Anthony David Hall : Citation Profile

13

H index

17

i10 index

1329

Citations

RESEARCH PRODUCTION:

27

Articles

21

Papers

1

Chapters

RESEARCH ACTIVITY:

   44 years (1981 - 2025). See details.
   Cites by year: 30
   Journals where Anthony David Hall has often published
   Relations with other researchers
   Recent citing documents: 33.    Total self citations: 8 (0.6 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pha174
   Updated: 2025-12-13    RAS profile: 2025-12-09    
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Relations with other researchers

Works with:

Silvennoinen, Annastiina (2)

Teräsvirta, Timo (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Anthony David Hall.

Is cited by:

Hautsch, Nikolaus (19)

Ubilava, David (13)

McKenzie, Colin (11)

Thornton, Daniel (11)

Baltagi, Badi (9)

Golinelli, Roberto (9)

Strieborny, Martin (9)

Sarno, Lucio (9)

Batten, Jonathan (9)

Jondeau, Eric (9)

Bauwens, Luc (8)

Cites to:

Teräsvirta, Timo (24)

Amado, Cristina (15)

Silvennoinen, Annastiina (13)

Foucault, Thierry (11)

Engle, Robert (10)

Hautsch, Nikolaus (7)

Bollerslev, Tim (6)

pagan, adrian (5)

Bauwens, Luc (5)

Johansen, Soren (5)

Shiller, Robert (5)

Main data

Where Anthony David Hall has published?

Journals with more than one article published# docs
Australian Economic Papers3
Econometric Theory2
Mathematics and Computers in Simulation (MATCOM)2
Econometrics2
Journal of Futures Markets2

Working Papers Series with more than one paper published# docs
Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney7
Published Paper Series / Finance Discipline Group, UTS Business School, University of Technology, Sydney4
FRU Working Papers / University of Copenhagen. Department of Economics. Finance Research Unit2

Recent works citing Anthony David Hall (2025 and 2024)

YearTitle of citing document
2025Empirical Study on Interdependence of Coffee Futures Prices and Farm Gate Prices in Major Coffee Producing Countries. (2025). Vedamurthy, K B ; Melawanki, Mahantesh. In: Asian Journal of Agricultural Extension, Economics & Sociology. RePEc:ags:ajaees:368188.

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2024A Novel Approach to Queue-Reactive Models: The Importance of Order Sizes. (2024). Carlier, Laurent ; Bodor, Hamza. In: Papers. RePEc:arx:papers:2405.18594.

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2025Intraday order transition dynamics in high, medium, and low market cap stocks: A Markov chain approach. (2025). Luwang, SR ; Petroni, F ; Nurujjaman, MD ; Rai, A. In: Papers. RePEc:arx:papers:2502.07625.

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2025Time Series Foundation Models for Multivariate Financial Time Series Forecasting. (2025). Marconi, Ben A. In: Papers. RePEc:arx:papers:2507.07296.

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2024Water risk and financial analysts information environment: Empirical evidence from China. (2024). Zhou, Ziting ; Su, Kun ; Liu, KE ; An, Hui. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:33:y:2024:i:2:p:1265-1304.

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2025Interest rate control and the transmission of monetary policy. (2025). Pool, Sebastiaan ; Holm-Hadulla, Fdric. In: Working Paper Series. RePEc:ecb:ecbwps:20253048.

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2024True transparency or mere decoupling? The study of selective disclosure in sustainability reporting. (2024). Kamiński, Bogumił ; Roszkowska-Menkes, Maria ; Aluchna, Maria ; Kamiski, Bogumi. In: CRITICAL PERSPECTIVES ON ACCOUNTING. RePEc:eee:crpeac:v:98:y:2024:i:c:s1045235423001612.

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2024A new method for measuring financial resilience. (2024). Chen, Yilin ; Sun, Chentong. In: Economics Letters. RePEc:eee:ecolet:v:242:y:2024:i:c:s0165176524003677.

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2024Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model. (2024). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo ; Kang, Jian ; He, Changli. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:1:s0304407623002105.

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2024Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. (2024). Teräsvirta, Timo ; Terasvirta, Timo ; Silvennoinen, Annastiina. In: Econometrics and Statistics. RePEc:eee:ecosta:v:32:y:2024:i:c:p:57-72.

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2025The effect of currency risk on crypto asset utilization in Türkiye. (2025). Smales, Lee ; Baur, Dirk G ; Oefele, Nico. In: Emerging Markets Review. RePEc:eee:ememar:v:65:y:2025:i:c:s1566014125000135.

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2025Employee welfare and earnings management. (2025). Xu, Lin ; Zhai, Qifan. In: International Review of Financial Analysis. RePEc:eee:finana:v:102:y:2025:i:c:s1057521925001632.

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2025Local CSR, local ownership and firm value. (2025). Mavruk, Taylan. In: International Review of Financial Analysis. RePEc:eee:finana:v:102:y:2025:i:c:s1057521925001784.

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2025Behind in time, behind in the game – time zone affects trading aggressiveness. (2025). Lepone, Grace ; Gautam, Anil. In: International Review of Financial Analysis. RePEc:eee:finana:v:97:y:2025:i:c:s1057521924007440.

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2025Environmental orientation, regional innovation, and equity crowdfunding campaigns’ outcomes: Evidence from two Italian platforms. (2025). Capo, Francesca ; Scali, Elena ; Maffiola, Kevin Pirazzi ; D'Angelo, Viviana. In: Finance Research Letters. RePEc:eee:finlet:v:71:y:2025:i:c:s1544612324014314.

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2025Analyzing and forecasting Chinas financial resilience: Measurement techniques and identification of key influencing factors. (2025). Sun, Chentong ; Zhang, XU ; Chen, Yilin. In: Journal of Financial Stability. RePEc:eee:finsta:v:76:y:2025:i:c:s1572308925000014.

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2024Reconciling interest rates evidence with theory: Rejecting unit roots when the HD(1) is a competing alternative. (2024). Palandri, Alessandro. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:161:y:2024:i:c:s0378426624000335.

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2025Does corporate social performance influence a firm’s choice of product recall strategy?. (2025). Adhikari, Ajay ; Paik, Daniel Gyung ; Lee, Brandon Byunghwan ; van der Laan, Joyce. In: Journal of International Accounting, Auditing and Taxation. RePEc:eee:jiaata:v:58:y:2025:i:c:s1061951825000011.

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2025Mainshocks and aftershocks: Assessing the resilience of Asia-Pacific stock markets amid global financial cycle shocks. (2025). Sun, Chentong ; Li, Yanshuang ; Dong, Zibing ; Yi, Shangkun ; Wu, Fenglin. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:91:y:2025:i:c:s0927538x25000575.

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2025Coordination in agri-food supply chains: The role of Geographical Indication certification. (2025). Menapace, Luisa ; Rackl, Jakob. In: International Journal of Production Economics. RePEc:eee:proeco:v:280:y:2025:i:c:s0925527324003517.

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2025Inward FDI and regional performance in Europe after the Great Recession. (2025). Ganau, Roberto ; Crescenzi, Riccardo. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:125406.

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2024The Contribution of Foreign Holdings of U.S. Treasury Securities to the U.S. Long-Term Interest Rate: An Empirical Investigation of the Impact of the Zero Lower Bound. (2024). Martínez García, Enrique ; Zhang, Yixiang. In: Globalization Institute Working Papers. RePEc:fip:feddgw:98916.

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2024Meeting Stakeholder Needs: Who Should Managers Pay Close Attention To? Evidence from Listed Chinese Manufacturing Companies. (2024). Yekini, Sina ; Oino, Isaiah. In: Sustainability. RePEc:gam:jsusta:v:16:y:2024:i:9:p:3806-:d:1387403.

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2025Can ESG Strategies Drive Firm Value Growth in the MENA Region?. (2025). Pasha, Rania ; Farouk, Nardin ; Rashwan, Mohamed. In: Sustainability. RePEc:gam:jsusta:v:17:y:2025:i:17:p:7894-:d:1740514.

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2025Refugee Exposure and Political Backlash: Poland during the Russia-Ukraine War. (2025). Vujic, Suncica ; Clifton-Sprigg, Joanna ; Homburg, Ines. In: IZA Discussion Papers. RePEc:iza:izadps:dp18157.

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2024Functional Cointegration Test for Expectation Hypothesis of the Term Structure of Interest Rates in China. (2024). Lin, Aihua ; Su, Zhifang ; Fu, Yizheng. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:31:y:2024:i:4:d:10.1007_s10690-023-09431-w.

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2024Managerial negative interpretation and environmental CSR: Evidence from China. (2024). Yi, Yaqun ; Ma, Rong. In: Asia Pacific Journal of Management. RePEc:kap:asiapa:v:41:y:2024:i:4:d:10.1007_s10490-023-09921-5.

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2025Complementarities of occupations and language skills of immigrants in Europe. (2025). Tóth, Peter ; Tth, Peter ; Vitlo, Matej. In: Empirica. RePEc:kap:empiri:v:52:y:2025:i:2:d:10.1007_s10663-024-09636-w.

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2025Socially responsible investment funds and firm performance improvement. (2025). Moon, Katie S ; Tosun, Onur Kemal. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:65:y:2025:i:2:d:10.1007_s11156-024-01352-7.

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2024Social Entrepreneurship, Employment, and Financial Performance: A Latent Growth Modeling Approach. (2024). Kim, Cheol Young. In: SAGE Open. RePEc:sae:sagope:v:14:y:2024:i:2:p:21582440241249147.

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2024Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies. (2024). Horst, Ulrich ; Kivman, Evgueni. In: Finance and Stochastics. RePEc:spr:finsto:v:28:y:2024:i:3:d:10.1007_s00780-024-00536-2.

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2024The impact of corporate sustainability performance on advertising efficiency. (2024). Garaus, Marion ; Wagner, Udo ; Weinmayer, Karl. In: OR Spectrum: Quantitative Approaches in Management. RePEc:spr:orspec:v:46:y:2024:i:1:d:10.1007_s00291-023-00717-z.

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2024Complementarities of Occupations and Language Skills of Immigrants in Europe. (2024). Tóth, Peter ; Vitalos, Matej. In: Working and Discussion Papers. RePEc:svk:wpaper:1114.

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Works by Anthony David Hall:

YearTitleTypeCited
2021Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model In: CREATES Research Papers.
[Full Text][Citation analysis]		paper3
1989A Monte Carlo Study of Some Tests of Model Adequacy in Time Series Analysis. In: Journal of Business & Economic Statistics.
[Citation analysis]		article20
1995The Wage-Hours Profile for Young Australians: How Meaningful Are Labour Supply Functions Estimated from Micro Data? In: Australian Economic Papers.
[Citation analysis]		article1
2001Regulatory Tools and Price Changes in Futures Markets. In: Australian Economic Papers.
[Full Text][Citation analysis]		article1
2001Regulatory Tools and Price Changes in Futures Markets In: Australian Economic Papers.
[Full Text][Citation analysis]		article1
1988TESTING SEPARATE TIME SERIES MODELS In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article8
2004Some notes on a dynamic model of international fishing In: Pure Mathematics and Applications.
[Citation analysis]		article0
1987Worldwide Rankings of Research Activity in Econometrics: 1980–1985 In: Econometric Theory.
[Full Text][Citation analysis]		article17
1990Worldwide Rankings of Research Activity in Econometrics: An Update: 1980–1988 In: Econometric Theory.
[Full Text][Citation analysis]		article15
2000Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return Models In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]		paper15
2002Using Bayesian variable selection methods to choose style factors in global stock return models.(2002) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		article
2000Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return Models.(2000) In: Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		paper
2015Resiliency of the limit order book In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article19
1988Tests of non-nested linear regression models subject to linear restrictions In: Economics Letters.
[Full Text][Citation analysis]		article10
1983Confidence contours for two test statistics for non-nested regression models In: Journal of Econometrics.
[Full Text][Citation analysis]		article3
2007Modelling the buy and sell intensity in a limit order book market In: Journal of Financial Markets.
[Full Text][Citation analysis]		article45
1992A study of various score test statistics for heteroscedasticity in the general linear model In: Mathematics and Computers in Simulation (MATCOM).
[Full Text][Citation analysis]		article1
1999Parametric forecasts of Australian yield curves In: Mathematics and Computers in Simulation (MATCOM).
[Full Text][Citation analysis]		article0
2013Macro-Econometric System Modelling @75 In: CAMA Working Papers.
[Full Text][Citation analysis]		paper4
2013Macro-Econometric System Modelling @75.(2013) In: NCER Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
1990TREASURY BI;; YIELD CURVES AND COINTEGRATION. In: Australian National University - Department of Economics.
[Citation analysis]		paper11
1995Modelling the Term Structure. In: Australian National University - Department of Economics.
[Citation analysis]		paper63
2023Building Multivariate Time-Varying Smooth Transition Correlation GARCH Models, with an Application to the Four Largest Australian Banks In: Econometrics.
[Full Text][Citation analysis]		article1
2025Investigating Some Issues Relating to Regime Matching In: Econometrics.
[Full Text][Citation analysis]		article0
1998A nonlinear time series model of El Niño In: SSE/EFI Working Paper Series in Economics and Finance.
[Citation analysis]		paper24
1981The LIML and Related Estimators of an Equation with Moving Average Disturbances. In: International Economic Review.
[Full Text][Citation analysis]		article5
2007What Corporate Social Responsibility Activities are Valued by the Market? In: Journal of Business Ethics.
[Full Text][Citation analysis]		article215
2004A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market In: Discussion Papers.
[Full Text][Citation analysis]		paper10
2004A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market.(2004) In: FRU Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2004A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market.(2004) In: Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2004Order Aggressiveness and Order Book Dynamics In: FRU Working Papers.
[Full Text][Citation analysis]		paper58
2006Order aggressiveness and order book dynamics.(2006) In: Empirical Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 58		article
2008Order aggressiveness and order book dynamics.(2008) In: Studies in Empirical Economics.
[Citation analysis]
This paper has nother version. Agregated cites: 58		chapter
1983Assessing the Variability of Inflation In: The Review of Economic Studies.
[Full Text][Citation analysis]		article66
2013The anatomy of portfolio skewness and kurtosis In: Journal of Asset Management.
[Full Text][Citation analysis]		article4
2013The anatomy of portfolio skewness and kurtosis.(2013) In: Published Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2003A Survival Analysis of Australian Equity Mutual Funds In: Australian Journal of Management.
[Full Text][Citation analysis]		article8
2003A Survival Analysis of Australian Equity Mutual Funds.(2003) In: Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		paper
2015Evaluating the impact of inequality constraints and parameter uncertainty on optimal portfolio choice In: Applied Economics.
[Full Text][Citation analysis]		article0
1992A Cointegration Analysis of Treasury Bill Yields. In: The Review of Economics and Statistics.
[Full Text][Citation analysis]		article388
1983Diagnostic tests as residual analysis In: Published Paper Series.
[Full Text][Citation analysis]		paper274
2001The prediction of earnings movements using accounting data: An update and extension of Ou and Penman In: Published Paper Series.
[Full Text][Citation analysis]		paper9
2007A Hybrid Artificial Neural Network-Numerical Model for Ground Water Problems In: Published Paper Series.
[Full Text][Citation analysis]		paper1
2008Modelling Adverse Selection on Electronic Order-Driven Markets In: Research Paper Series.
[Full Text][Citation analysis]		paper2
1998Limits to Linear Price Behaviour: Target Zones for Futures Prices Regulated By Limits In: Research Paper Series.
[Full Text][Citation analysis]		paper6
2000A Bayesian Approach to Variable Selection in Logistic Regression with Application to Predicting Earnings Direction from Accounting Information In: Research Paper Series.
[Full Text][Citation analysis]		paper4
2001Migration of Price Discovery With Constrained Futures Markets In: Research Paper Series.
[Full Text][Citation analysis]		paper2
2001Limits to linear price behavior: futures prices regulated by limits In: Journal of Futures Markets.
[Full Text][Citation analysis]		article12
2006Migration of price discovery in semiregulated derivatives markets In: Journal of Futures Markets.
[Full Text][Citation analysis]		article3

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