Angelia L. Grant : Citation Profile

Are you Angelia L. Grant?

University of Technology Sydney

7

H index

5

i10 index

117

Citations

RESEARCH PRODUCTION:

8

Articles

8

Papers

RESEARCH ACTIVITY:

   4 years (2014 - 2018). See details.
   Cites by year: 29
   Journals where Angelia L. Grant has often published
   Relations with other researchers
   Recent citing documents: 83.    Total self citations: 7 (5.65 %)

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   Permalink: http://citec.repec.org/pgr551
   Updated: 2020-05-23    RAS profile: 2019-07-10    
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Relations with other researchers

Works with:

Chan, Joshua (13)

Authors registered in RePEc who have co-authored more than one work in the last five years with Angelia L. Grant.

Is cited by:

Chan, Joshua (17)

Eisenstat, Eric (12)

Koop, Gary (9)

Baum, Christopher (7)

Dunne, Peter (5)

Khabibullin, Ramis (4)

Cross, Jamie (4)

Phiri, Andrew (4)

Chen, Liyuan (4)

Zerilli, Paola (4)

Poon, Aubrey (4)

Cites to:

Chan, Joshua (32)

Koop, Gary (21)

Eisenstat, Eric (11)

Morley, James (9)

McCausland, William (8)

Potter, Simon (8)

Korobilis, Dimitris (7)

Strachan, Rodney (7)

Yu, Jun (7)

Watson, Mark (6)

Nelson, Charles (6)

Main data

Where Angelia L. Grant has published?

Recent works citing Angelia L. Grant (2018 and 2017)

YearTitle of citing document
2019Measuring the output gap, potential output growth and natural interest rate from a semi-structural dynamic model for Peru. (2019). Florián, David ; Castillo, Luis ; Hoyle, David Florian. In: Working Papers. RePEc:apc:wpaper:159.

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2017Cohort effects in mortality modelling: a Bayesian state-space approach. (2017). Shevchenko, Pavel V ; Peters, Gareth W ; Fung, Man Chung. In: Papers. RePEc:arx:papers:1703.08282.

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2017Semiparametric GARCH via Bayesian model averaging. (2017). Gerlach, Richard H ; Ye, Wilson . In: Papers. RePEc:arx:papers:1708.07587.

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2020Does 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.

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2018Multilateral Index Number Systems for International Price Comparisons: Properties, Existence and Uniqueness. (2018). Rao, D.S. Prasada ; Hajargasht, Gholamreza. In: Papers. RePEc:arx:papers:1811.04197.

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2020Econometric issues with Laubach and Williams estimates of the natural rate of interest. (2020). Buncic, Daniel. In: Papers. RePEc:arx:papers:2002.11583.

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2018A time series model of interest rates with the effective lower bound. (2018). Mertens, Elmar ; Johannsen, Benjamin K. In: BIS Working Papers. RePEc:bis:biswps:715.

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2019What measures of real economic activity slack are helpful for forecasting Russian inflation?. (2019). Khabibullin, Ramis. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps50.

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2018Assessing the Synchronicity and Nature of Australian State Business Cycles. (2018). Poon, Aubrey. In: The Economic Record. RePEc:bla:ecorec:v:94:y:2018:i:307:p:372-390.

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2019Has the 2008 financial crisis and its aftermath changed the impact of inflation on inflation uncertainty in member states of the european monetary union?. (2019). Nonejad, Nima. In: Scottish Journal of Political Economy. RePEc:bla:scotjp:v:66:y:2019:i:2:p:246-276.

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2018On the China factor in international oil markets: A regime switching approach. (2018). Cross, Jamie ; Nguyen, Bao H ; Hou, Chenghan. In: Working Papers. RePEc:bny:wpaper:0069.

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2018International Transmission of Macroeconomic Uncertainty in Small Open Economies: An Empirical Approach. (2018). Cross, Jamie ; Poon, Aubrey ; Hou, Chenghan. In: Working Papers. RePEc:bny:wpaper:0070.

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2019Stochastic volatility, jumps and leverage in energy and stock markets: evidence from high frequency data. (2019). Zerilli, Paola ; Chen, Liyuan ; Baum, Christopher. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:952.

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2018Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications. (2018). Zerilli, Paola ; Chen, Liyuan ; Baum, Christopher. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:953.

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2018High-frequency Cash Flow Dynamics. (2018). Pettenuzzo, Davide ; Timmermann, Allan ; Sabbatucci, Riccardo. In: Working Papers. RePEc:brd:wpaper:120.

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2018Positive Liquidity Spillovers from Sovereign Bond-Backed Securities. (2018). Dunne, Peter. In: Research Technical Papers. RePEc:cbi:wpaper:5/rt/18.

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2018Testing for time-varying stochastic volatility in Bitcoin returns. (2018). Salisu, Afees ; Adediran, Idris. In: Working Papers. RePEc:cui:wpaper:0060.

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2018Does time-variation matter in the stochastic volatility components for G7 stock returns. (2018). . In: Working Papers. RePEc:cui:wpaper:0062.

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2018Extending the state-space representation of the judgement-augmented Hodrick-Prescott filter. (2018). Jnsson, Kristian . In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00650.

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2018Semi-structural credit gap estimation. (2018). Welz, Peter ; Lang, Jan Hannes. In: Working Paper Series. RePEc:ecb:ecbwps:20182194.

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2017Parameter instability, stochastic volatility and estimation based on simulated likelihood: Evidence from the crude oil market. (2017). Nonejad, Nima. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:388-408.

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2019Self-employment and the Okuns law. (2019). Porras, María ; Martín-Román, Ángel ; Martin-Roman, Angel L ; Porras-Arena, Sylvina M. In: Economic Modelling. RePEc:eee:ecmode:v:77:y:2019:i:c:p:253-265.

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2018Comparing hybrid time-varying parameter VARs. (2018). Chan, Joshua ; Eisenstat, Eric. In: Economics Letters. RePEc:eee:ecolet:v:171:y:2018:i:c:p:1-5.

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2018Identifying asymmetric effects of labor market reforms. (2018). Gehrke, Britta ; Weber, Enzo. In: European Economic Review. RePEc:eee:eecrev:v:110:y:2018:i:c:p:18-40.

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2017Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model. (2017). Yin, Libo ; Wu, Chongfeng ; Wang, Yudong ; Pan, Zhiyuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:130-142.

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2019Sovereign bond-backed securities: A VAR-for-VaR and marginal expected shortfall assessment. (2019). Dunne, Peter ; Reininger, Thomas ; Puhl, Martin ; de Sola, Maite. In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:33-52.

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2017The relationship between global oil price shocks and Chinas output: A time-varying analysis. (2017). Cross, Jamie ; Nguyen, Bao H. In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:79-91.

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2018A generalized Schwartz model for energy spot prices — Estimation using a particle MCMC method. (2018). Brix, Anne Floor ; Wei, Wei ; Lunde, Asger. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:560-582.

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2019Do high-frequency stock market data help forecast crude oil prices? Evidence from the MIDAS models. (2019). Wang, Jin-Li ; Zhang, Yue-Jun. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:192-201.

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2019Forecasting volatility and correlation between oil and gold prices using a novel multivariate GAS model. (2019). Xu, Jianjun ; Chen, Rongda. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:379-391.

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2019Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications. (2019). Baum, Christopher ; Zerilli, Paola ; Chen, Liyuan. In: Energy Economics. RePEc:eee:eneeco:v:79:y:2019:i:c:p:111-129.

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2019Modeling energy efficiency insurances and energy performance contracts for a quantitative comparison of risk mitigation potential. (2019). Trankler, Timm ; Toppel, Jannick. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:842-859.

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2018Exploiting dependence: Day-ahead volatility forecasting for crude oil and natural gas exchange-traded funds. (2018). Molnár, Peter ; Lyócsa, Štefan. In: Energy. RePEc:eee:energy:v:155:y:2018:i:c:p:462-473.

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2018Déjà vol oil? Predicting S&P 500 equity premium using crude oil price volatility: Evidence from old and recent time-series data. (2018). Nonejad, Nima. In: International Review of Financial Analysis. RePEc:eee:finana:v:58:y:2018:i:c:p:260-270.

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2018Estimating stochastic volatility with jumps and asymmetry in Asian markets. (2018). Saranya, K ; Prasanna, Krishna P. In: Finance Research Letters. RePEc:eee:finlet:v:25:y:2018:i:c:p:145-153.

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2019Ordinal-response GARCH models for transaction data: A forecasting exercise. (2019). Tsionas, Mike ; Dimitrakopoulos, Stefanos . In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1273-1287.

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2019Volatility forecasting of crude oil futures: The role of investor sentiment and leverage effect. (2019). Gong, XU ; Yang, Cai ; Zhang, Hongwei. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:548-563.

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2017Mutual information and persistence in the stochastic volatility of market returns: An emergent market example. (2017). Dima, Bogdan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:51:y:2017:i:c:p:36-59.

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2019Disentangling the drivers of carbon prices in Chinas ETS pilots — An EEMD approach. (2019). Xu, Jia ; Liu, YU ; He, Gang ; Tan, Xiujie. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:139:y:2019:i:c:p:1-9.

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2019Have Irish sovereign bonds decoupled from the euro area periphery, and why?. (2019). McQuinn, Kieran ; Dunne, Peter ; Cronin, David. In: Papers. RePEc:esr:wpaper:wp625.

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2018.

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2019Identifying shocks via time-varying volatility. (2019). Lewis, Daniel. In: Staff Reports. RePEc:fip:fednsr:871.

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2019Announcement-Specific Decompositions of Unconventional Monetary Policy Shocks and Their Macroeconomic Effects. (2019). Lewis, Daniel. In: Staff Reports. RePEc:fip:fednsr:891.

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2018A Trading-Based Evaluation of Density Forecasts in a Real-Time Electricity Market. (2018). Bunn, Derek W ; Kermer, Stefan ; Gianfreda, Angelica. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:10:p:2658-:d:173889.

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2018Value-at-Risk for South-East Asian Stock Markets: Stochastic Volatility vs. GARCH. (2018). Walther, Thomas ; Nguyen, Nam H ; Klein, Tony ; Quang, Paul Bui. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:2:p:18-:d:139768.

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2019Positive Liquidity Spillovers from Sovereign Bond-Backed Securities. (2019). Dunne, Peter. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:58-:d:221149.

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2019Threshold Stochastic Conditional Duration Model for Financial Transaction Data. (2019). Wirjanto, Tony S ; Kolkiewicz, Adam W ; Men, Zhongxian. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:88-:d:230954.

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2018Time-Varying Volatility Feedback of Energy Prices: Evidence from Crude Oil, Petroleum Products, and Natural Gas Using a TVP-SVM Model. (2018). Jiang, Yong ; Ren, Yi-Shuai ; Yang, Xiao-Guang ; Ma, Chao-Qun. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:12:p:4705-:d:189489.

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2020Business 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.

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2020Business 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.

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2020FAQ: How do I extract the output gap?. (2020). Canova, Fabio. In: Working Paper Series. RePEc:hhs:rbnkwp:0386.

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2017Identifying asymmetric effects of labor market reforms. (2017). Weber, Enzo ; Gehrke, Britta. In: IAB Discussion Paper. RePEc:iab:iabdpa:201723.

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2018The Causal Relationships between Inflation and Inflation Uncertainty. (2018). JAWADI, Fredj ; Barnett, William ; Ftiti, Zied. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:201803.

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2019Modeling Persistence and Parameter Instability in Historical Crude Oil Price Data Using a Gibbs Sampling Approach. (2019). Nonejad, Nima. In: Computational Economics. RePEc:kap:compec:v:53:y:2019:i:4:d:10.1007_s10614-018-9835-4.

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2017Identification of Structural Vector Autoregressions by Stochastic Volatility. (2017). Braun, Robin ; Bertsche, Dominik. In: Working Paper Series of the Department of Economics, University of Konstanz. RePEc:knz:dpteco:1711.

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2018Identification of Structural Vector Autoregressions by Stochastic Volatility. (2018). Braun, Robin ; Bertsche, Dominik. In: Working Paper Series of the Department of Economics, University of Konstanz. RePEc:knz:dpteco:1803.

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2018A provincial perspective of nonlinear Okuns law for emerging markets: The case of South Africa. (2018). Phiri, Andrew ; Kavese, Kambale. In: Working Papers. RePEc:mnd:wpaper:1819.

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2019South African unemployment in the post-financial crisis era: What are the determinants?. (2019). Phiri, Andrew ; Mbekeni, Lutho. In: Working Papers. RePEc:mnd:wpaper:1903.

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2018Regional Output Growth in the United Kingdom: More Timely and Higher Frequency Estimates, 1970-2017. (2018). Mitchell, James ; McIntyre, Stuart ; Koop, Gary ; Poon, Aubrey. In: Economic Statistics Centre of Excellence (ESCoE) Discussion Papers. RePEc:nsr:escoed:escoe-dp-2018-14.

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2018The Causal Relationships between Inflation and Inflation Uncertainty. (2018). JAWADI, Fredj ; Barnett, William ; Ftiti, Zied. In: MPRA Paper. RePEc:pra:mprapa:86478.

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2018A provincial perspective of nonlinear Okuns law for emerging markets: The case of South Africa. (2018). Phiri, Andrew ; Kavese, Kambale. In: MPRA Paper. RePEc:pra:mprapa:86517.

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2019South African unemployment in the post-financial crisis era: What are the determinants?. (2019). Phiri, Andrew ; Mbekeni, Lutho. In: MPRA Paper. RePEc:pra:mprapa:94159.

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2019Measuring the output gap, potential output growth and natural interest rate from a semi-structural dynamic model for Peru.. (2019). Florián, David ; Castillo, Luis. In: Working Papers. RePEc:rbp:wpaper:2019-012.

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2018Integrated Deviance Information Criterion for Latent Variable Models. (2018). Yu, Jun ; Zeng, Tao ; JunYu, ; Li, Yong. In: Economics and Statistics Working Papers. RePEc:ris:smuesw:2018_006.

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2018THE TIME-VARYING ASYMMETRY OF EXCHANGE RATE RETURNS: A STOCHASTIC VOLATILITY – STOCHASTIC SKEWNESS MODEL. (2018). Iseringhausen, Martin. In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. RePEc:rug:rugwps:18/944.

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2018Estimating Elasticity of Transport Fuel Demand in Pakistan. (2018). Omer, Muhammad. In: SBP Working Paper Series. RePEc:sbp:wpaper:96.

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2019Output gaps, inflation and financial cycles in the UK. (2019). Toth, Mate ; Melolinna, Marko. In: Empirical Economics. RePEc:spr:empeco:v:56:y:2019:i:3:d:10.1007_s00181-018-1498-4.

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2020Does 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.

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2020Why 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.

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2018Large Shocks and the Business Cycle: The Effect of Outlier Adjustments. (2018). Ohtsuka, Yoshihiro. In: Journal of Business Cycle Research. RePEc:spr:jbuscr:v:14:y:2018:i:1:d:10.1007_s41549-018-0027-z.

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2018Comments on: Some recent work on multivariate Gaussian Markov random fields. (2018). Greco, Fedele ; Trivisano, Carlo. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:27:y:2018:i:3:d:10.1007_s11749-018-0607-1.

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2018Positive liquidity spillovers from sovereign bond-backed securities. (2018). Dunne, Peter. In: ESRB Working Paper Series. RePEc:srk:srkwps:201867.

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2019Why has the US economy stagnated since the Great Recession?. (2019). Morley, James ; Eo, Yunjong. In: Working Papers. RePEc:syd:wpaper:2017-14.

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2018Composite Likelihood Methods for Large Bayesian VARs with Stochastic Volatility. (2018). Koop, Gary ; Eisenstat, Eric ; Chan, Joshua ; Hou, Chenghan. In: Working Paper Series. RePEc:uts:ecowps:44.

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2019Regional Output Growth in the United Kingdom: More Timely and Higher Frequency Estimates, 1970-2017. (2019). Mitchell, James ; McIntyre, Stuart ; Koop, Gary ; Poon, Aubrey. In: EMF Research Papers. RePEc:wrk:wrkemf:20.

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2018MODELING THE DYNAMICS OF INTERNATIONAL AGRICULTURAL COMMODITY PRICES: A COMPARISON OF GARCH AND STOCHASTIC VOLATILITY MODELS. (2018). Yang, Lu ; Hamori, Shigeyuki. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:13:y:2018:i:03:n:s2010495218500100.

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2019Credit constraints and the propagation of the Great Depression in Germany. (2019). Adam, Marc ; Jansson, Walter. In: Discussion Papers. RePEc:zbw:fubsbe:201912.

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2018Vor wichtigen wirtschaftspolitischen Weichenstellungen. Jahresgutachten 2018/19. (2018). . In: Annual Economic Reports / Jahresgutachten. RePEc:zbw:svrwjg:201819.

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2018Indicator-based estimates of the output gap in the euro area. (2018). Weiske, Sebastian. In: Working Papers. RePEc:zbw:svrwwp:122018.

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2018Inflation Expectation Uncertainty, Inflation and the Outputgap. (2018). Schmidt, Torsten. In: Annual Conference 2018 (Freiburg, Breisgau): Digital Economy. RePEc:zbw:vfsc18:181575.

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2018Identification of Structural Vector Autoregressions by Stochastic Volatility. (2018). Braun, Robin ; Bertsche, Dominik. In: Annual Conference 2018 (Freiburg, Breisgau): Digital Economy. RePEc:zbw:vfsc18:181631.

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2019Indicator-based estimates of the output gap in the euro area. (2019). Weiske, Sebastian. In: Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy. RePEc:zbw:vfsc19:203604.

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Works by Angelia L. Grant:

YearTitleTypeCited
2016Fast computation of the deviance information criterion for latent variable models In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article17
2014Fast 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: 17		paper
2017Reconciling output gaps: Unobserved components model and Hodrick–Prescott filter In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article7
2016Reconciling 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: 7		paper
2018The Great Recession and Okuns law In: Economic Modelling.
[Full Text][Citation analysis]		article5
2015Pitfalls of estimating the marginal likelihood using the modified harmonic mean In: Economics Letters.
[Full Text][Citation analysis]		article11
2015Pitfalls 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: 11		paper
2016Modeling energy price dynamics: GARCH versus stochastic volatility In: Energy Economics.
[Full Text][Citation analysis]		article34
2015Modeling energy price dynamics: GARCH versus stochastic volatility.(2015) In: CAMA Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 34		paper
2014Issues in Comparing Stochastic Volatility Models Using the Deviance Information Criterion In: CAMA Working Papers.
[Full Text][Citation analysis]		paper7
2015A Bayesian model comparison for trend-cycle decompositions of output In: CAMA Working Papers.
[Full Text][Citation analysis]		paper12
2017A Bayesian Model Comparison for Trend‐Cycle Decompositions of Output.(2017) In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12		article
2017Measuring the output gap using stochastic model specification search In: CAMA Working Papers.
[Full Text][Citation analysis]		paper1
2016On the Observed-Data Deviance Information Criterion for Volatility Modeling In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article22
2016An Australian Labour Market Conditions Index In: Treasury Working Papers.
[Full Text][Citation analysis]		paper0
2017The Early Millennium Slowdown: Replicating the Peersman (2005) Results In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article1

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