Stan Hurn : Citation Profile


Are you Stan Hurn?

Queensland University of Technology (50% share)
National Centre for Econometric Research (NCER) (50% share)

12

H index

14

i10 index

598

Citations

RESEARCH PRODUCTION:

54

Articles

49

Papers

2

Books

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   27 years (1991 - 2018). See details.
   Cites by year: 22
   Journals where Stan Hurn has often published
   Relations with other researchers
   Recent citing documents: 112.    Total self citations: 20 (3.24 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/phu111
   Updated: 2019-10-06    RAS profile: 2019-03-31    
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Relations with other researchers


Works with:

Clements, Adam (12)

Shi, Shuping (7)

Phillips, Peter (5)

Teräsvirta, Timo (4)

Silvennoinen, Annastiina (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Stan Hurn.

Is cited by:

Weron, Rafał (26)

Clements, Adam (13)

Caporin, Massimiliano (12)

Creedy, John (12)

McAleer, Michael (12)

Janczura, Joanna (9)

Gallagher, David (8)

Trueck, Stefan (8)

Grossi, Luigi (7)

Herrera, Rodrigo (7)

Nan, Fany (7)

Cites to:

Engle, Robert (31)

Cartea, Álvaro (25)

Bollerslev, Tim (24)

Shephard, Neil (19)

Granger, Clive (17)

Gallant, A. (16)

Andersen, Torben (16)

Diebold, Francis (15)

Ait-Sahalia, Yacine (14)

Hansen, Peter (13)

Tauchen, George (13)

Main data


Where Stan Hurn has published?


Journals with more than one article published# docs
Mathematics and Computers in Simulation (MATCOM)6
Energy Economics3
Studies in Nonlinear Dynamics & Econometrics3
The Economic Record3
Scottish Journal of Political Economy3
Economic Analysis and Policy3
South African Journal of Economics3
Journal of Time Series Analysis2
The Energy Journal2
International Journal of Forecasting2
Oxford Economic Papers2
Oxford Bulletin of Economics and Statistics2

Working Papers Series with more than one paper published# docs
NCER Working Paper Series / National Centre for Econometric Research23
Stan Hurn Discussion Papers / School of Economics and Finance, Queensland University of Technology3
Econometric Society 2004 Australasian Meetings / Econometric Society2
Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University2
Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney2

Recent works citing Stan Hurn (2019 and 2018)


YearTitle of citing document
2017Panel Smooth Transition Regression Models. (2017). Yang, Yukai ; Teräsvirta, Timo ; Gonzalez, Andres ; van Dijk, Dick ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-36.

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2017Comparative Study of Short-Term Time Series Models: Use of Mobile Telecommunication Services in CR Regions. (2017). Koppelova, J ; Jindrova, A. In: AGRIS on-line Papers in Economics and Informatics. RePEc:ags:aolpei:262451.

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2017The Use of Combined Models in the Construction of Foodstuffs Consumption Forecasting in the Czech Republic. (2017). Svatoova, L ; Koppelova, J. In: AGRIS on-line Papers in Economics and Informatics. RePEc:ags:aolpei:276075.

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2018Least squares estimation for the subcritical Heston model based on continuous time observations. (2018). Barczy, Matyas ; Pap, Gyula ; Nyul, Balazs . In: Papers. RePEc:arx:papers:1511.05948.

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2018How fast can one overcome the paradox of the energy transition? A physico-economic model for the European power grid. (2018). Pagnier, Laurent ; Jacquod, Philippe . In: Papers. RePEc:arx:papers:1706.00330.

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2017Using nonlinear stochastic and deterministic (chaotic tools) to test the EMH of two Electricity Markets the case of Italy and Greece. (2017). Papaioannou, George P ; Georgiadis, Dionysios S ; Dramountanis, Anargyros ; Dikaiakos, Christos. In: Papers. RePEc:arx:papers:1711.10552.

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2018A Probabilistic Analysis of Autocallable Optimization Securities. (2018). Samuel, Gilna K ; St, Donald. In: Papers. RePEc:arx:papers:1804.00825.

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2018Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities. (2018). Baruník, Jozef ; Vcech, Frantivsek. In: Papers. RePEc:arx:papers:1807.11823.

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2019Deep Learning for Energy Markets. (2018). Polson, Michael ; Sokolov, Vadim. In: Papers. RePEc:arx:papers:1808.05527.

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2019Testing for time-varying properties under misspecified conditional mean and variance. (2019). Ota, Yasushi ; Maki, Daiki . In: Papers. RePEc:arx:papers:1907.12107.

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2019Robust tests for ARCH in the presence of the misspecified conditional mean: A comparison of nonparametric approches. (2019). Ota, Yasushi ; Maki, Daiki . In: Papers. RePEc:arx:papers:1907.12752.

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2019Does Inflation Rate Convergence Spur Exchange Rate Volatility? Empirical Evidence from Sub-Saharan Africa. (2019). Kaboro, Jane ; Mose, Naftaly. In: Asian Journal of Economic Modelling. RePEc:asi:ajemod:2019:p:95-109.

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2017Uncovering the time-varying nature of causality between oil prices and stock market returns: A multi-country study. (2017). Hirs-Garzon, Jorge ; Gomez-Gonzalez, Jose. In: Borradores de Economia. RePEc:bdr:borrec:1009.

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2018Dynamic relations between oil and stock markets: Volatility spillovers, networks and causality. (2018). Sanin Restrepo, Sebastian ; Hirs-Garzon, Jorge ; Gomez-Gonzalez, Jose ; Sanin-Restrepo, Sebastian. In: Borradores de Economia. RePEc:bdr:borrec:1051.

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2018Critically Assessing Estimated DSGE Models: A Case Study of a Multi‐sector Model. (2018). Robinson, Tim ; pagan, adrian ; Liu, Xianglong. In: The Economic Record. RePEc:bla:ecorec:v:94:y:2018:i:307:p:349-371.

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2017Distributional preference in Japan. (2017). KAMEDA, Keigo ; Sato, Miho. In: The Japanese Economic Review. RePEc:bla:jecrev:v:68:y:2017:i:3:p:394-408.

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2017The Effect of Oil Prices on Field Production: Evidence from the Norwegian Continental Shelf. (2017). Mauritzen, Johannes. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:79:y:2017:i:1:p:124-144.

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2017Strategic Bidding of Electric Power Generating Companies: Evidence from the Australian National Energy Market. (2017). Long, Ngo ; Dungey, Mardi ; van Long, Ngo ; Ghahremanlou, Ali. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6819.

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2018Prospects for a Monetary Union in the East Africa Community: Some Empirical Evidence. (2018). Gil-Alana, Luis ; Carcel, Hector ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7073.

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2018Nonlinearities and Regimes in Conditional Correlations with Different Dynamics. (2018). Bauwens, L ; Otrando, E. In: Working Paper CRENoS. RePEc:cns:cnscwp:201803.

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2017Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data. (2017). Wilfling, Bernd ; Lau, Chi Keung ; GUPTA, RANGAN ; Segnon, Mawuli. In: CQE Working Papers. RePEc:cqe:wpaper:6117.

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2017Volatility Transmission in Overlapping Trading Zones. (2017). Masuhr, Andreas. In: CQE Working Papers. RePEc:cqe:wpaper:6717.

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2019Big in Japan: Global Volatility Transmission between Assets and Trading Places. (2019). Masuhr, Andreas. In: CQE Working Papers. RePEc:cqe:wpaper:8119.

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2018Ditch the NAIRA and Champion the ECO? A Post-Forex Crisis Assessment. (2018). Iheonu, Chimere Okechukwu ; Agbugba, Ikechi Kelechi ; Onyeaka, Keleenna. In: Journal of Economic and Sustainable Growth 3. RePEc:dbn:vo2is1:5002.

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2017Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis. (2017). Schlaak, Thore ; Lütkepohl, Helmut ; Lutkepohl, Helmut. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1672.

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2019Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach. (2019). Valls Pereira, Pedro ; Hallin, Marc ; Trucios-Maza, Carlos Cesar ; Hotta, Luis K ; Zevallos, Mauricio. In: Working Papers ECARES. RePEc:eca:wpaper:2013/288066.

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2017Decarbonizing the electricity grid: The impact on urban energy systems, distribution grids and district heating potential. (2017). Morvaj, Boran ; Carmeliet, Jan ; Evins, Ralph . In: Applied Energy. RePEc:eee:appene:v:191:y:2017:i:c:p:125-140.

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2017Forecasting electricity demand for Turkey: Modeling periodic variations and demand segregation. (2017). Yukseltan, Ergun ; Bilge, Ayse Humeyra ; Yucekaya, Ahmet . In: Applied Energy. RePEc:eee:appene:v:193:y:2017:i:c:p:287-296.

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2018Performance of an electrical distribution network with Soft Open Point during a grid side AC fault. (2018). Aithal, Avinash ; Yu, James ; Wu, Jianzhong ; Li, Gen. In: Applied Energy. RePEc:eee:appene:v:227:y:2018:i:c:p:262-272.

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2018Weather forecasts for microgrid energy management: Review, discussion and recommendations. (2018). Aguera-Perez, Agustin ; Florencias-Oliveros, Olivia ; Gonzalez, Juan Jose ; Palomares-Salas, Jose Carlos . In: Applied Energy. RePEc:eee:appene:v:228:y:2018:i:c:p:265-278.

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2018Investment and uncertainty with time to build: Evidence from entry into U.S. copper mining. (2018). Slade, Margaret ; Marmer, Vadim. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:95:y:2018:i:c:p:233-254.

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2019Value-at-risk methodologies for effective energy portfolio risk management. (2019). HALKOS, GEORGE ; Tsirivis, Apostolos S. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:62:y:2019:i:c:p:197-212.

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2018Herding, social network and volatility. (2018). Wang, Guocheng. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:74-81.

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2018Short-run electricity load forecasting with combinations of stationary wavelet transforms. (2018). Bessec, Marie ; Fouquau, Julien. In: European Journal of Operational Research. RePEc:eee:ejores:v:264:y:2018:i:1:p:149-164.

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2018Why do consumers prefer static instead of dynamic pricing plans? An empirical study for a better understanding of the low preferences for time-variant pricing plans. (2018). Skiera, Bernd ; Schulz, Fabian ; Schlereth, Christian . In: European Journal of Operational Research. RePEc:eee:ejores:v:269:y:2018:i:3:p:1165-1179.

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2017The kidnapping of Europe: High-order moments transmission between developed and emerging markets. (2017). Perote, Javier ; Mora-Valencia, Andrés ; del Brio, Esther B. In: Emerging Markets Review. RePEc:eee:ememar:v:31:y:2017:i:c:p:96-115.

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2017Construction of an efficient portfolio of power purchase decisions based on risk-diversification tradeoff. (2017). Contreras, Javier ; Sosa, Anibal ; Rodriguez, Yeny E. In: Energy Economics. RePEc:eee:eneeco:v:64:y:2017:i:c:p:286-297.

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2017The impact of the German response to the Fukushima earthquake. (2017). Waterson, Michael ; Grossi, Luigi ; Heim, Sven. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:450-465.

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2018Econometric modeling of regional electricity spot prices in the Australian market. (2018). Smith, Michael Stanley ; Shively, Thomas S. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:886-903.

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2017Enhanced operational reserve as a tool for development of optimal energy mix. (2017). Wierzbowski, Michal ; Filipiak, Izabela . In: Energy Policy. RePEc:eee:enepol:v:102:y:2017:i:c:p:602-615.

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2018Energy policy regime change and advanced energy storage: A comparative analysis. (2018). Winfield, Mark ; Jones, Adam ; Shokrzadeh, Shahab . In: Energy Policy. RePEc:eee:enepol:v:115:y:2018:i:c:p:572-583.

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2018Determinants of oil and gas investments on the Norwegian Continental Shelf. (2018). Molnár, Peter ; Molnar, Peter ; Jordal, Therese ; Boe, Kristine Skjong ; Berntsen, Martin. In: Energy. RePEc:eee:energy:v:148:y:2018:i:c:p:904-914.

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2018Forecasting spikes in electricity return innovations. (2018). Tafakori, Laleh ; Alavifard, Farzad ; Pourkhanali, Armin. In: Energy. RePEc:eee:energy:v:150:y:2018:i:c:p:508-526.

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2018Model predictive control for a solar assisted ground source heat pump system. (2018). Weeratunge, Hansani ; Halgamuge, Saman ; Dunstall, Simon ; de Hoog, Julian ; Narsilio, Guillermo. In: Energy. RePEc:eee:energy:v:152:y:2018:i:c:p:974-984.

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2018How fast can one overcome the paradox of the energy transition? A physico-economic model for the European power grid. (2018). Pagnier, Laurent ; Jacquod, Philippe . In: Energy. RePEc:eee:energy:v:157:y:2018:i:c:p:550-560.

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2018A hybrid model based on selective ensemble for energy consumption forecasting in China. (2018). Xiao, Jin ; Huang, Jing ; Liu, Dunhu ; Xie, Ling. In: Energy. RePEc:eee:energy:v:159:y:2018:i:c:p:534-546.

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2018A deep learning model for short-term power load and probability density forecasting. (2018). Guo, Zhifeng ; Yang, Shanlin ; Zhang, Xiaoling ; Zhou, Kaile. In: Energy. RePEc:eee:energy:v:160:y:2018:i:c:p:1186-1200.

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2017Asymmetry in spillover effects: Evidence for international stock index futures markets. (2017). Lau, Chi Keung ; Brzeszczynski, Janusz ; Marco, Chi Keung ; Yarovaya, Larisa ; Brzeszczyski, Janusz. In: International Review of Financial Analysis. RePEc:eee:finana:v:53:y:2017:i:c:p:94-111.

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2018Illiquidity and volatility spillover effects in equity markets during and after the global financial crisis: An MEM approach. (2018). Xu, Yongdeng ; Taylor, Nick ; Lu, Wenna . In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:208-220.

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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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2018MGARCH models: Trade-off between feasibility and flexibility. (2018). Ruiz, Esther ; Hotta, Luiz ; de Almeida, Daniel . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:45-63.

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2018A dynamic multiple equation approach for forecasting PM2.5 pollution in Santiago, Chile. (2018). Herrera, Rodrigo ; Clements, Adam ; Moisan, Stella . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:566-581.

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2017Sovereign risk and the impact of crisis: Evidence from Latin AmericaAuthor-Name: Batten, Jonathan A.. (2017). Gannon, Gerard L ; Thuraisamy, Kannan S. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:77:y:2017:i:c:p:328-350.

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2019Do political risks harm development of oil fields?. (2019). Molnar, Peter ; Mikula, Tepan ; Jordal, Therese ; Boe, Kristine S. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:157:y:2019:i:c:p:338-358.

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2017Political uncertainty and investment: Causal evidence from U.S. gubernatorial elections. (2017). Jens, Candace E. In: Journal of Financial Economics. RePEc:eee:jfinec:v:124:y:2017:i:3:p:563-579.

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2017Asymmetric volatility connectedness on the forex market. (2017). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef ; Koenda, Even ; Barunik, Jozef. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:77:y:2017:i:c:p:39-56.

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2019The role of market expectations in commodity price dynamics: Evidence from oil data. (2019). Jin, Xin. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:90:y:2019:i:c:p:1-18.

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2018Electricity markets around the world. (2018). Trueck, Stefan ; Truck, Stefan ; Mayer, Klaus . In: Journal of Commodity Markets. RePEc:eee:jocoma:v:9:y:2018:i:c:p:77-100.

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2019Herd behavior and idiosyncratic volatility in a frontier market. (2019). Anh, Dang Bao ; Vo, Xuan Vinh. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:53:y:2019:i:c:p:321-330.

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2019Blockchain technology in the energy sector: A systematic review of challenges and opportunities. (2019). Andoni, Merlinda ; Peacock, Andrew ; McCallum, Peter ; Jenkins, David ; Geach, Dale ; Abram, Simone ; Flynn, David ; Robu, Valentin. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:100:y:2019:i:c:p:143-174.

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2017Renewables diffusion and contagion effect in Italian regional electricity markets: Assessment and policy implications. (2017). Polinori, Paolo ; Bollino, Carlo Andrea ; Bigerna, Simona ; Ciferri, Davide . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:68:y:2017:i:p1:p:199-211.

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2018Recent advances in electricity price forecasting: A review of probabilistic forecasting. (2018). Weron, Rafał ; Nowotarski, Jakub. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:81:y:2018:i:p1:p:1548-1568.

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2019Robust forecasting of electricity prices: Simulations, models and the impact of renewable sources. (2019). Nan, Fany ; Grossi, Luigi. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:141:y:2019:i:c:p:305-318.

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2017Theoretical and Empirical Differences Between Diagonal and Full BEKK for Risk Management. (2017). McAleer, Michael ; Tan, A C. In: Econometric Institute Research Papers. RePEc:ems:eureir:101765.

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2017Effect of Government Expenditure on GDP in the Turkish Economy. (2017). Simsek, E ; Macit, F ; Orhan, M. In: International Econometric Review (IER). RePEc:erh:journl:v:9:y:2017:i:2:p:69-76.

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2018Investment-Uncertainty Relationship in the Oil and Gas Industry. (2018). Manera, Matteo ; Sadeghzadeh, Mehdi ; Ahmadi, Maryam . In: Working Papers. RePEc:fem:femwpa:2018.13.

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2018On the robustness of the principal volatility components. (2018). Valls Pereira, Pedro ; Hotta, Luiz ; Trucios, Carlos Cesar. In: Textos para discussão. RePEc:fgv:eesptd:474.

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2019Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach. (2019). Valls Pereira, Pedro ; Zevallos, Mauricio ; Hotta, Luiz K ; Hallin, Marc ; Trucios, Carlos. In: Textos para discussão. RePEc:fgv:eesptd:505.

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2019Covariance Prediction in Large Portfolio Allocation. (2019). , Andre ; Hotta, Luiz K ; Zevallos, Mauricio ; Trucios, Carlos . In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:2:p:19-:d:229754.

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2017The Fuzzy Logic Method to Efficiently Optimize Electricity Consumption in Individual Housing. (2017). Bissey, Sebastien ; le Bunetel, Jean-Charles ; Jacques, Sebastien. In: Energies. RePEc:gam:jeners:v:10:y:2017:i:11:p:1701-:d:116309.

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2017Applications of Hybrid EMD with PSO and GA for an SVR-Based Load Forecasting Model. (2017). Hong, Wei-Chiang ; Fan, Guo-Feng ; Zhao, Xiangjun ; Peng, Li-Ling. In: Energies. RePEc:gam:jeners:v:10:y:2017:i:11:p:1713-:d:116523.

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2017Prediction in Photovoltaic Power by Neural Networks. (2017). Rosato, Antonello ; Panella, Massimo ; Araneo, Rodolfo ; Altilio, Rosa. In: Energies. RePEc:gam:jeners:v:10:y:2017:i:7:p:1003-:d:104790.

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2018Theoretical and Empirical Differences between Diagonal and Full BEKK for Risk Management. (2018). McAleer, Michael ; Allen, David. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:7:p:1627-:d:153801.

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2019Research and Application of a Novel Hybrid Model Based on a Deep Neural Network for Electricity Load Forecasting: A Case Study in Australia. (2019). Wei, Danxiang ; Tang, Guangyu ; Wang, Jianzhou ; Ni, Kailai. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:13:p:2467-:d:243188.

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2018The Expansion of the Brazilian Winter Corn Crop and Its Impact on Price Transmission. (2018). Mattos, Fabio L ; Franco, Rodrigo Lanna. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2018:i:2:p:45-:d:142628.

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2018Electricity Market Creation in China: Policy Options from Political Economics Perspective. (2018). Lei, NI ; Tao, Yuan ; Sun, Chuanwang ; Chen, Lanyun. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:5:p:1481-:d:145232.

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2019Machine Learning Techniques for Predicting the Energy Consumption/Production and Its Uncertainties Driven by Meteorological Observations and Forecasts. (2019). Zappa, Massimiliano ; Pappenberger, Florian ; Bogner, Konrad. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:12:p:3328-:d:240286.

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2019A Markov Regime Switching Approach towards Assessing Resilience of Romanian Collective Investment Undertakings. (2019). Gherghina, Ştefan ; PANAIT, Iulian ; Armeanu, Daniel Tefan ; Badea, Leonardo . In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:5:p:1325-:d:210534.

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2018The influence of renewables on electricity price forecasting: a robust approach. (2018). Grossi, Luigi ; Nan, Fany . In: Working Papers. RePEc:ieb:wpaper:doc2018-10.

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2018Information and transparency in wholesale electricity markets: evidence from Alberta. (2018). Brown, David ; Lin, James ; Eckert, Andrew. In: Journal of Regulatory Economics. RePEc:kap:regeco:v:54:y:2018:i:3:d:10.1007_s11149-018-9372-z.

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2019Asymmetric impacts of disaggregated oil price shocks on uncertainties and investor sentiment. (2019). Bouri, Elie ; Hussain, Syed Jawad ; Roubaud, David ; Raza, Naveed. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:52:y:2019:i:3:d:10.1007_s11156-018-0730-9.

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2017Asymmetric volatility connectedness on the forex market. (2017). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef. In: KIER Working Papers. RePEc:kyo:wpaper:956.

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2018Investment-Uncertainty Relationship in the Oil and Gas Industry. (2018). Manera, Matteo ; Mehdi, Sadeghzadeh ; Matteo, Manera ; Maryam, Ahmadi. In: Working Papers. RePEc:mib:wpaper:379.

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2017Emperical Review on the Relationship between Real Wages, Inflation and Labour Productivity in Nigeria. ARDL bounds testing approach. (2017). Iheanacho, Eugene. In: Issues in Economics and Business. RePEc:mth:ieb888:v:3:y:2017:i:1:p:9-29.

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2018Financial Market Contagion and the Sovereign Debt Crisis: A Smooth Transition Approach. (2018). Amado, Cristina ; Martins, Susana . In: NIPE Working Papers. RePEc:nip:nipewp:08/2018.

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2017Combining Multivariate Volatility Forecasts: An Economic-Based Approach. (2017). Santos, Andre ; Moura, Guilherme ; Nogales, Francisco J ; Caldeira, Joo F. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:15:y:2017:i:2:p:247-285..

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2018Cryptocurrencies from the perspective of euro investors: a re-examination of diversification benefits and a new day-of-the-week effect. (2018). Dorfleitner, Gregor ; Lung, Carina. In: Journal of Asset Management. RePEc:pal:assmgt:v:19:y:2018:i:7:d:10.1057_s41260-018-0093-8.

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2018Electricity supply shocks and economic growth across the US states: evidence from a time-varying Bayesian panel VAR model, aggregate and disaggregate energy sources. (2018). POLEMIS, MICHAEL ; Apergis, Nicholas. In: MPRA Paper. RePEc:pra:mprapa:84954.

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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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2018The Determinants of Public Health Expenditures: Comparing Canada and Spain. (2018). Di Matteo, Livio ; Cantarero-Prieto, David. In: MPRA Paper. RePEc:pra:mprapa:87800.

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2018Asymmetry and Multiscale Dynamics in Macroeconomic Time Series Analysis. (2018). Habimana, Olivier. In: MPRA Paper. RePEc:pra:mprapa:87823.

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2017Are Multifractal Processes Suited to Forecasting Electricity Price Volatility? Evidence from Australian Intraday Data. (2017). Wilfling, Bernd ; Lau, Chi Keung ; GUPTA, RANGAN ; Segnon, Mawuli. In: Working Papers. RePEc:pre:wpaper:201739.

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2017A Dynamic Multiple Equation Approach for Forecasting PM2.5 Pollution in Santiago, Chile. (2017). Herrera, Rodrigo ; Clements, Adam ; Moisan, Stella . In: NCER Working Paper Series. RePEc:qut:auncer:2017_01.

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2018Cash Flow Volatility and Firm Investment Behaviour: Evidence from African Listed Firms. (2018). Kwenda, Farai ; Vengesai, Edson. In: Journal of Economics and Behavioral Studies. RePEc:rnd:arjebs:v:10:y:2018:i:6:p:129-149.

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2017Does SADC constitute an optimum currency area? Evidence from generalised purchasing power parity. (2017). Redda, Ephrem Habtemichael ; Muzindusti, Paul-Francious . In: Proceedings of Economics and Finance Conferences. RePEc:sek:iefpro:4807771.

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2019Momentum and Disposition Effect in the stock market of USA. (2019). Rehman, Mujeeb U ; Sadhwani, Ranjeeta. In: Proceedings of Economics and Finance Conferences. RePEc:sek:iefpro:8911340.

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2018.

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2018Option pricing in an exponential MixedTS Lévy process. (2018). Mercuri, Lorenzo ; Rroji, Edit. In: Annals of Operations Research. RePEc:spr:annopr:v:260:y:2018:i:1:d:10.1007_s10479-016-2180-x.

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2018A new Keynesian framework and wage and price dynamics in the USA. (2018). Kivedal, Bjornar Karlsen . In: Empirical Economics. RePEc:spr:empeco:v:55:y:2018:i:3:d:10.1007_s00181-017-1320-8.

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2018Momentum meets value investing in a small European market. (2018). Lobo, Julio ; Azeredo, Marcos. In: Portuguese Economic Journal. RePEc:spr:portec:v:17:y:2018:i:1:d:10.1007_s10258-017-0132-2.

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2018A multivariate volatility vine copula model. (2018). Brechmann, E C ; Okhrin, Y ; Heiden, M. In: Econometric Reviews. RePEc:taf:emetrv:v:37:y:2018:i:4:p:281-308.

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More than 100 citations found, this list is not complete...

Stan Hurn has edited the books:


YearTitleTypeCited

Works by Stan Hurn:


YearTitleTypeCited
2010Asymmetric unemployment rate dynamics in Australia In: CREATES Research Papers.
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paper5
2010Asymmetric unemployment rate dynamics in Australia.(2010) In: Working Paper Series.
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This paper has another version. Agregated cites: 5
paper
2011Asymmetric unemployment rate dynamics in Australia.(2011) In: NCER Working Paper Series.
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This paper has another version. Agregated cites: 5
paper
2012Asymmetric Unemployment Rate Dynamics in Australia.(2012) In: Studies in Nonlinear Dynamics & Econometrics.
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This paper has another version. Agregated cites: 5
article
2014A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market In: CREATES Research Papers.
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paper7
2014A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market.(2014) In: NCER Working Paper Series.
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This paper has another version. Agregated cites: 7
paper
2016A Smooth Transition Logit Model of The Effects of Deregulation in the Electricity Market.(2016) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 7
article
2018Transition from the Taylor rule to the zero lower bound In: CREATES Research Papers.
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paper0
2009It Never Rains but it Pours: Modeling the Persistence of Spikes in Electricity Prices In: The Energy Journal.
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article17
2008It never rains but it pours: Modelling the persistence of spikes in electricity prices.(2008) In: NCER Working Paper Series.
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This paper has another version. Agregated cites: 17
paper
2017The Effect of Transmission Constraints on Electricity Prices In: The Energy Journal.
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article2
2003Mobius-Like Mappings and Their Use in Kernel Density Estimation In: Journal of the American Statistical Association.
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article7
2007Modelling Wages and Prices in Australia In: The Economic Record.
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article9
2005Modelling Wages and Prices in Australia.(2005) In: Working Paper Series.
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This paper has another version. Agregated cites: 9
paper
2007Modelling Spikes in Electricity Prices In: The Economic Record.
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article25
2013Semi-parametric Forecasting of Spikes in Electricity Prices In: The Economic Record.
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article6
1992 Cointegration and Dynamic Time Series Models. In: Journal of Economic Surveys.
[Citation analysis]
article45
2003On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential Equations* In: Journal of Time Series Analysis.
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article7
2018Change Detection and the Causal Impact of the Yield Curve In: Journal of Time Series Analysis.
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article3
2016Change Detection and the Causal Impact of the Yield Curve.(2016) In: Cowles Foundation Discussion Papers.
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paper
2015Change Detection and the Casual Impact of the Yield Curve.(2015) In: NCER Working Paper Series.
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This paper has another version. Agregated cites: 3
paper
1996Modelling the Demand for M4 in the U.K. In: The Manchester School of Economic & Social Studies.
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article1
1992Testing Superexogeneity: The Demand for Broad Money in the UK. In: Oxford Bulletin of Economics and Statistics.
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article10
2002 On the Specification of the Drift and Diffusion Functions for Continuous-Time Models of the Spot Interest Rate. In: Oxford Bulletin of Economics and Statistics.
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article1
1994Theory and Tests of Generalized Purchasing-Power Parity: Common Trends and Real Exchange Rates in the Pacific Rim. In: Review of International Economics.
[Citation analysis]
article39
1991Causality, Predictability and Monetary Targets in South Africa In: South African Journal of Economics.
[Full Text][Citation analysis]
article0
1992The Long-run Properties of the Demand for M3 in South Africa In: South African Journal of Economics.
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article3
1993The Money-income Causality Debate in South Africa: Reply In: South African Journal of Economics.
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article0
1999 Measuring Attitudes towards Inequality. In: Scandinavian Journal of Economics.
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article78
1993Seasonality, Cointegration and Error Correction: An Illustration Using South African Monetary Data. In: Scottish Journal of Political Economy.
[Citation analysis]
article0
1995In Search of Time-Varying Term Premia in the London Interbank Market. In: Scottish Journal of Political Economy.
[Citation analysis]
article3
2003Dollar-Deutschemark Polarisation: Comparing The Pound And Franc In: Scottish Journal of Political Economy.
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article0
2011Detecting Common Dynamics in Transitory Components In: Journal of Time Series Econometrics.
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article3
2009Detecting Common Dynamics in Transitory Components.(2009) In: NCER Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
2011Semi-Parametric Forecasting of Realized Volatility In: Studies in Nonlinear Dynamics & Econometrics.
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article6
2004Linearizations and Equilibrium Correction Models In: Studies in Nonlinear Dynamics & Econometrics.
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article2
2013Econometric Modelling with Time Series In: Cambridge Books.
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book9
2013Econometric Modelling with Time Series.(2013) In: Cambridge Books.
[Citation analysis]
This paper has another version. Agregated cites: 9
book
2016Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship In: Cowles Foundation Discussion Papers.
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paper1
2016Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship.(2016) In: NCER Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
1994Geology or Economics? Testing Models of Irreversible Investment Using North Sea Oil Data. In: Economic Journal.
[Full Text][Citation analysis]
article34
2004Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity In: Econometric Society 2004 Australasian Meetings.
[Full Text][Citation analysis]
paper4
2009Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity.(2009) In: Economic Analysis and Policy.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
article
2006Testing for nonlinearity in mean in the presence of heteroskedasticity.(2006) In: Stan Hurn Discussion Papers.
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This paper has another version. Agregated cites: 4
paper
2004Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility In: Econometric Society 2004 Australasian Meetings.
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paper4
2008Practitioners Corner: Introduction In: Economic Analysis and Policy.
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article0
2008The Devil is in the Detail: Hints for Practical Optimisation In: Economic Analysis and Policy.
[Full Text][Citation analysis]
article5
2008The Devil is in the Detail: Hints for Practical Optimisation.(2008) In: NCER Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
2017An empirical investigation of herding in the U.S. stock market In: Economic Modelling.
[Full Text][Citation analysis]
article4
2006Asset pricing puzzles in finance: Introduction In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]
article1
2013A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions In: Journal of Econometrics.
[Full Text][Citation analysis]
article5
2010A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions.(2010) In: NCER Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
2016Forecasting day-ahead electricity load using a multiple equation time series approach In: European Journal of Operational Research.
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article9
2015Forecasting day-ahead electricity load using a multiple equation time series approach.(2015) In: NCER Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
2015Volatility transmission in global financial markets In: Journal of Empirical Finance.
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article11
2015Modelling interregional links in electricity price spikes In: Energy Economics.
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article8
2016Strategic bidding and rebidding in electricity markets In: Energy Economics.
[Full Text][Citation analysis]
article7
2017Forecasting quantiles of day-ahead electricity load In: Energy Economics.
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article9
2012Forecasting spikes in electricity prices In: International Journal of Forecasting.
[Full Text][Citation analysis]
article36
2015Selecting volatility forecasting models for portfolio allocation purposes In: International Journal of Forecasting.
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article9
2016Common trends in global volatility In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article0
2002Asymmetric price adjustment and the Phillips curve In: Journal of Macroeconomics.
[Full Text][Citation analysis]
article6
1995Unobservable cyclical components in term premia of fixed-term financial instruments In: Mathematics and Computers in Simulation (MATCOM).
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article0
1993Unobservable Cyclical Components in Term Premia of Fixed- Term Financial Instruments..(1993) In: Tasmania - Department of Economics.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
1997Isolating cyclical patterns in irregular time-series data In: Mathematics and Computers in Simulation (MATCOM).
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article0
1995Isolating Cyclical Patterns in Irregular Time Series Data..(1995) In: Department of Economics - Working Papers Series.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
1997Common trends and generalized purchasing power parity In: Mathematics and Computers in Simulation (MATCOM).
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article9
1997Estimating the parameters of stochastic differential equations by Monte Carlo methods In: Mathematics and Computers in Simulation (MATCOM).
[Full Text][Citation analysis]
article1
1995Estimating the Parameters of Stochastic Differential Equations by Monte Carlo Methods..(1995) In: Department of Economics - Working Papers Series.
[Citation analysis]
This paper has another version. Agregated cites: 1
paper
1999Estimating the parameters of stochastic differential equations In: Mathematics and Computers in Simulation (MATCOM).
[Full Text][Citation analysis]
article3
2004Using discrete-time techniques to test continuous-time models for nonlinearity in drift In: Mathematics and Computers in Simulation (MATCOM).
[Full Text][Citation analysis]
article0
1994Bank of England Intervention and the Structure of Interest Rates in the London Interbank Market. In: Tasmania - Department of Economics.
[Citation analysis]
paper0
2019Information Flow in Times of Crisis: The Case of the European Banking and Sovereign Sectors In: Econometrics.
[Full Text][Citation analysis]
article0
1998Modelling Stock Market Excess Returns by Markov Modulated Gaussian Noise In: Working Papers.
[Full Text][Citation analysis]
paper0
1995The Empirical Size and Power of Some Tests for Detecting Autoregressive Conditional Heteroskedasticity in the Presence of Serial Correlation. In: Department of Economics - Working Papers Series.
[Citation analysis]
paper0
1995Modelling the Lifespan of Human T Lymphocyte Subsets. In: Department of Economics - Working Papers Series.
[Citation analysis]
paper0
1996Time Series Evidence of Global Warming. In: Department of Economics - Working Papers Series.
[Citation analysis]
paper0
1998Distributional Preferences and the Extended Gini Measures of Inequality In: Department of Economics - Working Papers Series.
[Citation analysis]
paper1
1999The Generic Properties of Equilibrium Correction Mechanisms In: Working Paper Series.
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paper0
2003A smooth-transition model of the Australian unemployment rate In: Working Paper Series.
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paper2
Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations In: Journal of Financial Econometrics.
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article1
2006Seeing the wood for the trees: A critical evaluation of methods to estimate the parameters of stochastic differential equations.(2006) In: Stan Hurn Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
1995The Term Structure of Interest Rates in the London Interbank Market. In: Oxford Economic Papers.
[Citation analysis]
article26
2007Identifying aggregate demand and supply shocks in a small open economy In: Oxford Economic Papers.
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article8
2006Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations. Working paper #2 In: NCER Working Paper Series.
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paper0
2006Estimating Stochastic Volatility Models Using a Discrete Non-linear Filter. Working paper #3 In: NCER Working Paper Series.
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paper2
2007Econometric Analysis of Structural Systems with Permanent and Transitory Shocks. Working paper #7 In: NCER Working Paper Series.
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paper3
2007Testing for nonlinearity in mean in the presence of heteroskedasticity. Working paper #8 In: NCER Working Paper Series.
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paper0
2007Teaching an Old Dog New Tricks: Improved Estimation of the Parameters of Stochastic Differential Equations by Numerical Solution of the Fokker-Planck Equation In: NCER Working Paper Series.
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paper1
2008Momentum in Australian Stock Returns: An Update In: NCER Working Paper Series.
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paper21
2008Estimating the Payoffs of Temperature-based Weather Derivatives In: NCER Working Paper Series.
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paper1
2008Developing analytical distributions for temperature indices for the purposes of pricing temperature-based weather derivatives In: NCER Working Paper Series.
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paper0
2008Discrete time-series models when counts are unobservable In: NCER Working Paper Series.
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paper0
2009Evaluating multivariate volatility forecasts In: NCER Working Paper Series.
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paper25
2009Testing the Profitability of Technical Analysis as a Portfolio Selection Strategy In: NCER Working Paper Series.
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paper3
2012Selecting forecasting models for portfolio allocation In: NCER Working Paper Series.
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paper1
2012A Spatial Econometric Analysis of the Effect of Vertical Restraints and Branding on Retail Gasoline Pricing In: NCER Working Paper Series.
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paper2
2013On the Efficacy of Fourier Series Approximations for Pricing European and Digital Options In: NCER Working Paper Series.
[Full Text][Citation analysis]
paper0
2006Teaching an old dog new tricks: Improved estimation of the parameters of SDEs by numerical solution of the Fokker-Planck equation In: Stan Hurn Discussion Papers.
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paper4
2003Momentum in Australian Stock Returns In: Australian Journal of Management.
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article23
2015Estimating the Parameters of Stochastic Volatility Models Using Option Price Data In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article2
2017A semi-parametric point process model of the interactions between equity markets In: Working Papers.
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paper0
2001Testing for Time Dependence in Parameters In: Research Paper Series.
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paper15
2001Modelling Structural Change in Money Demand Using a Fourier-Series Approximation In: Research Paper Series.
[Full Text][Citation analysis]
paper3
2006Mixture distribution‐based forecasting using stochastic volatility models In: Applied Stochastic Models in Business and Industry.
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article0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 1st 2019. Contact: CitEc Team