterion for Latent Variable Models.(2014) In: CAMA Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | paper | |
2017 | Reconciling output gaps: Unobserved components model and Hodrick–Prescott filter In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 14 |
2016 | Reconciling output gaps: unobserved components model and Hodrick-Prescott filter.(2016) In: CAMA Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | paper | |
2018 | The Great Recession and Okuns law In: Economic Modelling. [Full Text][Citation analysis] | article | 6 |
2015 | Pitfalls of estimating the marginal likelihood using the modified harmonic mean In: Economics Letters. [Full Text][Citation analysis] | article | 13 |
2015 | Pitfalls of Estimating the Marginal Likelihood Using the Modified Harmonic Mean.(2015) In: CAMA Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2016 | Modeling energy price dynamics: GARCH versus stochastic volatility In: Energy Economics. [Full Text][Citation analysis] | article | 53 |
2015 | Modeling energy price dynamics: GARCH versus stochastic volatility.(2015) In: CAMA Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 53 | paper | |
2014 | Issues in Comparing Stochastic Volatility Models Using the Deviance Information Criterion In: CAMA Working Papers. [Full Text][Citation analysis] | paper | 7 |
2015 | A Bayesian model comparison for trend-cycle decompositions of output In: CAMA Working Papers. [Full Text][Citation analysis] | paper | 18 |
2017 | A Bayesian Model Comparison for Trendâ€Cycle Decompositions of Output.(2017) In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | article | |
2017 | Measuring the output gap using stochastic model specification search In: CAMA Working Papers. [Full Text][Citation analysis] | paper | 5 |
2016 | On the Observed-Data Deviance Information Criterion for Volatility Modeling In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 29 |
2016 | An Australian Labour Market Conditions Index In: Treasury Working Papers. [Full Text][Citation analysis] | paper | 0 |
2017 | The Early Millennium Slowdown: Replicating the Peersman (2005) Results In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 1 |
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