20
H index
27
i10 index
1072
Citations
Queensland University of Technology (50% share) | 20 H index 27 i10 index 1072 Citations RESEARCH PRODUCTION: 63 Articles 54 Papers 3 Books 1 Chapters EDITOR: Books edited RESEARCH ACTIVITY: 31 years (1991 - 2022). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/phu111 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Stan Hurn. | Is cited by: | Cites to: |
Year | Title of citing document |
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2023 | Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552. Full description at Econpapers || Download paper |
2023 | A hybrid model for day-ahead electricity price forecasting: Combining fundamental and stochastic modelling. (2023). Musgens, Felix ; Grothe, Oliver ; Mobius, Thomas ; Watermeyer, Mira. In: Papers. RePEc:arx:papers:2304.09336. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Comparing Income Distributions Using Atkinsons Measure of Inequality. (2023). Creedy, John. In: Australian Economic Review. RePEc:bla:ausecr:v:56:y:2023:i:1:p:141-155. Full description at Econpapers || Download paper |
2023 | Predicting stock realized variance based on an asymmetric robust regression approach. (2023). He, Mengxi ; Zhang, Yaojie ; Hao, Xianfeng ; Zhao, Yuqi. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:4:p:1022-1047. Full description at Econpapers || Download paper |
2023 | When social assistance meets market power: A mixed duopoly view of health insurance in the United States. (2023). Su, Xuejuan ; Ranasinghe, Ashantha. In: Economic Inquiry. RePEc:bla:ecinqu:v:61:y:2023:i:4:p:851-869. Full description at Econpapers || Download paper |
2023 | A Framework to Forecast Electricity Consumption of Meters using Automated Ranking and Data Preprocessing. (2023). Hekimoglu, Mustafa ; Yucekaya, Ahmet ; Oguz, Kamil Doruk ; Cenet, Mehmet Nabi ; Cinar, Hakan ; Guzel, Tulin. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-05-22. Full description at Econpapers || Download paper |
2023 | The stability of UK households Divisia money balances. (2023). Barlow, David. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:77:y:2023:i:c:p:451-459. Full description at Econpapers || Download paper |
2023 | Do foreign investors have a positive impact on the domestic government bonds market? A panel pooled mean group approach. (2023). Roca, Eduardo ; Su, Jen-Je ; Akimov, Alexandr ; Conterius, Simeon. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:77:y:2023:i:c:p:863-875. Full description at Econpapers || Download paper |
2023 | Research on the time-varying effects among green finance markets in China: A fresh evidence from multi-frequency scale perspective. (2023). Chen, Ling ; Fu, Yating ; Xia, Yufei ; Liu, Rongyan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000372. Full description at Econpapers || Download paper |
2023 | Bootstrap inference for Hawkes and general point processes. (2023). Cavaliere, Giuseppe ; Stark-Ostergaard, Jacob ; Rahbek, Anders ; Lu, YE. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:133-165. Full description at Econpapers || Download paper |
2023 | Foreign institutions, local investors and momentum trading. (2023). Wu, Winston ; Bradrania, Reza. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:40-64. Full description at Econpapers || Download paper |
2023 | Foreseeing the worst: Forecasting electricity DART spikes. (2023). Godin, Frederic ; Gauthier, Genevieve ; Galarneau-Vincent, Remi. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000191. Full description at Econpapers || Download paper |
2023 | Herding in the Chinese renewable energy market: Evidence from a bootstrapping time-varying coefficient autoregressive model. (2023). Lucey, Brian ; Ren, Boru. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000245. Full description at Econpapers || Download paper |
2023 | Modelling Australian electricity prices using indicator saturation. (2023). Apergis, Nicholas ; Wang, Shixuan ; Reade, James ; Pan, Wei-Fong. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001147. Full description at Econpapers || Download paper |
2023 | Structural sources of oil market volatility and correlation dynamics. (2023). Stewart, Shamar ; Liu, Xiaochun ; Harrison, Andre. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001561. Full description at Econpapers || Download paper |
2023 | Electricity price spike clustering: A zero-inflated GARX approach. (2023). Suthaharan, Neyavan ; Lu, YE. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323003328. Full description at Econpapers || Download paper |
2023 | Market failure or politics? Understanding the motives behind regulatory actions to address surging electricity prices. (2023). Zhang, Alex Hongliang ; Erten, Ibrahim Etem ; Camadan, Ercument ; Sirin, Selahattin Murat. In: Energy Policy. RePEc:eee:enepol:v:180:y:2023:i:c:s030142152300232x. Full description at Econpapers || Download paper |
2023 | A novel approach based on integration of convolutional neural networks and echo state network for daily electricity demand prediction. (2023). Nguyen-Huy, Thong ; Ghimire, Sujan ; Salcedo-Sanz, Sancho ; Casillas-Perez, David ; Deo, Ravinesh C ; Al-Musaylh, Mohanad S. In: Energy. RePEc:eee:energy:v:275:y:2023:i:c:s0360544223008241. Full description at Econpapers || Download paper |
2023 | DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations. (2023). Bauwens, Luc ; Xu, Yongdeng. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:938-955. Full description at Econpapers || Download paper |
2023 | The Pricing of Skewness Over Different Return Horizons. (2023). Arisoy, Eser Y ; Aretz, Kevin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:148:y:2023:i:c:s037842662200293x. Full description at Econpapers || Download paper |
2023 | Efficient Quasi-Bayesian Estimation of Affine Option Pricing Models Using Risk-Neutral Cumulants. (2023). Lutkebohmert, Eva ; Gonzato, Luca ; Brignone, Riccardo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:148:y:2023:i:c:s0378426622003259. Full description at Econpapers || Download paper |
2023 | Cointegration between high base metals prices and backwardation: Getting ready for the metals super-cycle. (2023). Labeaga, Jose ; Martin-Garcia, Rodrigo ; Galan-Gutierrez, Juan Antonio. In: Resources Policy. RePEc:eee:jrpoli:v:81:y:2023:i:c:s0301420723001216. Full description at Econpapers || Download paper |
2023 | Oil price shocks and inflation: A cross-national examination in the ASEAN5+3 countries. (2023). Azman, Mukhriz Izraf ; Aharon, David Y ; Kallir, Ido. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723002842. Full description at Econpapers || Download paper |
2023 | Can renewable energy mitigate the impacts of inflation and policy interest on climate change?. (2023). Akan, Taner. In: Renewable Energy. RePEc:eee:renene:v:214:y:2023:i:c:p:255-289. Full description at Econpapers || Download paper |
2023 | Impact of climate policy uncertainty on traditional energy and green markets: Evidence from time-varying granger tests. (2023). Ren, Xiaohang ; Lucey, Brian ; He, Feng ; Li, Jingyao. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:173:y:2023:i:c:s136403212200939x. Full description at Econpapers || Download paper |
2023 | Investor sentiment and stock market anomalies in Australia. (2023). Bissoondoyal-Bheenick, Emawtee ; Zhang, Xinyue ; Zhong, Angel. In: International Review of Economics & Finance. RePEc:eee:reveco:v:86:y:2023:i:c:p:284-303. Full description at Econpapers || Download paper |
2023 | Peer effects in financial economics: A literature survey. (2023). Jarjir, Souad Lajili ; Boubaker, Sabri ; Ali-Rind, Asad. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002598. Full description at Econpapers || Download paper |
2023 | Did mega-regional trade agreements reshuffle the financial influence of the US, China, and Japan in ASEAN? Evidence from the volatility-spillover effects. (2023). Piljak, Vanja ; Jiang, Junhua ; Cao, LI. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000636. Full description at Econpapers || Download paper |
2023 | An analysis of the time-varying causality and dynamic correlation between green bonds and US gas prices. (2023). Abakah, Emmanuel ; Oteng-Abayie, Eric Fosu ; Adekoya, Oluwasegun B ; Tiwari, Aviral Kumar ; Aikins, Emmanuel Joel. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:186:y:2023:i:pa:s0040162522006552. Full description at Econpapers || Download paper |
2023 | The Pricing Kernel in Options. (2023). Kim, Hyung Joo ; Jacobs, Kris ; Heston, Steven. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:96652. Full description at Econpapers || Download paper |
2023 | Electricity Day-Ahead Market Conditions and Their Effect on the Different Supervised Algorithms for Market Price Forecasting. (2023). Georghiou, George E ; Kyprianou, Andreas ; Theocharides, Spyros ; Konstantinidis, Georgios ; Loizidis, Stylianos. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:12:p:4617-:d:1167834. Full description at Econpapers || Download paper |
2023 | Edge-Based Short-Term Energy Demand Prediction. (2023). Papageorgiou, Elpiniki I ; Lekidis, Alexios. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:14:p:5435-:d:1196042. Full description at Econpapers || Download paper |
2023 | Forecasting the Monash Microgrid for the IEEE-CIS Technical Challenge. (2023). Bean, Richard. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:3:p:1050-:d:1039403. Full description at Econpapers || Download paper |
2023 | A Hawkes Model Approach to Modeling Price Spikes in the Japanese Electricity Market. (2023). Ikeda, Kazushi ; Adline, Bikeri. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:4:p:1570-:d:1057836. Full description at Econpapers || Download paper |
2023 | A Hybrid Model for Multi-Day-Ahead Electricity Price Forecasting considering Price Spikes. (2023). Quashie, Mike ; Zareipour, Hamidreza ; Lopez, Manuel Zamudio ; Jaimes, Daniel Manfre. In: Forecasting. RePEc:gam:jforec:v:5:y:2023:i:3:p:28-521:d:1197273. Full description at Econpapers || Download paper |
2023 | A New Measure for Idiosyncratic Risk Based on Decomposition Method. (2023). Brooks, Robert ; Hooy, Chee-Wooi ; Lee, Meng-Horng. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:1:p:43-:d:1030315. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Pursuing the Sustainability of Real Estate Market: The Case of Chinese Land Resources Diversification. (2023). Wen, Zhong-Qin ; Chiang, Shu-Hen ; Lee, Cheng-Wen. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:7:p:5850-:d:1109353. Full description at Econpapers || Download paper |
2023 | The Eligibility of Green Bonds as Safe Haven Assets: A Systematic Review. (2023). Aassouli, Dalal ; Khamis, Munir. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:8:p:6841-:d:1126691. Full description at Econpapers || Download paper |
2023 | Probabilistic forecasting of electricity prices using an augmented LMARX-model. (2023). Sheybanivaziri, Samaneh ; Andersson, Jonas. In: Discussion Papers. RePEc:hhs:nhhfms:2023_011. Full description at Econpapers || Download paper |
2023 | Uncertainty and the effectiveness of fiscal policy in the United States and Brasil: SVAR Approach. (2023). de Sa, Eduardo. In: Working Papers. RePEc:inf:wpaper:2023.03. Full description at Econpapers || Download paper |
2023 | Investigating the Relationship Between Financial Development and Income Inequality in Developed and Developing Countries: An Application of Canonical Correlation Analysis. (2023). Zsoy, Iadem Yalmaz. In: EKOIST Journal of Econometrics and Statistics. RePEc:ist:ekoist:v:0:y:2023:i:38:p:35-52. Full description at Econpapers || Download paper |
2023 | Does Exchange Rate Pass-Through Change Over Time in Turkiye?. (2023). Çakır, Mustafa ; Kaya, Ahmet Ekrem. In: Istanbul Journal of Economics-Istanbul Iktisat Dergisi. RePEc:ist:journl:v:73:y:2023:i:1:p:359-383. Full description at Econpapers || Download paper |
2023 | Time-varying causality between oil price and exchange rate in five ASEAN economies. (2023). Lim, So Young ; Awan, Ashar ; Kyophilavong, Phouphet ; Kocoglu, Mustafa. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:56:y:2023:i:2:d:10.1007_s10644-022-09457-6. Full description at Econpapers || Download paper |
2023 | Effects of global energy and price fluctuations on Turkeys inflation: new evidence. (2023). Ozahin, Erife ; Ozmen, Brahim. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:56:y:2023:i:4:d:10.1007_s10644-023-09530-8. Full description at Econpapers || Download paper |
2023 | The effectiveness of ultra-loose monetary policy in a high inflation economy: a time-varying causality analysis for Turkey. (2023). Mert, Mehmet ; Iik, Sayim ; Ulug, Mehmet. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:56:y:2023:i:4:d:10.1007_s10644-023-09535-3. Full description at Econpapers || Download paper |
2023 | Housing price uncertainty and housing prices in the UK in a time-varying environment. (2023). Balcilar, Mehmet ; Wohar, Mark E ; Bekun, Festus Victor ; Uzuner, Gizem. In: Empirica. RePEc:kap:empiri:v:50:y:2023:i:2:d:10.1007_s10663-023-09567-y. Full description at Econpapers || Download paper |
2023 | Asymmetric dynamic risk transmission between financial stress and monetary policy uncertainty: thinking in the post-covid-19 world. (2023). Ma, Feng ; Toan, Luu Duc ; Hong, Yanran ; Liang, Chao. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:60:y:2023:i:4:d:10.1007_s11156-023-01140-9. Full description at Econpapers || Download paper |
2023 | Can volume be more informative than prices? Evidence from Chinese housing markets. (2023). Yu, Ziliang ; Tong, Meng ; Yang, Jian. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:2:d:10.1007_s11156-023-01161-4. Full description at Econpapers || Download paper |
2023 | Impact of the global fear index (covid-19 panic) on the S&P global indices associated with natural resources, agribusiness, energy, metals and mining: Granger Causality and Shannon and Rényi Transfer . (2023). Venegas-Martínez, Francisco ; Venegas-Martinez, Francisco ; Coronado, Semei ; Gualajara, Victor ; Celso-Arellano, Pedro. In: MPRA Paper. RePEc:pra:mprapa:117138. Full description at Econpapers || Download paper |
2023 | Screening for Collusion in Wholesale Electricity Markets: A Review of the Literature. (2023). Silveira, Douglas ; Eckert, Andrew ; Brown, David P. In: Working Papers. RePEc:ris:albaec:2023_007. Full description at Econpapers || Download paper |
2023 | Liquidity and realized covariance forecasting: a hybrid method with model uncertainty. (2023). Li, Weiping ; Ma, Feng ; Cao, Yangli ; Qiao, Gaoxiu. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:1:d:10.1007_s00181-022-02248-y. Full description at Econpapers || Download paper |
2023 | Risk-sharing within Brazil and South America. (2023). Ferreira, Alex ; Silva, Eduardo. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:2:d:10.1007_s00181-022-02350-1. Full description at Econpapers || Download paper |
2023 | An empirical investigation of COVID-19 effects on herding behaviour in USA and UK stock markets using a quantile regression approach. (2023). Frimpong, Ophelia ; Ntiamoah, Bernard O ; Aidoo, Eric N ; Ampofo, Richard T ; Sasu, Daniel. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:47:y:2023:i:2:d:10.1007_s12197-022-09613-8. Full description at Econpapers || Download paper |
2023 | Exploring A New Class of Inequality Measures and Associated Value Judgements: Gini and Fibonacci-Type Sequences. (2023). Creedy, John ; Subramanian, S. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-023-00302-y. Full description at Econpapers || Download paper |
2023 | How does exposure to COVID-19 influence health and income inequality aversion?. (2023). Costa-Font, Joan ; Asaria, Miqdad ; Cowell, Frank. In: Social Choice and Welfare. RePEc:spr:sochwe:v:61:y:2023:i:3:d:10.1007_s00355-023-01460-8. Full description at Econpapers || Download paper |
2023 | Heterogeneous Behavior and Volatility Transmission in the Forex Market using High-Frequency Data. (2023). Shira, Ruba Khalid ; Lamouchi, Rim Ammar. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:13:y:2023:i:3:f:13_3_3. Full description at Econpapers || Download paper |
2023 | CO2 has significant implications for hourly ambient temperature: Evidence from Hawaii. (2023). Forbes, Kevin F. In: Environmetrics. RePEc:wly:envmet:v:34:y:2023:i:6:n:e2803. Full description at Econpapers || Download paper |
2023 | Is causality between globalization and energy consumption bidirectional or unidirectional in top and bottom globalized economies?. (2023). Shahbaz, Muhammad ; Balcilar, Mehmet ; Akadiri, Seyi ; Mahalik, Mantu Kumar. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:2:p:1939-1964. Full description at Econpapers || Download paper |
2023 | Time?varying causality between bond and oil markets of the United States: Evidence from over one and half centuries of data. (2023). Rojas, Omar ; Nazlioglu, Saban ; Gupta, Rangan ; Coronado, Semei. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:3:p:2239-2247. Full description at Econpapers || Download paper |
2023 | Deep distributional time series models and the probabilistic forecasting of intraday electricity prices. (2023). Nott, David J ; Smith, Michael Stanley ; Klein, Nadja. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:38:y:2023:i:4:p:493-511. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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Year | Title | Type | Cited |
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2010 | Asymmetric unemployment rate dynamics in Australia In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 5 |
2012 | Asymmetric Unemployment Rate Dynamics in Australia.(2012) In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
2010 | Asymmetric unemployment rate dynamics in Australia.(2010) In: Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2011 | Asymmetric unemployment rate dynamics in Australia.(2011) In: NCER Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2014 | A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 12 |
2014 | A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market.(2014) In: NCER Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
2016 | A Smooth Transition Logit Model of The Effects of Deregulation in the Electricity Market.(2016) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | article | |
2018 | Transition from the Taylor rule to the zero lower bound In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 1 |
2022 | Transition from the Taylor rule to the zero lower bound.(2022) In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
2009 | It Never Rains but it Pours: Modeling the Persistence of Spikes in Electricity Prices In: The Energy Journal. [Full Text][Citation analysis] | article | 30 |
2008 | It never rains but it pours: Modelling the persistence of spikes in electricity prices.(2008) In: NCER Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 30 | paper | |
2017 | The Effect of Transmission Constraints on Electricity Prices In: The Energy Journal. [Full Text][Citation analysis] | article | 7 |
2003 | Mobius-Like Mappings and Their Use in Kernel Density Estimation In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 7 |
2007 | Modelling Wages and Prices in Australia In: The Economic Record. [Full Text][Citation analysis] | article | 9 |
2005 | Modelling Wages and Prices in Australia.(2005) In: Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
2007 | Modelling Spikes in Electricity Prices In: The Economic Record. [Full Text][Citation analysis] | article | 31 |
2013 | Semi-parametric Forecasting of Spikes in Electricity Prices In: The Economic Record. [Full Text][Citation analysis] | article | 11 |
2021 | Assessing the Informational Content of Official Australian Bureau of Meteorology Forecasts of Wind Speed In: The Economic Record. [Full Text][Citation analysis] | article | 0 |
1992 | Cointegration and Dynamic Time Series Models. In: Journal of Economic Surveys. [Citation analysis] | article | 49 |
2003 | On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential Equations In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 9 |
2018 | Change Detection and the Causal Impact of the Yield Curve In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 77 |
2016 | Change Detection and the Causal Impact of the Yield Curve.(2016) In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 77 | paper | |
2015 | Change Detection and the Casual Impact of the Yield Curve.(2015) In: NCER Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 77 | paper | |
1996 | Modelling the Demand for M4 in the U.K. In: The Manchester School of Economic & Social Studies. [Citation analysis] | article | 2 |
1992 | Testing Superexogeneity: The Demand for Broad Money in the UK. In: Oxford Bulletin of Economics and Statistics. [Citation analysis] | article | 9 |
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. [Full Text][Citation analysis] | article | 1 |
1994 | Theory and Tests of Generalized Purchasing-Power Parity: Common Trends and Real Exchange Rates in the Pacific Rim. In: Review of International Economics. [Citation analysis] | article | 49 |
1991 | Causality, Predictability and Monetary Targets in South Africa In: South African Journal of Economics. [Full Text][Citation analysis] | article | 0 |
1992 | The Long?run Properties of the Demand for M3 in South Africa In: South African Journal of Economics. [Full Text][Citation analysis] | article | 3 |
1993 | The Money?income Causality Debate in South Africa: Reply In: South African Journal of Economics. [Full Text][Citation analysis] | article | 0 |
1999 | Measuring Attitudes Towards Inequality In: Scandinavian Journal of Economics. [Full Text][Citation analysis] | article | 114 |
1993 | Seasonality, Cointegration and Error Correction: An Illustration Using South African Monetary Data. In: Scottish Journal of Political Economy. [Citation analysis] | article | 0 |
1995 | In Search of Time-Varying Term Premia in the London Interbank Market. In: Scottish Journal of Political Economy. [Citation analysis] | article | 3 |
2003 | Dollar?Deutschemark Polarisation: Comparing The Pound And Franc In: Scottish Journal of Political Economy. [Full Text][Citation analysis] | article | 2 |
In: . [Full Text][Citation analysis] | paper | 4 | |
2022 | Testing for time-varying Granger causality.(2022) In: Stata Journal. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
2011 | Detecting Common Dynamics in Transitory Components In: Journal of Time Series Econometrics. [Full Text][Citation analysis] | article | 4 |
2009 | Detecting Common Dynamics in Transitory Components.(2009) In: NCER Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2011 | Semi-Parametric Forecasting of Realized Volatility In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 7 |
2004 | Linearizations and Equilibrium Correction Models In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 2 |
2019 | Modeling directional (circular) time series In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 3 |
2013 | Econometric Modelling with Time Series In: Cambridge Books. [Citation analysis] | book | 28 |
2013 | Econometric Modelling with Time Series.(2013) In: Cambridge Books. [Citation analysis] This paper has nother version. Agregated cites: 28 | book | |
2016 | Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] | paper | 9 |
2016 | Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship.(2016) In: NCER Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
1994 | Geology or Economics? Testing Models of Irreversible Investment Using North Sea Oil Data. In: Economic Journal. [Full Text][Citation analysis] | article | 45 |
2004 | Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity In: Econometric Society 2004 Australasian Meetings. [Full Text][Citation analysis] | paper | 13 |
2009 | Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity.(2009) In: Economic Analysis and Policy. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | article | |
2006 | Testing for nonlinearity in mean in the presence of heteroskedasticity.(2006) In: Stan Hurn Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
2004 | Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility In: Econometric Society 2004 Australasian Meetings. [Full Text][Citation analysis] | paper | 6 |
2008 | Practitioners Corner: Introduction In: Economic Analysis and Policy. [Full Text][Citation analysis] | article | 0 |
2008 | The Devil is in the Detail: Hints for Practical Optimisation In: Economic Analysis and Policy. [Full Text][Citation analysis] | article | 6 |
2008 | The Devil is in the Detail: Hints for Practical Optimisation.(2008) In: NCER Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2017 | An empirical investigation of herding in the U.S. stock market In: Economic Modelling. [Full Text][Citation analysis] | article | 20 |
2006 | Asset pricing puzzles in finance: Introduction In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 1 |
2013 | A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions In: Journal of Econometrics. [Full Text][Citation analysis] | article | 6 |
2010 | A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions.(2010) In: NCER Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2016 | Forecasting day-ahead electricity load using a multiple equation time series approach In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 34 |
2015 | Forecasting day-ahead electricity load using a multiple equation time series approach.(2015) In: NCER Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 34 | paper | |
2015 | Volatility transmission in global financial markets In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 22 |
2015 | Modelling interregional links in electricity price spikes In: Energy Economics. [Full Text][Citation analysis] | article | 35 |
2016 | Strategic bidding and rebidding in electricity markets In: Energy Economics. [Full Text][Citation analysis] | article | 20 |
2017 | Forecasting quantiles of day-ahead electricity load In: Energy Economics. [Full Text][Citation analysis] | article | 14 |
2012 | Forecasting spikes in electricity prices In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 59 |
2015 | Selecting volatility forecasting models for portfolio allocation purposes In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 24 |
2022 | Housing networks and driving forces In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 5 |
2016 | Common trends in global volatility In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 2 |
2002 | Asymmetric price adjustment and the Phillips curve In: Journal of Macroeconomics. [Full Text][Citation analysis] | article | 7 |
1995 | Unobservable cyclical components in term premia of fixed-term financial instruments In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 0 |
1993 | Unobservable Cyclical Components in Term Premia of Fixed- Term Financial Instruments..(1993) In: Tasmania - Department of Economics. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
1997 | Isolating cyclical patterns in irregular time-series data In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 0 |
1995 | Isolating Cyclical Patterns in Irregular Time Series Data..(1995) In: Department of Economics - Working Papers Series. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
1997 | Common trends and generalized purchasing power parity In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 11 |
1997 | Estimating the parameters of stochastic differential equations by Monte Carlo methods In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 1 |
1995 | Estimating the Parameters of Stochastic Differential Equations by Monte Carlo Methods..(1995) In: Department of Economics - Working Papers Series. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
1999 | Estimating the parameters of stochastic differential equations In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 5 |
2004 | Using discrete-time techniques to test continuous-time models for nonlinearity in drift In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 0 |
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2019 | Revisiting the numerical solution of stochastic differential equations In: China Finance Review International. [Full Text][Citation analysis] | article | 0 |
1994 | Bank of England Intervention and the Structure of Interest Rates in the London Interbank Market. In: Tasmania - Department of Economics. [Citation analysis] | paper | 0 |
2019 | Information Flow in Times of Crisis: The Case of the European Banking and Sovereign Sectors In: Econometrics. [Full Text][Citation analysis] | article | 4 |
1998 | Modelling Stock Market Excess Returns by Markov Modulated Gaussian Noise In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | The Bootstrap In: Post-Print. [Citation analysis] | paper | 0 |
1995 | The 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] | paper | 0 |
1995 | Modelling the Lifespan of Human T Lymphocyte Subsets. In: Department of Economics - Working Papers Series. [Citation analysis] | paper | 0 |
1996 | Time Series Evidence of Global Warming. In: Department of Economics - Working Papers Series. [Citation analysis] | paper | 0 |
1998 | Distributional Preferences and the Extended Gini Measures of Inequality In: Department of Economics - Working Papers Series. [Citation analysis] | paper | 1 |
1999 | The Generic Properties of Equilibrium Correction Mechanisms In: Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
2003 | A smooth-transition model of the Australian unemployment rate In: Working Paper Series. [Full Text][Citation analysis] | paper | 2 |
2019 | Modelling and forecasting wind drought In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 29 | |
2006 | Seeing 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 nother version. Agregated cites: 29 | paper | |
1995 | The Term Structure of Interest Rates in the London Interbank Market. In: Oxford Economic Papers. [Citation analysis] | article | 34 |
2007 | Identifying aggregate demand and supply shocks in a small open economy In: Oxford Economic Papers. [Full Text][Citation analysis] | article | 23 |
2006 | Seeing 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] | paper | 0 |
2006 | Estimating Stochastic Volatility Models Using a Discrete Non-linear Filter. Working paper #3 In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 2 |
2007 | Econometric Analysis of Structural Systems with Permanent and Transitory Shocks. Working paper #7 In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 4 |
2007 | Testing for nonlinearity in mean in the presence of heteroskedasticity. Working paper #8 In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2007 | Teaching 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] | paper | 1 |
2008 | Momentum in Australian Stock Returns: An Update In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 31 |
2008 | Estimating the Payoffs of Temperature-based Weather Derivatives In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 3 |
2008 | Developing analytical distributions for temperature indices for the purposes of pricing temperature-based weather derivatives In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2008 | Discrete time-series models when counts are unobservable In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2009 | Evaluating multivariate volatility forecasts In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 30 |
2009 | Testing the Profitability of Technical Analysis as a Portfolio Selection Strategy In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 3 |
2012 | Selecting forecasting models for portfolio allocation In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
2012 | A Spatial Econometric Analysis of the Effect of Vertical Restraints and Branding on Retail Gasoline Pricing In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 3 |
2013 | On the Efficacy of Fourier Series Approximations for Pricing European and Digital Options In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2006 | Teaching 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] | paper | 6 |
2003 | Momentum in Australian Stock Returns In: Australian Journal of Management. [Full Text][Citation analysis] | article | 41 |
2022 | Specification tests for univariate diffusions In: Econometric Reviews. [Full Text][Citation analysis] | article | 0 |
2015 | Estimating the Parameters of Stochastic Volatility Models Using Option Price Data In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 6 |
2017 | A semi-parametric point process model of the interactions between equity markets In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | A simple linear alternative to multiplicative error models with an application to trading volume In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | Environmental Econometrics Using Stata In: Stata Press books. [Full Text][Citation analysis] | book | 4 |
2020 | Local Whittle estimation of the long-memory parameter In: Stata Journal. [Full Text][Citation analysis] | article | 0 |
2021 | The BDS test of independence In: Stata Journal. [Full Text][Citation analysis] | article | 1 |
2021 | “What good is a volatility model?” A reexamination after 20 years In: Stata Journal. [Full Text][Citation analysis] | article | 0 |
2001 | Testing for Time Dependence in Parameters In: Research Paper Series. [Full Text][Citation analysis] | paper | 12 |
2001 | Modelling Structural Change in Money Demand Using a Fourier-Series Approximation In: Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
2006 | Mixture distribution?based forecasting using stochastic volatility models In: Applied Stochastic Models in Business and Industry. [Full Text][Citation analysis] | article | 0 |
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