Stan Hurn : Citation Profile


Are you Stan Hurn?

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

16

H index

22

i10 index

771

Citations

RESEARCH PRODUCTION:

58

Articles

52

Papers

3

Books

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   30 years (1991 - 2021). See details.
   Cites by year: 25
   Journals where Stan Hurn has often published
   Relations with other researchers
   Recent citing documents: 103.    Total self citations: 21 (2.65 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/phu111
   Updated: 2021-11-28    RAS profile: 2021-06-05    
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Relations with other researchers


Works with:

Clements, Adam (7)

Shi, Shuping (6)

Phillips, Peter (4)

Baum, Christopher (3)

Silvennoinen, Annastiina (2)

Teräsvirta, Timo (2)

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 (27)

Clements, Adam (19)

Creedy, John (19)

Trueck, Stefan (15)

GUPTA, RANGAN (13)

McAleer, Michael (12)

Caporin, Massimiliano (12)

Janczura, Joanna (9)

Gallagher, David (8)

Herrera, Rodrigo (7)

Grossi, Luigi (7)

Cites to:

Engle, Robert (32)

Bollerslev, Tim (24)

Shephard, Neil (22)

Cartea, Álvaro (21)

Granger, Clive (17)

Gallant, A. (16)

Phillips, Peter (16)

Andersen, Torben (15)

Ait-Sahalia, Yacine (14)

Diebold, Francis (14)

Hansen, Peter (13)

Main data


Where Stan Hurn has published?


Journals with more than one article published# docs
Mathematics and Computers in Simulation (MATCOM)6
The Economic Record3
Economic Analysis and Policy3
Energy Economics3
South African Journal of Economics3
Studies in Nonlinear Dynamics & Econometrics3
Stata Journal3
Scottish Journal of Political Economy3
Journal of Time Series Analysis2
Oxford Bulletin of Economics and Statistics2
International Journal of Forecasting2
Oxford Economic Papers2
The Energy Journal2

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 (2021 and 2020)


YearTitle of citing document
2021Deep Distributional Time Series Models and the Probabilistic Forecasting of Intraday Electricity Prices. (2020). Nott, David J ; Smith, Michael Stanley ; Klein, Nadja. In: Papers. RePEc:arx:papers:2010.01844.

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2020Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552.

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2021Bootstrap Inference for Hawkes and General Point Processes. (2021). Cavaliere, Giuseppe ; Staerk-Ostergaard, Jacob ; Rahbek, Anders ; Lu, YE. In: Papers. RePEc:arx:papers:2104.03122.

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2021Order Book Queue Hawkes-Markovian Modeling. (2021). Yang, Shihao ; Wu, Qianfan ; Protter, Philip. In: Papers. RePEc:arx:papers:2107.09629.

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2021Machine Learning and Factor-Based Portfolio Optimization. (2021). Kynigakis, Iason ; Cotter, John ; Conlon, Thomas. In: Papers. RePEc:arx:papers:2107.13866.

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2021$\alpha$-Hypergeometric Uncertain Volatility Models and their Connection to 2BSDEs. (2021). Kebiri, Omar ; Remita, Mohamed Riad ; Hartmann, Carsten ; Mezdoud, Zaineb. In: Papers. RePEc:arx:papers:2108.06965.

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2020Childrens Toy Safety Standards in Malaysia and ASEAN: Towards Single Regional Regulation of Lead-Based Paints and Children Toys. (2020). Mohamed, Nurina Awanis ; Hassan, Hakimi ; Talib, Kartini Aboo ; Alsagoff, Syed Sagoff ; Fadzil, Rozlinda Mohamed ; Isa, Suzanna Mohamed ; Ismail, Rahmah ; Azlan, Wan Amir. In: International Journal of Asian Social Science. RePEc:asi:ijoass:2020:p:483-495.

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2020Research on the use of financial statement information for forecasting profitability. (2020). Yohn, Teri Lombardi. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:3:p:3163-3181.

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2020Prospects for a Monetary Union in the East Africa Community: Some Empirical Evidence. (2020). Gil-Alana, Luis ; GilAlana, Luis ; Caporale, Guglielmo Maria. In: South African Journal of Economics. RePEc:bla:sajeco:v:88:y:2020:i:2:p:174-185.

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2020A threshold mixed count time series model: estimation and application. (2020). Tremayne, Andrew ; Tang, Chrismin ; Andrew, Tremayne ; Chrismin, Tang ; Vance, Martin ; Mardi, Dungey . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:24:y:2020:i:2:p:18:n:7.

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2020Nonlinear Business Cycle and Optimal Policy: A VSTAR Perspective. (2020). Polito, Vito. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8060.

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2021Tackling Large Outliers in Macroeconomic Data with Vector Artificial Neural Network Autoregression. (2021). Zhang, Yunyi ; Polito, Vito. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9395.

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2020Gaussian Rank Correlation and Regression. (2020). Sentana, Enrique ; Amengual, Dante ; Tian, Zhanyuan. In: Working Papers. RePEc:cmf:wpaper:wp2020_2004.

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2020Preferences for efficiency and redistribution: An experiment using charitable donations. (2020). Munro, David ; Guth, Jake. In: Economics Bulletin. RePEc:ebl:ecbull:eb-20-00376.

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2020Effect of market design on strategic bidding behavior: Model-based analysis of European electricity balancing markets. (2020). de Vries, Laurens ; Lago, Jesus ; Poplavskaya, Ksenia. In: Applied Energy. RePEc:eee:appene:v:270:y:2020:i:c:s0306261920306425.

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2021Nudging against panic selling: Making use of the IKEA effect. (2021). Rieger, Marc Oliver ; Ashtiani, Amin Zokaei ; Stutz, David. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:30:y:2021:i:c:s2214635021000460.

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2021U.S. stock prices and the dot.com-bubble: Can dividend policy rescue the efficient market hypothesis?. (2021). Wegener, Christoph ; Vigne, Samuel A ; Klein, Tony ; Basse, Tobias. In: Journal of Corporate Finance. RePEc:eee:corfin:v:67:y:2021:i:c:s0929119921000122.

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2020A temperature stochastic model for option pricing and its impacts on the electricity market. (2020). Mora, José ; Prabakaran, Sellamuthu ; Garcia, Isabel C. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:68:y:2020:i:c:p:58-77.

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2020International production fragmentation, trade in intermediate goods and environment. (2020). Zhang, Jingjing. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:1-7.

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2021The origins of influence. (2021). Goldbaum, David. In: Economic Modelling. RePEc:eee:ecmode:v:97:y:2021:i:c:p:380-396.

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2020Nonlinearities and regimes in conditional correlations with different dynamics. (2020). Bauwens, Luc ; Otranto, Edoardo. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:496-522.

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2021Bootstrap based probability forecasting in multiplicative error models. (2021). Silvapulle, Mervyn J ; Perera, Indeewara . In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:1:p:1-24.

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2020Strategic offering of a flexible producer in day-ahead and intraday power markets. (2020). Siddiqui, Afzal S ; Rintamaki, Tuomas ; Salo, Ahti. In: European Journal of Operational Research. RePEc:eee:ejores:v:284:y:2020:i:3:p:1136-1153.

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2020An integrated method based on relevance vector machine for short-term load forecasting. (2020). Vassiliadis, Vassilios S ; Fu, Dongfei ; Ping, Zuowei ; Wang, Maolin ; Ding, Jia. In: European Journal of Operational Research. RePEc:eee:ejores:v:287:y:2020:i:2:p:497-510.

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2021Global equity market leadership positions through implied volatility measures. (2021). Padungsaksawasdi, Chaiyuth ; Parhizgari, A M. In: Journal of Empirical Finance. RePEc:eee:empfin:v:61:y:2021:i:c:p:180-205.

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2021Oil price and US dollar exchange rate: Change detection of bi-directional causal impact. (2021). Albulescu, Claudiu ; Ajmi, Ahdi Noomen. In: Energy Economics. RePEc:eee:eneeco:v:100:y:2021:i:c:s0140988321002863.

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2020Renewable energy consumption and industrial production: A disaggregated time-frequency analysis for the U.S.. (2020). Czudaj, Robert ; Hoang, Thihongvan ; Hussain, Syed Jawad ; van Hoang, Thi Hong. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319302051.

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2020Assessing the impact of renewable energy sources on the electricity price level and variability – A quantile regression approach. (2020). Maciejowska, Katarzyna. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303275.

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2020Forecasting crude oil and refined products volatilities and correlations: New evidence from fractionally integrated multivariate GARCH models. (2020). Di Iorio, Francesca ; Tamvakis, Michael ; Kyriakou, Ioannis ; Marchese, Malvina. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320300967.

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2020Volatility spillovers in Australian electricity markets. (2020). Trueck, Stefan ; Truck, Stefan ; Kordzakhia, Nino ; Han, Lin. In: Energy Economics. RePEc:eee:eneeco:v:90:y:2020:i:c:s0140988320301225.

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2020Empirical investigation of retail fuel pricing: The impact of spatial interaction, competition and territorial factors. (2020). Intini, Mario ; Capozza, Claudia ; Bergantino, Angela S. In: Energy Economics. RePEc:eee:eneeco:v:90:y:2020:i:c:s0140988320302164.

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2020Relationship between green bonds and financial and environmental variables: A novel time-varying causality. (2020). Mokni, Khaled ; Ajmi, Ahdi Noomen ; Hammoudeh, Shawkat. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320302814.

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2020Electricity market integration, decarbonisation and security of supply: Dynamic volatility connectedness in the Irish and Great Britain markets. (2020). Nepal, Rabindra ; Jamasb, Tooraj ; Do, Hung Xuan. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320302875.

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2020A dynamic network analysis of spot electricity prices in the Australian national electricity market. (2020). Truck, Stefan ; Yan, Guan. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320303121.

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2021Carbon pass-through rates on spot electricity prices in Australia. (2021). Zhu, Liangxu ; Truck, Stefan ; Nazifi, Fatemeh . In: Energy Economics. RePEc:eee:eneeco:v:96:y:2021:i:c:s0140988321000839.

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2020Transmission costs and the value of wind generation for the CREZ project. (2020). Dorsey-Palmateer, Reid. In: Energy Policy. RePEc:eee:enepol:v:138:y:2020:i:c:s0301421520300100.

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2021Operating reserve demand curve, scarcity pricing and intermittent generation: Lessons from the Texas ERCOT experience. (2021). Bajo-Buenestado, Raúl. In: Energy Policy. RePEc:eee:enepol:v:149:y:2021:i:c:s0301421520307680.

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2020The impact of probability of electricity price spike and outside temperature to define total expected cost for air conditioning. (2020). Marwan, Marwan. In: Energy. RePEc:eee:energy:v:195:y:2020:i:c:s0360544220301018.

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2020Short-term prediction of building energy consumption employing an improved extreme gradient boosting model: A case study of an intake tower. (2020). Hu, Gang ; Ma, Xin ; Cheng, Feifei ; Lu, Hongfang. In: Energy. RePEc:eee:energy:v:203:y:2020:i:c:s036054422030863x.

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2021Analysis of offering behavior of generation-side integrated energy aggregator in electricity market:A Bayesian evolutionary approach. (2021). Fang, Debin ; Liu, Yao ; Lin, Jin ; Dong, Jun ; Yang, Peiwen. In: Energy. RePEc:eee:energy:v:228:y:2021:i:c:s0360544221007593.

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2021Evaluation of a cross-border electricity interconnection: The case of Spain-France. (2021). Chamorro, Jose Manuel ; Abadie, Luis Maria. In: Energy. RePEc:eee:energy:v:233:y:2021:i:c:s0360544221014250.

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2020Uncovering the time-varying relationship between commonality in liquidity and volatility. (2020). Uribe, Jorge ; Chuliá, Helena ; Koser, Christoph ; Chulia, Helena. In: International Review of Financial Analysis. RePEc:eee:finana:v:69:y:2020:i:c:s1057521920301101.

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2020What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective?. (2020). Oxley, Les ; Hu, Yang ; Hou, Yang Greg. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302131.

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2021From COVID-19 herd immunity to investor herding in international stock markets: The role of government and regulatory restrictions. (2021). Donadelli, Michael ; Tzouvanas, Panagiotis ; Kizys, Renatas. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000053.

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2021The bubble contagion effect of COVID-19 outbreak: Evidence from crude oil and gold markets. (2021). Mefteh-Wali, Salma ; Gharib, Cheima ; ben Jabeur, Sami. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320308497.

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2020Historic risk and implied volatility. (2020). Levendis, John ; Dicle, Mehmet F. In: Global Finance Journal. RePEc:eee:glofin:v:45:y:2020:i:c:s1044028318301625.

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2021Dynamic relations between oil and stock markets: Volatility spillovers, networks and causality. (2021). Sanin Restrepo, Sebastian ; Hirs-Garzon, Jorge ; Gomez-Gonzalez, Jose ; Sanin-Restrepo, Sebastian. In: International Economics. RePEc:eee:inteco:v:165:y:2021:i:c:p:37-50.

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2021Realized volatility forecasting: Robustness to measurement errors. (2021). Otranto, Edoardo ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:44-57.

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2021Dimensionality reduction in forecasting with temporal hierarchies. (2021). Madsen, Henrik ; Moller, Jan K ; Lindstrom, Erik ; Nystrup, Peter. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:3:p:1127-1146.

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2020Inequality aversion in income, health, and income-related health. (2020). Mentzakis, Emmanouil ; Hurley, Jeremiah ; Walli-Attaei, Marjan . In: Journal of Health Economics. RePEc:eee:jhecon:v:70:y:2020:i:c:s0167629619304722.

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2021How does weather affect bikeshare use? A comparative analysis of forty cities across climate zones. (2021). Corcoran, Jonathan ; Pojani, Dorina ; Bean, Richard. In: Journal of Transport Geography. RePEc:eee:jotrge:v:95:y:2021:i:c:s0966692321002088.

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2020Policy implications of the Lucas Critique empirically tested along the global financial crisis. (2020). Orhan, Mehmet ; Simsek, Esra ; Karimova, Amira. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:42:y:2020:i:1:p:153-172.

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2020Lotka–Volterra signals in ASEAN currency exchange rates. (2020). White, Reilly ; Marinakis, Yorgos D ; Walsh, Steven T. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:545:y:2020:i:c:s0378437119320862.

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2020The relationship between monetary policy and uncertainty in advanced economies: Evidence from time- and frequency-domains. (2020). Tiwari, Aviral ; GUPTA, RANGAN ; Hkiri, Besma ; Ekin, Semih Emre. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:78:y:2020:i:c:p:70-87.

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2021Power demand forecasting for demand-driven energy production with biogas plants. (2021). Lemmer, Andreas ; Krumpel, Johannes ; Dittmer, Celina. In: Renewable Energy. RePEc:eee:renene:v:163:y:2021:i:c:p:1871-1877.

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2021Time-varying causality between renewable and non-renewable energy consumption and real output: Sectoral evidence from the United States. (2021). Topcu, Mert ; Emirmahmutoglu, Furkan ; Denaux, Zulal. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:149:y:2021:i:c:s1364032121006122.

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2021Harnessing the decomposed realized measures for volatility forecasting: Evidence from the US stock market. (2021). Wahab, M. I. M., ; Ding, Hui ; Wang, Jiqian ; Ma, Feng ; Lu, Botao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:72:y:2021:i:c:p:672-689.

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2020Uncertainty and herding behavior: evidence from cryptocurrencies. (2020). Marco, Chi Keung ; Coskun, Esra Alp ; KAHYAOGLU, Hakan. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920300957.

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2021Does economic policy uncertainty affect cryptocurrency markets? Evidence from Twitter-based uncertainty measures. (2021). Gözgör, Giray ; Leping, Huang ; Gozgor, Giray ; Tiwari, Aviral Kumar ; Wu, Wanshan. In: Research in International Business and Finance. RePEc:eee:riibaf:v:58:y:2021:i:c:s0275531921000994.

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2021Functional limit theorems for marked Hawkes point measures. (2021). Xu, Wei ; Horst, Ulrich. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:134:y:2021:i:c:p:94-131.

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2021Can the minimum wage reduce poverty and inequality in the developing world? Evidence from Brazil. (2021). Sotomayor, Orlando J. In: World Development. RePEc:eee:wdevel:v:138:y:2021:i:c:s0305750x20303090.

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2020New Assessment of Economic Integration in East Asia: Application of Industry-Specific G-PPP Model. (2020). Kiyotaka, Sato ; Kentaro, Kawasaki . In: Discussion papers. RePEc:eti:dpaper:20091.

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2020Does the Yield Curve Predict Output?. (2020). Haubrich, Joseph. In: Working Papers. RePEc:fip:fedcwq:89008.

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2020Short-Term Electricity Demand Forecasting: Impact Analysis of Temperature for Thailand. (2020). Kulthanavit, Pisut ; Kittipiyakul, Somsak ; Chapagain, Kamal. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:10:p:2498-:d:358610.

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2021Probabilistic Day-Ahead Wholesale Price Forecast: A Case Study in Great Britain. (2021). Caudron, Julien ; Haben, Stephen ; Verma, Jake. In: Forecasting. RePEc:gam:jforec:v:3:y:2021:i:3:p:38-632:d:623967.

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2020Investor Sentiment and Herding Behavior in the Korean Stock Market. (2020). Yoon, Seong-Min ; Choi, Ki-Hong. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:8:y:2020:i:2:p:34-:d:365887.

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2020Investor Sentiment, Portfolio Returns, and Macroeconomic Variables. (2020). Lim, Sophyafadeth ; Abidin, Sazali ; Banchit, Azilawati ; Morni, Fareiny. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:11:p:259-:d:436968.

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2020Volatility Transmission across Financial Markets: A Semiparametric Analysis. (2020). Sibbertsen, Philipp ; Mboya, Mwasi ; Kolaiti, Theoplasti. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:8:p:160-:d:389105.

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2021Empirical Estimation of Intraday Yield Curves on the Italian Interbank Credit Market e-MID. (2021). Demertzidis, Anastasios ; Jeleskovic, Vahidin. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:5:p:212-:d:550636.

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2021Econometrics of Anthropogenic Emissions, Green Energy-Based Innovations, and Energy Intensity across OECD Countries. (2021). Sarkodie, Samuel Asumadu ; Owusu, Phebe Asantewaa ; Adedoyin, Festus Fatai ; Ajmi, Ahdi Noomen. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:8:p:4118-:d:531678.

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2020A history of aggregate demand and supply shocks for the United Kingdom, 1900 to 2016. (2020). Kohler, Karsten ; Calvert Jump, Robert. In: Greenwich Papers in Political Economy. RePEc:gpe:wpaper:30959.

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2020UNCERTAINTY AND THE EFFECTIVENESS OF FISCAL POLICY IN THE UNITED STATES AND BRAZIL: SVAR APPROACH. (2020). de Sa, Eduardo. In: Working Papers REM. RePEc:ise:remwps:wp01502020.

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2021How Does Exposure to COVID-19 Influence Health and Income Inequality Aversion?. (2021). Costa-Font, Joan ; costa -Font, Joan ; Cowell, Frank A ; Asaria, Miqdad. In: IZA Discussion Papers. RePEc:iza:izadps:dp14103.

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2021Testing for Time-Varying Properties Under Misspecified Conditional Mean and Variance. (2021). Ota, Yasushi ; Maki, Daiki. In: Computational Economics. RePEc:kap:compec:v:57:y:2021:i:4:d:10.1007_s10614-020-10014-4.

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2020A microsimulation analysis of marginal welfare-improving income tax reforms for New Zealand. (2020). Hérault, Nicolas ; Gemmell, Norman ; Mok, Penny ; Herault, Nicolas ; Creedy, John. In: International Tax and Public Finance. RePEc:kap:itaxpf:v:27:y:2020:i:2:d:10.1007_s10797-019-09558-5.

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2020Another look at value and momentum: volatility spillovers. (2020). Vähämaa, Sami ; Grobys, Klaus. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:55:y:2020:i:4:d:10.1007_s11156-020-00880-2.

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2020Exchange Rate and Unemployment in Nigeria: An ARDL Approach. (2020). Nwokocha, Nnebuihe Ihechi ; Morba, Ejimofor ; Eze, Afamefuna Angus ; Adzugbele, Agbutun Shedrach. In: Academic Journal of Economic Studies. RePEc:khe:scajes:v:6:y:2020:i:3:p:53-58.

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2021Bootstrap inference for Hawkes and general point processes. (2021). Cavaliere, Giuseppe ; Stark-Ostergaard, Jacob ; Rahbek, Anders ; Lu, YE. In: Discussion Papers. RePEc:kud:kuiedp:2105.

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2020Identifying Risk Factors and Their Premia: A Study on Electricity Prices. (2020). Lunde, Asger ; Wei, Wei. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2020-10.

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2020Government Expenditures and Economic Growth: A Cointegration Analysis for Thailand under the Floating Exchange Rate Regime. (2020). Jiranyakul, Komain. In: MPRA Paper. RePEc:pra:mprapa:100284.

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2020Oil Price Dynamics and Currency-Hedging Behavior. (2020). Ibhagui, Oyakhilome ; Agudze, Komla. In: MPRA Paper. RePEc:pra:mprapa:100949.

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2020Government Expenditures and Economic Growth: A Cointegration Analysis for Thailand under the Floating Exchange Rate Regime. (2020). Jiranyakul, Komain. In: MPRA Paper. RePEc:pra:mprapa:109054.

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2020Government Expenditures and Economic Growth: A Cointegration Analysis for Thailand under the Floating Exchange Rate Regime. (2020). Jiranyakul, Komain. In: MPRA Paper. RePEc:pra:mprapa:109585.

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2020Time-Varying Spillover of US Trade War on the Growth of Emerging Economies. (2020). GUPTA, RANGAN ; Ramabulana, Khuliso ; Gabauer, David ; Cepni, Oguzhan. In: Working Papers. RePEc:pre:wpaper:202002.

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2020Time-Varying Causality between Bond and Oil Markets of the United States: Evidence from Over One and Half Centuries of Data. (2020). GUPTA, RANGAN ; Rojas, Omar ; Nazlioglu, Saban ; Coronado, Semei. In: Working Papers. RePEc:pre:wpaper:202006.

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2020Time-Varying Influence of Household Debt on Inequality in United Kingdom. (2020). Lau, Chi Keung ; GUPTA, RANGAN ; Gabauer, David ; Berisha, Edmond. In: Working Papers. RePEc:pre:wpaper:202017.

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2020Time-Varying Predictability of Labor Productivity on Inequality in United Kingdom. (2020). GUPTA, RANGAN ; Gabauer, David ; Nel, Jacobus. In: Working Papers. RePEc:pre:wpaper:202084.

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2021Identifying Supply and Demand Shocks in the South African Economy 19602020. (2021). Fedderke, Johannes W. In: Working Papers. RePEc:rbz:wpaper:11012.

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2020Electricity consumption forecasting for integrated power system with seasonal patterns. (2020). Redkina, Anastasiia ; Lozinskaia, Agata ; Shenkman, Evgeniia. In: Applied Econometrics. RePEc:ris:apltrx:0404.

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2021Reduced Rank Regression Models in Economics and Finance. (2021). Hecq, Alain ; Cubadda, Gianluca. In: CEIS Research Paper. RePEc:rtv:ceisrp:525.

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2021The Arrival of Information and Price Adjustment Across Extreme Quantiles: Global Evidence. (2021). Tripathi, Abhinava. In: IIM Kozhikode Society & Management Review. RePEc:sae:iimkoz:v:10:y:2021:i:1:p:7-19.

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2021Efficiency loss and support for income redistribution: Evidence from a laboratory experiment. (2021). Lutz, Maximilian ; Lorenz, Jan ; Paetzel, Fabian ; Tepe, Markus. In: Rationality and Society. RePEc:sae:ratsoc:v:33:y:2021:i:3:p:313-340.

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2021Internal hedging of intermittent renewable power generation and optimal portfolio selection. (2021). Mari, Carlo ; Lucheroni, Carlo. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03221-2.

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2021Clustering of arrivals in queueing systems: autoregressive conditional duration approach. (2021). Hol, Vladimir ; Tomanova, Petra. In: Central European Journal of Operations Research. RePEc:spr:cejnor:v:29:y:2021:i:3:d:10.1007_s10100-021-00744-7.

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2020A marked point process model for intraday financial returns: modeling extreme risk. (2020). Herrera, Rodrigo ; Clements, Adam. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:4:d:10.1007_s00181-018-1600-y.

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2021Time-Varying Predictability of Labor Productivity on Inequality in United Kingdom. (2021). GUPTA, RANGAN ; Nel, Jacobus ; Gabauer, David ; Yamaka, Woraphon. In: Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement. RePEc:spr:soinre:v:155:y:2021:i:3:d:10.1007_s11205-021-02622-w.

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2021BOOTSTRAP INFERENCE FOR HAWKES AND GENERAL POINT PROCESSES. (2021). Cavaliere, Giuseppe ; Staerk-Ostergaard, J ; Rahbek, Anders ; Lu, YE. In: Working Papers. RePEc:syd:wpaper:2021-05.

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2021Machine Learning and Factor-Based Portfolio Optimization. (2021). Cotter, John ; Conlon, Thomas ; Kynigakis, Iason. In: Working Papers. RePEc:ucd:wpaper:202111.

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2021Attitudes towards inequality in Brazil: An analysis of a highly unequal country. (2021). Carneiro, Ana Maria ; Granja, Cintia Denise. In: MERIT Working Papers. RePEc:unm:unumer:2021009.

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2021Comparing Income Distributions Using Atkinson’s Measure of Inequality. (2021). Creedy, John. In: Working Paper Series. RePEc:vuw:vuwcpf:9469.

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2021Financial contagion across G10 stock markets: A study during major crises. (2021). Litimi, Houda ; Bensaida, Ahmed. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:3:p:4798-4821.

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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
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
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
2014A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market In: CREATES Research Papers.
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paper8
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: 8
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: 8
article
2018Transition from the Taylor rule to the zero lower bound In: CREATES Research Papers.
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paper1
2009It Never Rains but it Pours: Modeling the Persistence of Spikes in Electricity Prices In: The Energy Journal.
[Full Text][Citation analysis]
article20
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: 20
paper
2017The Effect of Transmission Constraints on Electricity Prices In: The Energy Journal.
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article5
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.
[Full Text][Citation analysis]
article9
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.
[Full Text][Citation analysis]
article8
2018Change Detection and the Causal Impact of the Yield Curve In: Journal of Time Series Analysis.
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article28
2016Change Detection and the Causal Impact of the Yield Curve.(2016) In: Cowles Foundation Discussion Papers.
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This paper has another version. Agregated cites: 28
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: 28
paper
1996Modelling the Demand for M4 in the U.K. In: The Manchester School of Economic & Social Studies.
[Citation analysis]
article1
1992Testing Superexogeneity: The Demand for Broad Money in the UK. In: Oxford Bulletin of Economics and Statistics.
[Citation analysis]
article9
2002On 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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article0
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]
article45
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.
[Full Text][Citation analysis]
article3
1993The Money?income Causality Debate in South Africa: Reply In: South African Journal of Economics.
[Full Text][Citation analysis]
article0
1999Measuring Attitudes Towards Inequality In: Scandinavian Journal of Economics.
[Full Text][Citation analysis]
article97
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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article4
2009Detecting Common Dynamics in Transitory Components.(2009) In: NCER Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
2011Semi-Parametric Forecasting of Realized Volatility In: Studies in Nonlinear Dynamics & Econometrics.
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article7
2004Linearizations and Equilibrium Correction Models In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
article2
2019Modeling directional (circular) time series In: Cambridge Working Papers in Economics.
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paper1
2013Econometric Modelling with Time Series In: Cambridge Books.
[Citation analysis]
book15
2013Econometric Modelling with Time Series.(2013) In: Cambridge Books.
[Citation analysis]
This paper has another version. Agregated cites: 15
book
2016Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
paper6
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: 6
paper
1994Geology or Economics? Testing Models of Irreversible Investment Using North Sea Oil Data. In: Economic Journal.
[Full Text][Citation analysis]
article40
2004Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity In: Econometric Society 2004 Australasian Meetings.
[Full Text][Citation analysis]
paper5
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: 5
article
2006Testing for nonlinearity in mean in the presence of heteroskedasticity.(2006) In: Stan Hurn Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
2004Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility In: Econometric Society 2004 Australasian Meetings.
[Full Text][Citation analysis]
paper6
2008Practitioners Corner: Introduction In: Economic Analysis and Policy.
[Full Text][Citation analysis]
article0
2008The Devil is in the Detail: Hints for Practical Optimisation In: Economic Analysis and Policy.
[Full Text][Citation analysis]
article6
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: 6
paper
2017An empirical investigation of herding in the U.S. stock market In: Economic Modelling.
[Full Text][Citation analysis]
article9
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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article21
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: 21
paper
2015Volatility transmission in global financial markets In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article17
2015Modelling interregional links in electricity price spikes In: Energy Economics.
[Full Text][Citation analysis]
article21
2016Strategic bidding and rebidding in electricity markets In: Energy Economics.
[Full Text][Citation analysis]
article14
2017Forecasting quantiles of day-ahead electricity load In: Energy Economics.
[Full Text][Citation analysis]
article11
2012Forecasting spikes in electricity prices In: International Journal of Forecasting.
[Full Text][Citation analysis]
article42
2015Selecting volatility forecasting models for portfolio allocation purposes In: International Journal of Forecasting.
[Full Text][Citation analysis]
article18
2016Common trends in global volatility In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article2
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).
[Full Text][Citation analysis]
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).
[Full Text][Citation analysis]
article10
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
2019Revisiting the numerical solution of stochastic differential equations In: China Finance Review International.
[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]
article1
1998Modelling Stock Market Excess Returns by Markov Modulated Gaussian Noise In: Working Papers.
[Full Text][Citation analysis]
paper0
2020The Bootstrap In: Post-Print.
[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.
[Full Text][Citation analysis]
paper1
2003A smooth-transition model of the Australian unemployment rate In: Working Paper Series.
[Full Text][Citation analysis]
paper2
2019Modelling and forecasting wind drought In: Working Paper Series.
[Full Text][Citation analysis]
paper0
Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
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]
article27
2007Identifying aggregate demand and supply shocks in a small open economy In: Oxford Economic Papers.
[Full Text][Citation analysis]
article14
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.
[Full Text][Citation analysis]
paper0
2006Estimating Stochastic Volatility Models Using a Discrete Non-linear Filter. Working paper #3 In: NCER Working Paper Series.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
paper1
2008Momentum in Australian Stock Returns: An Update In: NCER Working Paper Series.
[Full Text][Citation analysis]
paper28
2008Estimating the Payoffs of Temperature-based Weather Derivatives In: NCER Working Paper Series.
[Full Text][Citation analysis]
paper2
2008Developing analytical distributions for temperature indices for the purposes of pricing temperature-based weather derivatives In: NCER Working Paper Series.
[Full Text][Citation analysis]
paper0
2008Discrete time-series models when counts are unobservable In: NCER Working Paper Series.
[Full Text][Citation analysis]
paper0
2009Evaluating multivariate volatility forecasts In: NCER Working Paper Series.
[Full Text][Citation analysis]
paper28
2009Testing the Profitability of Technical Analysis as a Portfolio Selection Strategy In: NCER Working Paper Series.
[Full Text][Citation analysis]
paper3
2012Selecting forecasting models for portfolio allocation In: NCER Working Paper Series.
[Full Text][Citation analysis]
paper1
2012A Spatial Econometric Analysis of the Effect of Vertical Restraints and Branding on Retail Gasoline Pricing In: NCER Working Paper Series.
[Full Text][Citation analysis]
paper3
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.
[Full Text][Citation analysis]
paper4
2003Momentum in Australian Stock Returns In: Australian Journal of Management.
[Full Text][Citation analysis]
article30
2015Estimating the Parameters of Stochastic Volatility Models Using Option Price Data In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article3
2017A semi-parametric point process model of the interactions between equity markets In: Working Papers.
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paper0
2021Environmental Econometrics Using Stata In: Stata Press books.
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book0
2020Local Whittle estimation of the long-memory parameter In: Stata Journal.
[Full Text][Citation analysis]
article0
2021The BDS test of independence In: Stata Journal.
[Full Text][Citation analysis]
article0
2021“What good is a volatility model?” A reexamination after 20 years In: Stata Journal.
[Full Text][Citation analysis]
article0
2001Testing for Time Dependence in Parameters In: Research Paper Series.
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paper12
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.
[Full Text][Citation analysis]
article0

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