Ólan Thomas Henry : Citation Profile


Are you Ólan Thomas Henry?

University of Liverpool

12

H index

14

i10 index

557

Citations

RESEARCH PRODUCTION:

29

Articles

38

Papers

1

Chapters

RESEARCH ACTIVITY:

   18 years (1995 - 2013). See details.
   Cites by year: 30
   Journals where Ólan Thomas Henry has often published
   Relations with other researchers
   Recent citing documents: 64.    Total self citations: 20 (3.47 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/phe111
   Updated: 2019-09-14    RAS profile: 2017-04-04    
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Relations with other researchers


Works with:

Dungey, Mardi (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Ólan Thomas Henry.

Is cited by:

Fountas, Stilianos (22)

Gil-Alana, Luis (17)

Miller, Stephen (14)

Pelloni, Alessandra (14)

Caporale, Guglielmo Maria (11)

Serletis, Apostolos (11)

Baharumshah, Ahmad Zubaidi (9)

Dungey, Mardi (9)

Bredin, Don (9)

cotter, john (8)

Annicchiarico, Barbara (8)

Cites to:

Engle, Robert (33)

Olekalns, Nilss (18)

Bollerslev, Tim (17)

Perron, Pierre (17)

Brooks, Chris (16)

Jagannathan, Ravi (16)

Campbell, John (16)

Diebold, Francis (13)

shin, yongcheol (11)

Pesaran, M (11)

Andersen, Torben (10)

Main data


Where Ólan Thomas Henry has published?


Journals with more than one article published# docs
The Economic Record4
Australian Economic Papers3
Applied Financial Economics3
Journal of Macroeconomics2
The Journal of Business2
Economics Letters2
Economic Modelling2

Working Papers Series with more than one paper published# docs
Working Papers / University of Tasmania, Tasmanian School of Business and Economics2

Recent works citing Ólan Thomas Henry (2018 and 2017)


YearTitle of citing document
2017Some stylized facts of the Bitcoin market. (2017). Fernandez Bariviera, Aurelio ; Naiouf, Marcelo ; Hasperu, Waldo ; Jos, Mar'Ia . In: Papers. RePEc:arx:papers:1708.04532.

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2018A review of research on regulation changes in the Asia‐Pacific region. (2018). Chang, Millicent ; Wee, Marvin ; Jackson, Andrew B. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:3:p:635-667.

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2018Price Volatility Spillovers in the Western Canadian Feed Barley, U.S. Corn, and Alberta Cattle Markets. (2018). Rude, James ; Qiu, Feng ; Zhen, Miao . In: Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie. RePEc:bla:canjag:v:66:y:2018:i:2:p:209-229.

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2017Long Memory and Data Frequency in Financial Markets. (2017). Plastun, Alex ; Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6396.

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2017Is Market Fear Persistent? A Long-Memory Analysis. (2017). Plastun, Alex ; Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6534.

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2018Modelling Volatility of Cryptocurrencies Using Markov-Switching Garch Models. (2018). Caporale, Guglielmo Maria ; Zekokh, Timur. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7167.

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2017A Capital Flight-Growth Nexus in Sub-Saharan Africa: The Role of Macroeconomic Uncertainty. (2017). Salisu, Afees ; Isah, Kazeem. In: Working Papers. RePEc:cui:wpaper:0034.

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2017Long Memory and Data Frequency in Financial Markets. (2017). Plastun, Alex ; Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1647.

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2018Market Efficiency and Optimal Hedging Strategy for the US Ethanol Market. (2018). Paris, Anthony ; HACHE, Emmanuel. In: EconomiX Working Papers. RePEc:drm:wpaper:2018-6.

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2017The Asymmetric Effects of Real and Nominal Uncertainty on Inflation and Output Growth: Empirical Evidence from Bangladesh. (2017). Law, Siong Hook ; Habibullah, Muzafar Shah ; Baharumshah, Ahmad Zubaidi ; Hook, Law Siong . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-01-49.

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2017How credible is inflation targeting in Asia? A quantile unit root perspective. (2017). Holmes, Mark ; Hassan, Gazi ; Glenn, Harold. In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:194-210.

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2017The growth-volatility nexus: New evidence from an augmented GARCH-M model. (2017). Trypsteen, Steven. In: Economic Modelling. RePEc:eee:ecmode:v:63:y:2017:i:c:p:15-25.

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2019Predictive ability of financial variables in changing economic circumstances. (2019). Vataja, Juuso ; Rahko, Jaana ; Kuosmanen, Petri. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:37-47.

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2018Does ethics improve stock market resilience in times of instability?. (2018). Erragragui, Elias ; Faisal, Abu Nahian ; Peillex, Jonathan ; Hassan, Kabir M. In: Economic Systems. RePEc:eee:ecosys:v:42:y:2018:i:3:p:450-469.

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2017Return distribution, leverage effect and spot-futures spread on the hedging effectiveness. (2017). Kao, Wei-Shun ; Wu, Chien-Hui ; Changchien, Chang-Cheng ; Lin, Chu-Hsiung. In: Finance Research Letters. RePEc:eee:finlet:v:22:y:2017:i:c:p:158-162.

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2018Study on the influence mechanism of air quality on stock market yield and Volatility: Empirical test from China based on GARCH model. (2018). An, NA ; Sun, YI ; Guo, Kun ; Pan, Peilin ; Wang, Baixue. In: Finance Research Letters. RePEc:eee:finlet:v:26:y:2018:i:c:p:119-125.

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2018Is market fear persistent? A long-memory analysis. (2018). Plastun, Alex ; Caporale, Guglielmo Maria ; Gil-Alana, Luis. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:140-147.

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2018The microstructure of a U.S. Treasury ECN: The BrokerTec platform. (2018). Fleming, Michael ; Nguyen, Giang ; Mizrach, Bruce. In: Journal of Financial Markets. RePEc:eee:finmar:v:40:y:2018:i:c:p:2-22.

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2017Threshold stochastic volatility: Properties and forecasting. (2017). Veiga, Helena ; Ruiz, Esther ; Mao, Xiuping. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:1105-1123.

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2017Beta forecasting at long horizons. (2017). Cenesizoglu, Tolga ; Reeves, Jonathan J ; de Oliveira, Fabio. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:936-957.

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2017Uncertainty and employment dynamics in the euro area and the US. (2017). Netšunajev, Aleksei ; Glass, Katharina ; Netunajev, Aleksei. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:51:y:2017:i:c:p:48-62.

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2017Global macroeconomic uncertainty. (2017). Kempa, Bernd ; Grabert, Sibylle ; Berger, Tino. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:53:y:2017:i:c:p:42-56.

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2017Is gold a hedge or safe haven for Islamic stock market movements? A Markov switching approach. (2017). Chkili, Walid. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:42-43:y:2017:i::p:152-163.

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2017Some stylized facts of the Bitcoin market. (2017). Fernandez Bariviera, Aurelio ; Naiouf, Marcelo ; Hasperue, Waldo ; Basgall, Maria Jose . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:484:y:2017:i:c:p:82-90.

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2019On the determinants of long-run inflation uncertainty: Evidence from a panel of 17 developed economies. (2019). Conrad, Christian ; Hartmann, Matthias . In: European Journal of Political Economy. RePEc:eee:poleco:v:56:y:2019:i:c:p:233-250.

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2019Time-varying predictive content of financial variables in forecasting GDP growth in the G-7 countries. (2019). Vataja, Juuso ; Kuosmanen, Petri. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:71:y:2019:i:c:p:211-222.

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2017Stock index hedging using a trend and volatility regime-switching model involving hedging cost. (2017). Su, Ender . In: International Review of Economics & Finance. RePEc:eee:reveco:v:47:y:2017:i:c:p:233-254.

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2018Dynamic hedging performance and downside risk: Evidence from Nikkei index futures. (2018). Ubukata, Masato. In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:270-281.

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2019The role of emerging economies in the global price formation process of commodities: Evidence from Brazilian and U.S. coffee markets. (2019). Gross, Christian ; Souza, Waldemar ; Bohl, Martin T. In: International Review of Economics & Finance. RePEc:eee:reveco:v:60:y:2019:i:c:p:203-215.

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2017Financial intermediary leverage spillovers. (2017). Serletis, Apostolos ; Istiak, Khandokar. In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pb:p:1000-1007.

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2017Nominal uncertainty, real uncertainty and macroeconomic performance in a time-varying asymmetric framework: Implications for monetary policy. (2017). Habibullah, Muzafar Shah ; Baharumshah, Ahmad Zubaidi ; Hook, Law Siong . In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:75-93.

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2019Modelling volatility of cryptocurrencies using Markov-Switching GARCH models. (2019). Caporale, Guglielmo Maria ; Zekokh, Timur. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:143-155.

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2017A re-examination of growth and growth uncertainty relationship in a stochastic volatility in mean model with time-varying parameters. (2017). Ozdemir, Zeynel ; Balcilar, Mehmet. In: Working Papers. RePEc:emu:wpaper:15-32.pdf.

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2017¿Existe memoria larga en mercados bursátiles, o depende del modelo, periodo o frecuencia? (Is there Long Memory in Stock Markets, or Does it Depend on the Model, Period or Frequency?). (2017). Venegas-Martínez, Francisco ; Calderon-Villareal, Cuauhtemoc ; Venegas-Martinez, Francisco ; Salazar-Nuez, Hector F. In: Ensayos Revista de Economia. RePEc:ere:journl:v:xxxvi:y:2017:i:1:p:1-24.

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2017An index of Treasury Market liquidity: 1991-2017. (2017). Vogt, Erik ; Fleming, Michael ; Adrian, Tobias. In: Staff Reports. RePEc:fip:fednsr:827.

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2017The Memory of Stock Return Volatility: Asset Pricing Implications. (2017). Sibbertsen, Philipp ; Prokopczuk, Marcel ; Benno, Duc Binh. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-613.

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2017The Long Memory of Equity Volatility: International Evidence. (2017). Sibbertsen, Philipp ; Prokopczuk, Marcel ; Benno, Duc Binh. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-614.

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2018Ownership in Emerging Market Firms and International investments: Board independence and CEO duality as Moderators. (2018). Shubhasis, Dey . In: Working papers. RePEc:iik:wpaper:252.

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2017Sources of Uncertainty and the Indian Economy. (2017). Shubhasis, Dey . In: Working papers. RePEc:iik:wpaper:253-1.

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2018Dynamic Causality Between Stock Return and Exchange Rate: Is Stock-Oriented Hypothesis More Relevant in Malaysia?. (2018). Lau, Wee-Yeap ; Go, You-How. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:25:y:2018:i:2:d:10.1007_s10690-018-9244-7.

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2017The stationarity of inflation in Croatia: anti-inflation stabilization program and the change in persistence. (2017). Payne, James ; Mervar, Andrea ; Gil-Alana, Luis. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:50:y:2017:i:1:d:10.1007_s10644-016-9181-2.

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2017The return of financial variables in forecasting GDP growth in the G-7. (2017). Kuosmanen, Petri ; Vataja, Juuso . In: Economic Change and Restructuring. RePEc:kap:ecopln:v:50:y:2017:i:3:d:10.1007_s10644-017-9212-7.

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2018The impact of the financial crisis on the long-range memory of European corporate bond and stock markets. (2018). Fernandez Bariviera, Aurelio ; Terceo, Antonio ; Guercio, Belen M ; Martinez, Lisana B. In: Empirica. RePEc:kap:empiri:v:45:y:2018:i:1:d:10.1007_s10663-016-9340-8.

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2018Pricing exotic options in a regime switching economy: a Fourier transform method. (2018). Hieber, Peter. In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:2:d:10.1007_s11147-017-9139-1.

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2018Dynamic hedging with futures: a copula-based GARCH model with high-frequency data. (2018). Lai, Yu-Sheng . In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:3:d:10.1007_s11147-018-9142-1.

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2018US Inflation and Inflation Uncertainty Over 200 Years. (2018). Fountas, Stilianos ; Bredin, Don. In: Discussion Paper Series. RePEc:mcd:mcddps:2018_04.

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2017Has the South African Reserve Bank responded to equity returns since the sub-prime crisis? An asymmetric convergence appraoch. (2017). Phiri, Andrew. In: Working Papers. RePEc:mnd:wpaper:1709.

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2018Volatility and Growth: A not so Straightforward Relationship. (2018). Magkonis, Georgios ; Bakas, Dimitrios ; Chortareas, Georgios. In: Working Papers in Economics & Finance. RePEc:pbs:ecofin:2018-04.

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2017On the effects of static and autoregressive conditional higher order moments on dynamic optimal hedging. (2017). Hou, Yang ; Holmes, Mark. In: MPRA Paper. RePEc:pra:mprapa:82000.

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2017Performance of Markov-Switching GARCH Model Forecasting Inflation Uncertainty. (2017). Raihan, Tasneem. In: MPRA Paper. RePEc:pra:mprapa:82343.

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2018Inflation, Inflation Uncertainty, and Growth: Evidence from Ghana. (2018). Ho, Sin-Yu ; Iyke, Bernard Njindan. In: MPRA Paper. RePEc:pra:mprapa:85191.

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2018Unemployment and Inflation: Evidence of a Nonlinear Phillips Curve in the Eurozone. (2018). Ho, Sin-Yu ; Iyke, Bernard Njindan. In: MPRA Paper. RePEc:pra:mprapa:87122.

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2018Regime heteroskedasticity in Bitcoin: A comparison of Markov switching models. (2018). Chappell, Daniel. In: MPRA Paper. RePEc:pra:mprapa:90682.

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2019Is the relationship between inflation and financial development symmetric or asymmetric? new evidence from Sudan based on NARDL. (2019). Masih, Abul ; Ismail, Yusra. In: MPRA Paper. RePEc:pra:mprapa:94694.

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2017Volatility and Growth: A not so straightforward relationship. (2017). Magkonis, Georgios ; Chortareas, Georgios ; Bakas, Dimitrios. In: Working Paper series. RePEc:rim:rimwps:17-12.

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2018The Lucas hypothesis on monetary shocks: evidence from a GARCH-in-mean model. (2018). Rahman, Sajjadur . In: Empirical Economics. RePEc:spr:empeco:v:54:y:2018:i:4:d:10.1007_s00181-017-1270-1.

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2018Spillover Effects of Real and Nominal Uncertainties in India. (2018). Balaji, B ; Ramachandran, M ; Sethu, Raja S. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:16:y:2018:i:1:d:10.1007_s40953-017-0108-1.

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2017How does inflation determine inflation uncertainty? A Chinese perspective. (2017). Su, Chi-Wei ; Li, Xiao-Lin ; Chang, Hsu-Ling ; Yu, Hui. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:51:y:2017:i:3:d:10.1007_s11135-016-0341-2.

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2017Testing for Long-memory and Chaos in the Returns of Currency Exchange-traded Notes (ETNs). (2017). Diaz, John Francis ; Chen, Jo-Hui. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:7:y:2017:i:4:f:7_4_2.

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2018Long-Term Dependency Structure and Structural Breaks: Evidence from the U.S. Sector Returns and Volatility. (2018). Ngene, Geoffrey ; Lynch, Allen K ; Mungai, Ann Nduati. In: Review of Pacific Basin Financial Markets and Policies (RPBFMP). RePEc:wsi:rpbfmp:v:21:y:2018:i:02:n:s021909151850008x.

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2019Inflation, Inflation Uncertainty, and Growth: Evidence from Ghana. (2019). Ho, Sin-Yu ; Iyke, Bernard Njindan. In: Contemporary Economics. RePEc:wyz:journl:id:566.

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2018A structural approach to identify financial transmission in distinguished scenarios of crises. (2018). Herwartz, Helmut ; Roestel, Jan. In: Economics Working Papers. RePEc:zbw:cauewp:201808.

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2018Forecast heuristics, consumer expectations, and new-Keynesian macroeconomics: A horse race. (2018). Jang, Tae-Seok ; Sacht, Stephen . In: Economics Working Papers. RePEc:zbw:cauewp:201809.

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2017Oil price uncertainty and the business cycle: Accounting for the influences of global supply and demand within a VAR GARCH-in-mean framework. (2017). Thiem, Christopher. In: Ruhr Economic Papers. RePEc:zbw:rwirep:674.

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Works by Ólan Thomas Henry:


YearTitleTypeCited
2012The determinants of short selling: evidence from the Hong Kong equity market In: Accounting and Finance.
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article2
1999The Volatility of Real Exchange Rates: The Australian Case. In: Australian Economic Papers.
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article1
1999Asymmetric Conditional Volatility and Firm Size: Evidence from Australian Equity Portfolios. In: Australian Economic Papers.
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article12
1998Asymmetric Conditional Volatility and Firm Size: Evidence from Australian Equity Portfolios.(1998) In: Department of Economics - Working Papers Series.
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2007IDENTIFYING INTERDEPENDENCIES BETWEEN SOUTH‐EAST ASIAN STOCK MARKETS: A NON‐LINEAR APPROACH In: Australian Economic Papers.
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article3
1998Web‐Based Resources for the Macroeconomist In: Australian Economic Review.
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article0
2000Australian Economic Growth: Nonlinearities and International Influences. In: The Economic Record.
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article4
2001Exchange Rate Instability: A Threshold Autoregressive Approach. In: The Economic Record.
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article8
2001Australian Economic Growth: Nonlinearities and International Influences: Corrigendum. In: The Economic Record.
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article0
2001Are Private Sector Consumption Decisions Affected by Public Sector Consumption? In: The Economic Record.
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1999Are Private Sector Consumption Decisions Affected by Public Sector Consumption?..(1999) In: Department of Economics - Working Papers Series.
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2002 The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock Market. In: Oxford Bulletin of Economics and Statistics.
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article5
2000The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock Market..(2000) In: Department of Economics - Working Papers Series.
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2003The Asymmetric Effects of Uncertainty on Inflation and Output Growth In: Royal Economic Society Annual Conference 2003.
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2004The asymmetric effects of uncertainty on inflation and output growth.(2004) In: Journal of Applied Econometrics.
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2000Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia In: Economic Modelling.
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1999Linear and Non-Linear Transmission of Equity Return Volatility: Evidence From the US, Japan, and Australia..(1999) In: Department of Economics - Working Papers Series.
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2002Rational habit modification in consumption In: Economic Modelling.
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article3
2000Can portmanteau nonlinearity tests serve as general mis-specification tests?: Evidence from symmetric and asymmetric GARCH models In: Economics Letters.
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1999Can Portemanteau Nonlinearity Tests Serve as General Mis-Specification Tests? Evidence from Symmetric and Asymmetric GARCH Models..(1999) In: Department of Economics - Working Papers Series.
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2007Testing for rate dependence and asymmetry in inflation uncertainty: Evidence from the G7 economies In: Economics Letters.
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2006Testing for Rate-Dependence and Asymmetry in Inflation Uncertainty:Evidence from the G7 Economies.(2006) In: Department of Economics - Working Papers Series.
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Testing for Rate-Dependence and Asymmetry in Inflation Uncertainty: Evidence from the G7 Economies.() In: MRG Discussion Paper Series.
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2009Regime switching in the relationship between equity returns and short-term interest rates in the UK In: Journal of Banking & Finance.
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2002Does the Australian dollar real exchange rate display mean reversion In: Journal of International Money and Finance.
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article27
2004Is there a unit root in inflation? In: Journal of Macroeconomics.
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article24
2010Sign and phase asymmetry: News, economic activity and the stock market In: Journal of Macroeconomics.
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2013Quantifying time variation and asymmetry in measures of covariance risk: a simulation approach In: Chapters.
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2004The Impact of Short Selling on the Price-Volume Relationship: Evidence from Hong Kong In: Working Papers.
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2003The Impact of Short Selling on the Price–Volume Relationship: Evidence from Hong Kong.(2003) In: Department of Economics - Working Papers Series.
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2006The Impact of Short Selling on the Price-Volume Relationship: Evidence from Hong Kong.(2006) In: The Journal of Business.
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2007The Determinnts of Short Selling in the Hong Kong Equities Market In: Department of Economics - Working Papers Series.
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2007Between The Rock and a Hard Place: Regime Switching in the RelationshipBetween Short-Term Interest Rates and Equity Returns in the UK In: Department of Economics - Working Papers Series.
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2008Economic Activity and the Stock Market: The Asymmetric Impact of Fundamental and Non-Fundamental News In: Department of Economics - Working Papers Series.
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1995GARCH Models of term Structure Term Premia: A Cautionary Note. In: Department of Economics - Working Papers Series.
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1995Modelling the Assymetry of Stock Market Volatility. In: Department of Economics - Working Papers Series.
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paper7
1998Modelling the asymmetry of stock market volatility.(1998) In: Applied Financial Economics.
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1995A Variance Decomposition for the Excess Return on Australian Stocks. In: Department of Economics - Working Papers Series.
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paper1
1998Does the Australian Dollar Real Exchange Rate Really Display Mean Reversion? In: Department of Economics - Working Papers Series.
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1998The Volatility of U.S. Term Structure Term Premia 1952-1991 In: Department of Economics - Working Papers Series.
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1999The volatility of US term structure term premia 1952 - 1991.(1999) In: Applied Financial Economics.
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1998Identifying Currency Crisis Using Treshold Autoregressions: Australia and the East Asian Meltdown. In: Department of Economics - Working Papers Series.
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1999Optimal Hedging and the Value of News. In: Department of Economics - Working Papers Series.
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1999Are Shocks to Inflation Infinitely Persistent?. In: Department of Economics - Working Papers Series.
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1999A Comment on In: Department of Economics - Working Papers Series.
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1999Changes in Regime and the Long Run Fisher Effect: a Threshold Cointegration Analysis. In: Department of Economics - Working Papers Series.
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1999Rational Habit Modification: the Role of Credit. In: Department of Economics - Working Papers Series.
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2000Australian Economic Growth: Non-Linearities and Internaitonal Influences. In: Department of Economics - Working Papers Series.
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2000The Effect of Recessions on the Relationship between Output Variability and Growth. In: Department of Economics - Working Papers Series.
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2002The Effect of Recessions on the Relationship between Output Variability and Growth.(2002) In: Southern Economic Journal.
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