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

13

i10 index

465

Citations

RESEARCH PRODUCTION:

49

Articles

48

Papers

2

Books

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   26 years (1991 - 2017). See details.
   Cites by year: 17
   Journals where Stan Hurn has often published
   Relations with other researchers
   Recent citing documents: 51.    Total self citations: 15 (3.13 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/phu111
   Updated: 2017-10-21    RAS profile: 2017-07-16    
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Relations with other researchers


Works with:

Clements, Adam (11)

Phillips, Peter (4)

Shi, Shuping (4)

Silvennoinen, Annastiina (3)

Teräsvirta, Timo (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 (25)

Clements, Adam (14)

Caporin, Massimiliano (11)

McAleer, Michael (10)

Janczura, Joanna (9)

Creedy, John (8)

Trueck, Stefan (7)

Keddad, Benjamin (6)

DE TRUCHIS, Gilles (6)

GUPTA, RANGAN (6)

Rodríguez Caballero, Carlos (6)

Cites to:

Engle, Robert (28)

Bollerslev, Tim (23)

Cartea, Álvaro (17)

Gallant, A. (16)

Diebold, Francis (16)

Shephard, Neil (15)

Andersen, Torben (15)

Ait-Sahalia, Yacine (14)

Granger, Clive (14)

Tauchen, George (13)

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
Scottish Journal of Political Economy3
South African Journal of Economics3
Economic Analysis and Policy3
Studies in Nonlinear Dynamics & Econometrics3
Energy Economics2
Oxford Economic Papers2
The Energy Journal2
International Journal of Forecasting2
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
Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University2
Econometric Society 2004 Australasian Meetings / Econometric Society2
Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney2

Recent works citing Stan Hurn (2017 and 2016)


YearTitle of citing document
2016Priority for the Worse Off and the Social Cost of Carbon. (2016). TREICH, Nicolas ; Bosetti, Valentina ; Anthoff, David ; Adler, Matthew ; Keller, Klaus ; Garner, Greg . In: MITP: Mitigation, Innovation,and Transformation Pathways. RePEc:ags:feemmi:244334.

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2016Parameter estimation for the subcritical Heston model based on discrete time observations. (2016). Pap, Gyula ; Szabo, Tamas T. ; Barczy, Matyas . In: Papers. RePEc:arx:papers:1403.0527.

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2016Electricity Price Forecasting using Sale and Purchase Curves: The X-Model. (2016). Ziel, Florian ; Steinert, Rick . In: Papers. RePEc:arx:papers:1509.00372.

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2016Asymmetric volatility connectedness on forex markets. (2016). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef. In: Papers. RePEc:arx:papers:1607.08214.

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2017How fast can one overcome the paradox of the energy transition? A predictive physico-economic model for the European power grid. (2017). Pagnier, Laurent ; Jacquod, Philippe . In: Papers. RePEc:arx:papers:1706.00330.

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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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2016Priority for the Worse Off and the Social Cost of Carbon. (2016). TREICH, Nicolas ; Bosetti, Valentina ; Anthoff, David ; Keller, Klaus ; Adler, Matthew ; Garner, Greg . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6032.

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2016Anomalous Trading Prior to Lehman Brothers Failure. (2016). Gehrig, Thomas ; Haas, Marlene . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11194.

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

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

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2016Selecting dynamic moving average trading rules in the crude oil futures market using a genetic approach. (2016). Wang, Lijun ; Huang, Xuan ; Liu, Xiaojia . In: Applied Energy. RePEc:eee:appene:v:162:y:2016:i:c:p:1608-1618.

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2016Energy Internet: The business perspective. (2016). Zhou, Kaile ; Shao, Zhen ; Yang, Shanlin . In: Applied Energy. RePEc:eee:appene:v:178:y:2016:i:c:p:212-222.

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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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2017Full and fast calibration of the Heston stochastic volatility model. (2017). Cui, Yiran ; Germano, Guido ; del Bao, Sebastian . In: European Journal of Operational Research. RePEc:eee:ejores:v:263:y:2017:i:2:p:625-638.

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

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2016Asymmetric volatility in European day-ahead power markets: A comparative microeconomic analysis. (2016). Erdoğdu, Erkan. In: Energy Economics. RePEc:eee:eneeco:v:56:y:2016:i:c:p:398-409.

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2016Electricity price forecasting using sale and purchase curves: The X-Model. (2016). Ziel, Florian ; Steinert, Rick . In: Energy Economics. RePEc:eee:eneeco:v:59:y:2016:i:c:p:435-454.

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2016Modeling and forecasting multivariate electricity price spikes. (2016). Eichler, Michael ; Manner, Hans ; Turk, Dennis . In: Energy Economics. RePEc:eee:eneeco:v:60:y:2016:i:c:p:255-265.

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2016Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads. (2016). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Haldrup, Niels ; Rodriguez-Caballero, Carlos Vladimir ; Ergemen, Yunus Emre . In: Energy Economics. RePEc:eee:eneeco:v:60:y:2016:i:c:p:79-96.

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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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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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2016Weather and market specificities in the regional transmission of renewable energy price effects. (2016). Silva, Patricia ; Bunn, Derek ; da Silva, Patricia Pereira ; Figueiredo, Nuno Carvalho . In: Energy. RePEc:eee:energy:v:114:y:2016:i:c:p:188-200.

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2016Combining nearest neighbor predictions and model-based predictions of realized variance: Does it pay?. (2016). Fuertes, Ana-Maria ; Fernandez-Rodriguez, Fernando . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:3:p:695-715.

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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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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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2016Positive and normative judgments implicit in U.S. tax policy, and the costs of unequal growth and recessions. (2016). Lockwood, Benjamin B ; Weinzierl, Matthew . In: Journal of Monetary Economics. RePEc:eee:moneco:v:77:y:2016:i:c:p:30-47.

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2016Australian firm characteristics and the cross-section variation in equity returns. (2016). Heaney, Richard ; Lan, Yihui ; Koh, Szekee . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:37:y:2016:i:c:p:104-115.

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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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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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2016Priority for the Worse Off and the Social Cost of Carbon. (2016). TREICH, Nicolas ; Bosetti, Valentina ; Anthoff, David ; Keller, Klaus ; Garner, Greg ; Adler, Matthew . In: Working Papers. RePEc:fem:femwpa:2016.55.

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2016Medium-Term Probabilistic Forecasting of Extremely Low Prices in Electricity Markets: Application to the Spanish Case. (2016). Bello, Antonio ; Muoz, Antonio ; Reneses, Javier . In: Energies. RePEc:gam:jeners:v:9:y:2016:i:3:p:193-:d:65782.

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2016A Hybrid Multi-Step Model for Forecasting Day-Ahead Electricity Price Based on Optimization, Fuzzy Logic and Model Selection. (2016). Song, Yiliao ; Liu, Feng ; Jiang, Ping . In: Energies. RePEc:gam:jeners:v:9:y:2016:i:8:p:618-:d:75382.

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2016Evaluating economic mobility under opportunity egalitarianism. (2016). Abatemarco, Antonio. In: Working Papers. RePEc:inq:inqwps:ecineq2016-396.

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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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2016Positive and Normative Judgments Implicit in U.S. Tax Policy, and the Costs of Unequal Growth and Recessions. (2016). Weinzierl, Matthew ; Lockwood, Benjamin B. In: NBER Working Papers. RePEc:nbr:nberwo:21927.

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2016Preferences for Equality in Environmental Outcomes. (2016). Krupnick, Alan ; Cropper, Maureen ; Raich, William . In: NBER Working Papers. RePEc:nbr:nberwo:22644.

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

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2016Volatility Dependent Dynamic Equicorrelation. (2016). Silvennoinen, Annastiina ; Clements, Adam ; Scott, Ayesha . In: NCER Working Paper Series. RePEc:qut:auncer:2016_02.

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2016Modelling Extreme Risks in Commodities and Commodity Currencies. (2016). Clements, Adam ; Herrera, Rodrigo ; Fuentes, Fernanda . In: NCER Working Paper Series. RePEc:qut:auncer:2016_06.

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

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2016ESTIMATION OF STAR-GARCH MODELS WITH ITERATIVELY WEIGHTED LEAST SQUARES. (2016). Midilic, Murat . In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. RePEc:rug:rugwps:16/918.

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2017Time-series and cross-sectional momentum strategies under alternative implementation strategies. (2017). Yeung, Danny ; Gao, Xiaojun ; Bird, Ron . In: Australian Journal of Management. RePEc:sae:ausman:v:42:y:2017:i:2:p:230-251.

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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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2016Domestic and international information linkages between NSE Nifty spot and futures markets: an empirical study for India. (2016). Sehgal, Sanjay ; Dutt, Mala . In: DECISION: Official Journal of the Indian Institute of Management Calcutta. RePEc:spr:decisn:v:43:y:2016:i:3:d:10.1007_s40622-016-0137-1.

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2017Theoretical and Empirical Differences Between Diagonal and Full Bekk for Risk Management. (2017). McAleer, Michael ; Allen, David. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170069.

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2017Rates of return to antipoverty transfers in Uganda. (2017). Dietrich, Stephan ; Gassmann, Franziska ; Barrientos, Armando ; Malerba, Daniele. In: MERIT Working Papers. RePEc:unm:unumer:2017040.

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2016Prediction of Extreme Price Occurrences in the German Day-ahead Electricity Market. (2016). Prokopczuk, Marcel ; Hagfors, Lars Ivar ; Westgaard, Sjur ; Paraschiv, Florentina ; Sator, Alma ; Kamperud, Hilde Horthe . In: Working Papers on Finance. RePEc:usg:sfwpfi:2016:22.

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2017Forecasting electricity prices through robust nonlinear models. (2017). Grossi, Luigi ; Nan, Fany . In: Working Papers. RePEc:ver:wpaper:06/2017.

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2016Carbon pricing, forward risk premiums and pass-through rates in Australian electricity futures markets. (2016). Weron, Rafał ; Trueck, Stefan ; Maryniak, Pawel . In: HSC Research Reports. RePEc:wuu:wpaper:hsc1610.

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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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2012Asymmetric Unemployment Rate Dynamics in Australia.(2012) In: Studies in Nonlinear Dynamics & Econometrics.
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2010Asymmetric unemployment rate dynamics in Australia.(2010) In: Working Paper Series.
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2011Asymmetric unemployment rate dynamics in Australia.(2011) In: NCER Working Paper Series.
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2014A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market In: CREATES Research Papers.
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2014A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market.(2014) In: NCER Working Paper Series.
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2016A Smooth Transition Logit Model of The Effects of Deregulation in the Electricity Market.(2016) In: Journal of Applied Econometrics.
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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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2017The Effect of Transmission Constraints on Electricity Prices In: The Energy Journal.
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2003Mobius-Like Mappings and Their Use in Kernel Density Estimation In: Journal of the American Statistical Association.
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article6
2007Modelling Wages and Prices in Australia In: The Economic Record.
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2005Modelling Wages and Prices in Australia.(2005) In: Working Paper Series.
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2007Modelling Spikes in Electricity Prices In: The Economic Record.
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2013Semi-parametric Forecasting of Spikes in Electricity Prices In: The Economic Record.
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1992 Cointegration and Dynamic Time Series Models. In: Journal of Economic Surveys.
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article43
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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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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1994Theory and Tests of Generalized Purchasing-Power Parity: Common Trends and Real Exchange Rates in the Pacific Rim. In: Review of International Economics.
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article30
1991Causality, Predictability and Monetary Targets in South Africa In: South African Journal of Economics.
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1992The Long-run Properties of the Demand for M3 in South Africa In: South African Journal of Economics.
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1993The Money-income Causality Debate in South Africa: Reply In: South African Journal of Economics.
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1999 Measuring Attitudes towards Inequality. In: Scandinavian Journal of Economics.
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1993Seasonality, Cointegration and Error Correction: An Illustration Using South African Monetary Data. In: Scottish Journal of Political Economy.
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1995In Search of Time-Varying Term Premia in the London Interbank Market. In: Scottish Journal of Political Economy.
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article2
2003Dollar-Deutschemark Polarisation: Comparing The Pound And Franc In: Scottish Journal of Political Economy.
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2011Detecting Common Dynamics in Transitory Components In: Journal of Time Series Econometrics.
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2009Detecting Common Dynamics in Transitory Components.(2009) In: NCER Working Paper Series.
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2011Semi-Parametric Forecasting of Realized Volatility In: Studies in Nonlinear Dynamics & Econometrics.
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2004Linearizations and Equilibrium Correction Models In: Studies in Nonlinear Dynamics & Econometrics.
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2013Econometric Modelling with Time Series In: Cambridge Books.
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2013Econometric Modelling with Time Series.(2013) In: Cambridge Books.
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book
2016Change Detection and the Causal Impact of the Yield Curve In: Cowles Foundation Discussion Papers.
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2015Change Detection and the Casual Impact of the Yield Curve.(2015) In: NCER Working Paper Series.
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2016Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship In: Cowles Foundation Discussion Papers.
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2016Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship.(2016) In: NCER Working Paper Series.
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1994Geology or Economics? Testing Models of Irreversible Investment Using North Sea Oil Data. In: Economic Journal.
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2004Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity In: Econometric Society 2004 Australasian Meetings.
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2006Testing for nonlinearity in mean in the presence of heteroskedasticity.(2006) In: Stan Hurn Discussion Papers.
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2009Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity.(2009) In: Economic Analysis and Policy.
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2004Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility In: Econometric Society 2004 Australasian Meetings.
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2008Practitioners Corner: Introduction In: Economic Analysis and Policy.
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2008The Devil is in the Detail: Hints for Practical Optimisation In: Economic Analysis and Policy.
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2008The Devil is in the Detail: Hints for Practical Optimisation.(2008) In: NCER Working Paper Series.
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2006Asset pricing puzzles in finance: Introduction In: The North American Journal of Economics and Finance.
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2013A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions In: Journal of Econometrics.
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2010A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions.(2010) In: NCER Working Paper Series.
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2016Forecasting day-ahead electricity load using a multiple equation time series approach In: European Journal of Operational Research.
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2015Forecasting day-ahead electricity load using a multiple equation time series approach.(2015) In: NCER Working Paper Series.
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2015Volatility transmission in global financial markets In: Journal of Empirical Finance.
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2015Modelling interregional links in electricity price spikes In: Energy Economics.
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2016Strategic bidding and rebidding in electricity markets In: Energy Economics.
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2012Forecasting spikes in electricity prices In: International Journal of Forecasting.
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2015Selecting volatility forecasting models for portfolio allocation purposes In: International Journal of Forecasting.
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2016Common trends in global volatility In: Journal of International Money and Finance.
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2002Asymmetric price adjustment and the Phillips curve In: Journal of Macroeconomics.
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1995Unobservable cyclical components in term premia of fixed-term financial instruments In: Mathematics and Computers in Simulation (MATCOM).
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1993Unobservable Cyclical Components in Term Premia of Fixed- Term Financial Instruments..(1993) In: Tasmania - Department of Economics.
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1997Isolating cyclical patterns in irregular time-series data In: Mathematics and Computers in Simulation (MATCOM).
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1995Isolating Cyclical Patterns in Irregular Time Series Data..(1995) In: Department of Economics - Working Papers Series.
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1997Common trends and generalized purchasing power parity In: Mathematics and Computers in Simulation (MATCOM).
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1997Estimating the parameters of stochastic differential equations by Monte Carlo methods In: Mathematics and Computers in Simulation (MATCOM).
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1995Estimating the Parameters of Stochastic Differential Equations by Monte Carlo Methods..(1995) In: Department of Economics - Working Papers Series.
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1999Estimating the parameters of stochastic differential equations In: Mathematics and Computers in Simulation (MATCOM).
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2004Using discrete-time techniques to test continuous-time models for nonlinearity in drift In: Mathematics and Computers in Simulation (MATCOM).
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1994Bank of England Intervention and the Structure of Interest Rates in the London Interbank Market. In: Tasmania - Department of Economics.
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1998Modelling Stock Market Excess Returns by Markov Modulated Gaussian Noise In: Working Papers.
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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.
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1995Modelling the Lifespan of Human T Lymphocyte Subsets. In: Department of Economics - Working Papers Series.
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1996Time Series Evidence of Global Warming. In: Department of Economics - Working Papers Series.
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1998Distributional Preferences and the Extended Gini Measures of Inequality In: Department of Economics - Working Papers Series.
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1999The Generic Properties of Equilibrium Correction Mechanisms In: Working Paper Series.
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2003A smooth-transition model of the Australian unemployment rate In: Working Paper Series.
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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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