Farshid Vahid : Citation Profile


Are you Farshid Vahid?

Monash University

17

H index

22

i10 index

1094

Citations

RESEARCH PRODUCTION:

34

Articles

54

Papers

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   24 years (1993 - 2017). See details.
   Cites by year: 45
   Journals where Farshid Vahid has often published
   Relations with other researchers
   Recent citing documents: 96.    Total self citations: 31 (2.76 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pva160
   Updated: 2019-11-16    RAS profile: 2017-02-07    
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Relations with other researchers


Works with:

Athanasopoulos, George (5)

Yao, Wenying (4)

Hyndman, Rob (3)

Panagiotelis, Anastasios (3)

Poskitt, Donald (3)

Anderson, Heather (2)

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

Is cited by:

Guillén, Osmani (126)

Issler, João (112)

Hecq, Alain (92)

Cubadda, Gianluca (42)

Palm, Franz (26)

Narayan, Paresh (26)

Athanasopoulos, George (24)

Urbain, Jean-Pierre (16)

Cheung, Yin-Wong (16)

FRANCO NETO, AFONSO (16)

Centoni, Marco (15)

Cites to:

Engle, Robert (42)

Anderson, Heather (16)

Watson, Mark (15)

Stock, James (14)

Kozicki, Sharon (14)

Sims, Christopher (13)

Issler, João (12)

Campbell, John (12)

Bollerslev, Tim (11)

Granger, Clive (10)

Plosser, Charles (10)

Main data


Where Farshid Vahid has published?


Journals with more than one article published# docs
Journal of Econometrics6
Journal of Applied Econometrics5
Journal of Business & Economic Statistics2
Games and Economic Behavior2
Econometric Theory2

Working Papers Series with more than one paper published# docs
Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics26
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) / EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil)13
Econometric Society 2004 Australasian Meetings / Econometric Society2
Working Papers / University of Tasmania, Tasmanian School of Business and Economics2

Recent works citing Farshid Vahid (2018 and 2017)


YearTitle of citing document
2018New Proposals of a Stress Measure in a Capital and its Robust Estimator. (2018). Rydlewski, Jerzy P ; Mielczarek, Dominik ; Kosiorowski, Daniel ; Klecha, Tadeusz. In: Papers. RePEc:arx:papers:1802.03756.

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2019Stationarity and ergodicity of vector STAR models. (2019). Saikkonen, Pentti ; Kheifets, Igor L. In: Papers. RePEc:arx:papers:1805.11311.

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2018A Panel Quantile Approach to Attrition Bias in Big Data: Evidence from a Randomized Experiment. (2018). Lamarche, Carlos ; Harding, Matthew. In: Papers. RePEc:arx:papers:1808.03364.

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2019How do governments determine policy priorities? Studying development strategies through spillover networks. (2019). Guerrero, Omar ; Ch, Florian ; Castaneda, Gonzalo. In: Papers. RePEc:arx:papers:1902.00432.

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2018The Effect of Health Insurance on the Substitution between Public and Private Hospital Care. (2018). Kettlewell, Nathan ; Doiron, Denise. In: The Economic Record. RePEc:bla:ecorec:v:94:y:2018:i:305:p:135-154.

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2018Monetary union in West Africa and business cycles synchronicity: New evidence. (2018). Simons, Daniel ; Louis, Rosmy Jean. In: The World Economy. RePEc:bla:worlde:v:41:y:2018:i:10:p:2828-2848.

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2018Testing Exogeneity of Multinomial Regressors in Count Data Models: Does Two-stage Residual Inclusion Work?. (2018). Geraci, Andrea ; Chiara, Monfardini ; Daniele, Fabbri ; Andrea, Geraci. In: Journal of Econometric Methods. RePEc:bpj:jecome:v:7:y:2018:i:1:p:19:n:1.

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2017Estimating non-stationary common factors : Implications for risk sharing. (2017). Poncela, Pilar ; Corona, Francisco ; Ortega, Esther Ruiz . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:24585.

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2017Discovering pervasive and non-pervasive common cycles. (2017). Real, Guillermo Carlomagno ; Terrades, Antoni Espasa. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:25392.

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2017Synchronization of Economic Activity between Dollarized Economies and the United States. The cases of Ecuador and El Salvador. (2017). de Lourdes, Maria ; Castillo-Ponce, Ramon A. In: Applied Econometrics and International Development. RePEc:eaa:aeinde:v:17:y:2017:i:1_6.

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2017Does external debt- poverty relationship confirm the debtoverhang hypothesis for developing counties?. (2017). Zaghdoudi, Taha ; HAKIMI, ABDELAZIZ. In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00874.

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2018Nonlinear Exchange Rate Transmission in the Euro Area: A Multivariate Smooth Transition Regression Approach. (2018). Ben Cheikh, Nidhaleddine ; Nguyen, Pascal ; Younes, Ben Zaied ; ben Zaied, Younes . In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00270.

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2019Short-term scenario-based probabilistic load forecasting: A data-driven approach. (2019). Pauwels, Eric J ; Khoshrou, Abdolrahman. In: Applied Energy. RePEc:eee:appene:v:238:y:2019:i:c:p:1258-1268.

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2018Multivariate specification tests based on a dynamic Rosenblatt transform. (2018). Kheifets, Igor L. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:124:y:2018:i:c:p:1-14.

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2019Analysis of shock transmissions to a small open emerging economy using a SVARMA model. (2019). Raghavan, Mala ; Athanasopoulos, George. In: Economic Modelling. RePEc:eee:ecmode:v:77:y:2019:i:c:p:187-203.

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2018International synchronization of the Mexican states business cycles: Explaining factors. (2018). Aroca, Patricio ; Vergara-Gonzalez, Reyna ; Rendon-Rojas, Liliana ; Mejia-Reyes, Pablo . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:278-288.

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2017On weak identification in structural VARMA models. (2017). Yao, Wenying ; Kam, Timothy ; Vahid, Farshid. In: Economics Letters. RePEc:eee:ecolet:v:156:y:2017:i:c:p:1-6.

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2017Estimating smooth structural change in cointegration models. (2017). Phillips, Peter ; GAO, Jiti ; PEter, . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:180-195.

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2017Forecasting cointegrated nonstationary time series with time-varying variance. (2017). Yi, Yanping ; Tu, Yundong . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:83-98.

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2018Estimation and forecasting in vector autoregressive moving average models for rich datasets. (2018). Dias, Gustavo Fruet ; Kapetanios, George. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:75-91.

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2019Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects. (2019). Gagliardini, Patrick ; Gourieroux, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:613-637.

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2019A panel quantile approach to attrition bias in Big Data: Evidence from a randomized experiment. (2019). Lamarche, Carlos ; Harding, Matthew. In: Journal of Econometrics. RePEc:eee:econom:v:211:y:2019:i:1:p:61-82.

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2018The impact of special days in call arrivals forecasting: A neural network approach to modelling special days. (2018). Kourentzes, Nikolaos ; Barrow, Devon. In: European Journal of Operational Research. RePEc:eee:ejores:v:264:y:2018:i:3:p:967-977.

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2018Rule-based autoregressive moving average models for forecasting load on special days: A case study for France. (2018). Arora, Siddharth ; Taylor, James W. In: European Journal of Operational Research. RePEc:eee:ejores:v:266:y:2018:i:1:p:259-268.

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2017Common cycles and common trends in the stock and oil markets: Evidence from more than 150years of data. (2017). Wohar, Mark ; GUPTA, RANGAN ; Balcilar, Mehmet. In: Energy Economics. RePEc:eee:eneeco:v:61:y:2017:i:c:p:72-86.

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2017How does daylight saving time affect electricity demand? An answer using aggregate data from a natural experiment in Western Australia. (2017). Choi, Seungmoon ; Masson, Virginie ; Pellen, Alistair . In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:247-260.

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2017How do daily changes in oil prices affect US monthly industrial output?. (2017). Valadkhani, Abbas ; Smyth, Russell. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:83-90.

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2018Asymmetric responses in the timing, and magnitude, of changes in Australian monthly petrol prices to daily oil price changes. (2018). Valadkhani, Abbas ; Smyth, Russell. In: Energy Economics. RePEc:eee:eneeco:v:69:y:2018:i:c:p:89-100.

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2018Managing electricity price modeling risk via ensemble forecasting: The case of Turkey. (2018). Avci, Ezgi ; van Heck, Eric ; Ketter, Wolfgang. In: Energy Policy. RePEc:eee:enepol:v:123:y:2018:i:c:p:390-403.

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2018Modeling and forecasting hourly electricity demand by SARIMAX with interactions. (2018). Fukushige, Mototsugu ; Elamin, Niematallah. In: Energy. RePEc:eee:energy:v:165:y:2018:i:pb:p:257-268.

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2018Prospect dynamics and loss dominance. (2018). Sawa, Ryoji ; Wu, Jiabin. In: Games and Economic Behavior. RePEc:eee:gamebe:v:112:y:2018:i:c:p:98-124.

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2017A vector heterogeneous autoregressive index model for realized volatility measures. (2017). Hecq, Alain ; Guardabascio, Barbara ; Cubadda, Gianluca. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:337-344.

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2017Evaluating multi-step system forecasts with relatively few forecast-error observations. (2017). Martinez, Andrew ; Hendry, David. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:359-372.

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2018Benchmarking robustness of load forecasting models under data integrity attacks. (2018). Hong, Tao ; Luo, Jian ; Fang, Shu-Cherng. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:89-104.

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2019Macroeconomic forecasting for Australia using a large number of predictors. (2019). Hyndman, Rob ; Jiang, Bin ; Athanasopoulos, George ; Panagiotelis, Anastasios ; Vahid, Farshid. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:616-633.

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2019Semiparametric quantile averaging in the presence of high-dimensional predictors. (2019). Gooijer, Jan G. ; Zerom, Dawit ; de Gooijer, Jan G. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:3:p:891-909.

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2019Testing for cojumps in high-frequency financial data: An approach based on first-high-low-last prices. (2019). Anderson, Heather ; Liao, Yin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:99:y:2019:i:c:p:252-274.

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2019The longitudinal effects of internationalization on firm performance: The moderating role of marketing capability. (2019). Sun, Wenbin ; Ding, Yuan ; Price, Joseph. In: Journal of Business Research. RePEc:eee:jbrese:v:95:y:2019:i:c:p:326-337.

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2018How do governments determine policy priorities? Studying development strategies through spillover networks. (2018). Castaeda, Gonzalo ; Guerrero, Omar A ; Chavez-Juarez, Florian. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:154:y:2018:i:c:p:335-361.

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2017A novel weight determination method for time series data aggregation. (2017). Xu, Paiheng ; Deng, Yong ; Zhang, Rong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:482:y:2017:i:c:p:42-55.

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2019Does PPI lead CPI IN Brazil?. (2019). da Rocha, Roberto Ivo. In: International Journal of Production Economics. RePEc:eee:proeco:v:214:y:2019:i:c:p:73-79.

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2017Measuring the financial impact of environmental regulations on the trucking industry. (2017). Dugan, Michael T ; Murray, Susan M ; Thompson, Mark A ; Turner, Elizabeth H. In: Research in Accounting Regulation. RePEc:eee:reacre:v:29:y:2017:i:2:p:152-158.

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2019Machine-learning methods for integrated renewable power generation: A comparative study of artificial neural networks, support vector regression, and Gaussian Process Regression. (2019). Shah, Nilay ; Sikinioti-Lock, Alexandra ; Sharifzadeh, Mahdi. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:108:y:2019:i:c:p:513-538.

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2017A review and analysis of regression and machine learning models on commercial building electricity load forecasting. (2017). Yildiz, B ; Sproul, A B ; Bilbao, J I. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:73:y:2017:i:c:p:1104-1122.

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2017Realized volatility forecast of agricultural futures using the HAR models with bagging and combination approaches. (2017). Yang, KE ; Li, Steven ; Chen, Langnan ; Tian, Fengping. In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:276-291.

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2019Historical decoupling in the EU: Evidence from time-frequency analysis. (2019). Kapounek, Svatopluk ; Kuerova, Zuzana. In: International Review of Economics & Finance. RePEc:eee:reveco:v:60:y:2019:i:c:p:265-280.

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2019Dynamical Volatility and Correlation among US Stock and Treasury Bond Cash and Futures Markets in Presence of Financial Crisis: A Copula Approach. (2019). Li, Weny ; Wang, Teng-Kun ; Liu, Hsiang-Hsi. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:381-396.

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2017Impact of ill-health on household consumption in Sri Lanka: Evidence from household survey data. (2017). Kumara, Ajantha Sisira ; Samaratunge, Ramanie. In: Social Science & Medicine. RePEc:eee:socmed:v:195:y:2017:i:c:p:68-76.

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2019Fed’s Unconventional Monetary Policy and Risk Spillover in the US Financial Markets. (2019). Wohar, Mark ; Ozdemir, Zeynel ; Balcilar, Mehmet. In: Working Papers. RePEc:emu:wpaper:15-47.pdf.

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2019Testing the Asymmetric Effects of Exchange Rate and Oil Price Pass-Through in BRICS Countries: Does the state of the economy matter?. (2019). Wohar, Mark ; Balcilar, Mehmet ; Usman, Ojonugwa ; Roubaud, David. In: Working Papers. RePEc:emu:wpaper:15-49.pdf.

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2017Using common features to investigate common growth cycles for BRICS Countries. (2017). Issler, João ; da Cunha, Roberto ; Delalibera, Bruno Ricardo. In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). RePEc:fgv:epgewp:784.

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2017Common Factors, Trends, and Cycles in Large Datasets. (2017). Luciani, Matteo ; Barigozzi, Matteo. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2017-111.

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2018Performance Analysis of Short-Term Electricity Demand with Atmospheric Variables. (2018). Chapagain, Kamal ; Kittipiyakul, Somsak. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:4:p:818-:d:139250.

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2018Probabilistic Electricity Price Forecasting Models by Aggregation of Competitive Predictors. (2018). Monteiro, Claudio ; Fernandez-Jimenez, Alfredo L ; Ramirez-Rosado, Ignacio J. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:5:p:1074-:d:143481.

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2018Adaptive Optimized Pattern Extracting Algorithm for Forecasting Maximum Electrical Load Duration Using Random Sampling and Cumulative Slope Index. (2018). Kim, Jinseok ; Hong, Hyungseop. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:7:p:1723-:d:155549.

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2018Probabilistic Hourly Load Forecasting Using Additive Quantile Regression Models. (2018). Sigauke, Caston ; Maposa, Daniel ; Nemukula, Murendeni Maurel. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:9:p:2208-:d:165386.

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2019Short-Term Electricity Demand Forecasting Using Components Estimation Technique. (2019). Wang, Depeng ; Ali, Sajid ; Iftikhar, Hasnain ; Shah, Ismail. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:13:p:2532-:d:244687.

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2019Classification of Special Days in Short-Term Load Forecasting: The Spanish Case Study. (2019). Lopez, Miguel ; Senabre, Carolina ; Valero, Sergio ; Sans, Carlos. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:7:p:1253-:d:219047.

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2018Integrated Model of Economic Generation System Expansion Plan for the Stable Operation of a Power Plant and the Response of Future Electricity Power Demand. (2018). Kim, Jang-Yeop . In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:7:p:2417-:d:157375.

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2017Wind Speed for Load Forecasting Models. (2017). Hong, Tao ; Xie, Jingrui . In: Sustainability. RePEc:gam:jsusta:v:9:y:2017:i:5:p:795-:d:98155.

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2019Algorithmic Pricing What Implications for Competition Policy?. (2019). Pastorello, Sergio ; Denicolo, Vincenzo ; Calzolari, Giacomo ; Calvano, Emilio. In: Review of Industrial Organization. RePEc:kap:revind:v:55:y:2019:i:1:d:10.1007_s11151-019-09689-3.

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2019Oil Prices and GCC Stock Markets: New Evidence from Vector Smooth Transition Models. (2019). Rault, Christophe ; Ben Cheikh, Nidhaleddine ; Ben Naceur, Sami ; Kanaan, Oussama ; Bennaceur, Sami . In: LEO Working Papers / DR LEO. RePEc:leo:wpaper:2697.

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2018Historical Decoupling in the EU: Evidence from Time-Frequency Analysis. (2018). Kucerova, Zuzana ; Kapounek, Svatopluk. In: MENDELU Working Papers in Business and Economics. RePEc:men:wpaper:75_2018.

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2019Hierarchical Forecasting. (2019). Hyndman, Rob ; Affan, Mohamed ; Panagiotelis, Anastasios ; Gamakumara, Puwasala ; Athanasopoulos, George. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2019-2.

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2017Modeling and Forecasting Hourly Electricity Demand by SARIMAX with Interactions. (2017). Fukushige, Mototsugu ; Elamin, Niematallah. In: Discussion Papers in Economics and Business. RePEc:osk:wpaper:1728.

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2017Detecting Co-Movements in Noncausal Time Series. (2017). Telg, Sean ; Hecq, Alain ; Cubadda, Gianluca. In: MPRA Paper. RePEc:pra:mprapa:77254.

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2018Education and the livelihood of households in the Northwest Region, Vietnam. (2018). Tran, Tuyen ; Nguyen, Hai Thi. In: MPRA Paper. RePEc:pra:mprapa:90414.

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2019Insulating property of the flexible exchange rate regime: A case of Central and Eastern European countries. (2019). Wróblewska, Justyna ; Dbrowski, Marek A. In: MPRA Paper. RePEc:pra:mprapa:93813.

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2019The Effect of Exchange Rate Regimes on Business Cycle Synchronization: A Robust Analysis. (2019). Knaze, Jakub ; Hou, Jia. In: MPRA Paper. RePEc:pra:mprapa:95182.

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2019Oil and pump prices: Is there any asymmetry in the Greek oil downstream sector?. (2019). Filis, George ; Degiannakis, Stavros ; Bragoudakis, Zacharias. In: MPRA Paper. RePEc:pra:mprapa:95407.

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2017Are South American Countries Really Converging?: The Influence of the Regions Integration Projects. (2017). Bonilla Bolaños, Andrea Gabriela ; Bolaos, Andrea Bonilla. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2017:i:3:p:130-149.

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2018Modelling the BRICS Exchange Rates Using the Vector Autoregressive (VAR) Model. (2018). Tsoku, Johannes Tshepiso ; Moroke, Ntebogang Dinah ; Metsileng, Lebotsa Daniel. In: Journal of Economics and Behavioral Studies. RePEc:rnd:arjebs:v:10:y:2018:i:5:p:220-229.

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2018Detecting Co-Movements in Noncausal Time Series. (2018). Telg, Sean ; Hecq, Alain ; Cubadda, Gianluca. In: CEIS Research Paper. RePEc:rtv:ceisrp:430.

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2018Forecasting Realized Volatility Measures with Multivariate and Univariate Models: The Case of The US Banking Sector. (2018). Hecq, Alain ; Cubadda, Gianluca ; Riccardo, Antonio. In: CEIS Research Paper. RePEc:rtv:ceisrp:445.

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2017Functional Autoregressive Models: An Application to Brazilian Hourly Electricity Load. (2017). Vaz, Lucelia Viviane ; da Silveira, Getulio Borges. In: Brazilian Review of Econometrics. RePEc:sbe:breart:v:37:y:2017:i:2:a:62293.

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2017Evaluating the use of internet search volumes for time series modeling of sales in the video game industry. (2017). Ruohonen, Jukka ; Hyrynsalmi, Sami . In: Electronic Markets. RePEc:spr:elmark:v:27:y:2017:i:4:d:10.1007_s12525-016-0244-z.

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2017Forecast combination for discrete choice models: predicting FOMC monetary policy decisions. (2017). Vasnev, Andrey ; Pauwels, Laurent L. In: Empirical Economics. RePEc:spr:empeco:v:52:y:2017:i:1:d:10.1007_s00181-016-1080-x.

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2018Health shocks in Sub-Saharan Africa: are the poor and uninsured households more vulnerable?. (2018). Atake, Esso-Hanam. In: Health Economics Review. RePEc:spr:hecrev:v:8:y:2018:i:1:d:10.1186_s13561-018-0210-x.

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2017A dynamic factor model for the Mexican economy: are common trends useful when predicting economic activity?. (2017). Corona, Francisco ; Orraca, Pedro ; Gonzalez-Farias, Graciela. In: Latin American Economic Review. RePEc:spr:laecrv:v:26:y:2017:i:1:d:10.1007_s40503-017-0044-7.

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2017A diagram to detect serial dependencies: an application to transport time series. (2017). Punzo, Antonio ; de Capitani, Lucio ; Bagnato, Luca. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:51:y:2017:i:2:d:10.1007_s11135-016-0426-y.

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2017Health inequity and health outcome: a causal linkage study of low and middle income countries. (2017). Mohapatra, Subhalaxmi. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:51:y:2017:i:6:d:10.1007_s11135-016-0404-4.

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2018Assessing Changes Over Time in Inequality of Opportunity: The Case of Spain. (2018). López-Menéndez, Ana ; Lopez, Ana Jesus ; Alvarez, Ana Suarez . In: Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement. RePEc:spr:soinre:v:139:y:2018:i:3:d:10.1007_s11205-017-1759-1.

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2018Family formation and demand for health insurance. (2018). Kettlewell, Nathan ; Doiron, Denise. In: Working Papers. RePEc:syd:wpaper:2018-08.

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2019A Factor Model Analysis of the Australian Economy and the Effects of Inflation Targeting. (2019). Morley, James ; Hartigan, Luke. In: Working Papers. RePEc:syd:wpaper:2019-10.

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2018Testing for Serial Independence: Beyond the Portmanteau Approach. (2018). Punzo, Antonio ; de Capitani, Lucio ; Bagnato, Luca. In: The American Statistician. RePEc:taf:amstat:v:72:y:2018:i:3:p:219-238.

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2017Forecasting REIT volatility with high-frequency data: a comparison of alternative methods. (2017). Zhou, Jian. In: Applied Economics. RePEc:taf:applec:v:49:y:2017:i:26:p:2590-2605.

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2019Long-term swings and seasonality in energy markets. (2019). Platania, Federico ; Novales, Alfonso ; Moreno, Manuel. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1929.

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2019The Multivariate Simultaneous Unobserved Compenents Model and Identification via Heteroskedasticity. (2019). Mendieta-Muñoz, Ivan ; Li, Mengheng ; Mendieta-Munoz, Ivan. In: Working Paper Series, Department of Economics, University of Utah. RePEc:uta:papers:2019_06.

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2019The multivariate simultaneous unobserved components model and identification via heteroskedasticity. (2019). Mendieta-Muñoz, Ivan ; Li, Mengheng ; Mendieta-Munoz, Ivan. In: Working Paper Series. RePEc:uts:ecowps:2019/08.

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2017Co-movement and Forecasting Analysis of Major Real Estate Markets by Wavelet Coherence and Multiple Wavelet Coherence. (2017). Karatas, Cengiz ; Yilmaz, Adil ; Unal, Gazanfer. In: Chinese Journal of Urban and Environmental Studies (CJUES). RePEc:wsi:cjuesx:v:05:y:2017:i:02:n:s2345748117500105.

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2017Co-movement of precious metals and forecasting using scale by scale wavelet transform. (2017). Oral, Emrah ; Unal, Gazanfer. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:01:n:s2424786317500074.

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2019Do On-lookers See Most of the Game? Evaluating Job-seekers Competitiveness of Oneself versus of Others in a Labor Market Experiment. (2019). Wang, Yun ; Sun, HU. In: Working Papers. RePEc:wyi:wpaper:002515.

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2017Homogenous vs. heterogenous transition functions in smooth transition regressions: A LM-type test. (2017). Reitz, Stefan ; Leppin, Julian ; Demetrescu, Matei. In: Kiel Working Papers. RePEc:zbw:ifwkwp:2094.

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Farshid Vahid is editor of


Journal
Monash Econometrics and Business Statistics Working Papers

Works by Farshid Vahid:


YearTitleTypeCited
2008John Creedy, Research Without Tears: From the First Ideas to Published Output (Edward Elgar Publishing, 2008) In: Agenda - A Journal of Policy Analysis and Reform.
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2005Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help? In: ANU Working Papers in Economics and Econometrics.
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paper27
2007Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help?.(2007) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 27
article
2005The Effect of Household Characteristics on Living Standards in South Africa 1993 - 98: A Quantile Regression Analysis with Sample Attrition In: ANU Working Papers in Economics and Econometrics.
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paper2
2008Global Temperature Trends In: ANU Working Papers in Economics and Econometrics.
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paper1
2011Global Temperature Trends.(2011) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has another version. Agregated cites: 1
paper
2010Do Jumps Matter? Forecasting Multivariate Realized Volatility Allowing for Common Jumps In: ANU Working Papers in Economics and Econometrics.
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paper10
2010Do Jumps Matter? Forecasting Multivariate Realized Volatility allowing for Common Jumps.(2010) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has another version. Agregated cites: 10
paper
2010Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions In: Working Papers Series.
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2011Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions.(2011) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 26
article
2009Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions.(2009) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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paper
2010Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions.(2010) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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This paper has another version. Agregated cites: 26
paper
2010Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions.(2010) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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This paper has another version. Agregated cites: 26
paper
2011Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions.(2011) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 26
paper
2009Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions.(2009) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has another version. Agregated cites: 26
paper
2008VARMA versus VAR for Macroeconomic Forecasting In: Journal of Business & Economic Statistics.
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article30
2006VARMA versus VAR for Macroeconomic Forecasting.(2006) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has another version. Agregated cites: 30
paper
2001Market Architecture and Nonlinear Dynamics of Australian Stock and Futures Indices. In: Australian Economic Papers.
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article7
2001Market Architecture and Nonlinear Dynamics of Australian Stock and Future Indices..(2001) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has another version. Agregated cites: 7
paper
2003Statistical Inference and Changes in Income Inequality in Australia In: The Economic Record.
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article21
2002Statistical Inference on Changes in Income Inequality in Australia.(2002) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has another version. Agregated cites: 21
paper
2008A complete VARMA modelling methodology based on scalar components In: Journal of Time Series Analysis.
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article11
2006A Complete VARMA Modelling Methodology Based on Scalar Components.(2006) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has another version. Agregated cites: 11
paper
2005Nonlinear Correlograms and Partial Autocorrelograms In: Oxford Bulletin of Economics and Statistics.
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article3
2003Nonlinear Correlograms and Partial Autocorrelograms.(2003) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has another version. Agregated cites: 3
paper
1994Deriving Restricted Least Squares without a Lagrangean In: Econometric Theory.
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article0
1996Aitken Generalization of the Gauss-Markov Theorem without Calculus In: Econometric Theory.
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article0
2001PREDICTING THE PROBABILITY OF A RECESSION WITH NONLINEAR AUTOREGRESSIVE LEADING-INDICATOR MODELS In: Macroeconomic Dynamics.
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article36
2000Predicting the Probability of a Recession with Nonlinear Autoregressive Leading Indicator Models..(2000) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has another version. Agregated cites: 36
paper
2004Strategy Similarity and Coordination In: Economic Journal.
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article17
2001Strategy Similarity and Coordination..(2001) In: Monash Econometrics and Business Statistics Working Papers.
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paper
2004Forecasting Australian GDP Growth Using Coefficients Constrained by A Term Structure Model In: Econometric Society 2004 Australasian Meetings.
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paper0
2004Are VAR Models Good Enough? In: Econometric Society 2004 Australasian Meetings.
[Citation analysis]
paper0
2000Clustering Regression Functions in a Panel In: Econometric Society World Congress 2000 Contributed Papers.
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paper1
2011Financial integration and the construction of historical financial data for the Euro Area In: Economic Modelling.
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article9
2010Financial Integration and the Construction of Historical Financial Data for the Euro Area.(2010) In: Centre for Growth and Business Cycle Research Discussion Paper Series.
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This paper has another version. Agregated cites: 9
paper
1998On the pooling of cross-sectional and time-series data in the presence of heteroskedasticity In: Economics Letters.
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article0
2002The importance of common cyclical features in VAR analysis: a Monte-Carlo study In: Journal of Econometrics.
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article55
2001The importance of common cyclical features in VAR analysis: a Monte-Carlo study.(2001) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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This paper has another version. Agregated cites: 55
paper
2001The Importance Of Common Cyclical Features in VAR Analysis: A Monte-Carlo Study..(2001) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has another version. Agregated cites: 55
paper
2006Common features In: Journal of Econometrics.
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article7
2006The missing link: using the NBER recession indicator to construct coincident and leading indices of economic activity In: Journal of Econometrics.
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article34
2001The missing link: using the NBER recessions indicator to construct coincident and leading indices of economic activity.(2001) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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This paper has another version. Agregated cites: 34
paper
2002The missing link: using the NBER recession indicator to construct coincident and leading indices economic activity.(2002) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 34
paper
2002The missing link: using the NBER recession indicator to construct coincident and leading indices economic activity.(2002) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 34
paper
2003The missing link: using the NBER recession indicator to construct coincident and leading indices economic activity.(2003) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 34
paper
2001The Missing Link: Using the NBER Recession Indicator to Construct Coincident and Leading Indices of Economic Activity..(2001) In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 34
paper
1997Codependent cycles In: Journal of Econometrics.
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article82
1998Testing multiple equation systems for common nonlinear components In: Journal of Econometrics.
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article67
2008Forecasting time series with multiple seasonal patterns In: European Journal of Operational Research.
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article28
2015Asymmetric pricing of diesel at its source In: Energy Economics.
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article5
1999Payoff Assessments without Probabilities: A Simple Dynamic Model of Choice In: Games and Economic Behavior.
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article57
2001Predicting How People Play Games: A Simple Dynamic Model of Choice In: Games and Economic Behavior.
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article34
1999Predicting how People Play Games: a Simple Dynamic Model of Choice..(1999) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has another version. Agregated cites: 34
paper
1997Shorte-run forecasts of electricity loads and peaks In: International Journal of Forecasting.
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article87
2001Common cycles and the importance of transitory shocks to macroeconomic aggregates In: Journal of Monetary Economics.
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article82
2012Testing financial contagion on heteroskedastic asset returns in time-varying conditional correlation In: Pacific-Basin Finance Journal.
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article7
2007Necessity of negative serial correlation for mean-reversion of stock prices In: The Quarterly Review of Economics and Finance.
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article1
2007CONSTRUCTING HISTORICAL EURO AREA DATA In: CAMA Working Papers.
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paper11
2007Constructing Historical Euro Area Data.(2007) In: Money Macro and Finance (MMF) Research Group Conference 2006.
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This paper has another version. Agregated cites: 11
paper
1994Common cycles in macroeconomic aggregates In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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paper4
1995Common cycles in macroeconomic aggregates (revised version) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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paper0
1998Common cycles and the importance of transitory shocks to macroeconomic aggregates (revised version) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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paper0
1999The importance of Common-Cyclical Features in VAR analysis: a Monte-Carlo study (Preliminary Version) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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paper0
2011Demand for Hospital Care and Private Health Insurance in a Mixed Public–Private System: Empirical Evidence Using a Simultaneous Equation Modeling Approach In: Melbourne Institute Working Paper Series.
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2010Demand for hospital care and private health insurance in a mixed publicprivate system: empirical evidence using a simultaneous equation modeling approach.(2010) In: Health, Econometrics and Data Group (HEDG) Working Papers.
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1997On the Correspondence between Individual and Aggregate Food Consumption Functions: Evidence from the USA and the Netherlands. In: Journal of Applied Econometrics.
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article4
1997On the Correspondence between Individual and Aggregate Food Consumption Functions: Evidence from the USA and the Netherlands: Reply. In: Journal of Applied Econometrics.
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article1
2006The effect of household characteristics on living standards in South Africa 1993-1998: a quantile regression analysis with sample attrition In: Journal of Applied Econometrics.
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article7
2007Nonlinear autoregressive leading indicator models of output in G-7 countries In: Journal of Applied Econometrics.
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article10
2002Nonlinear Autoregresssive Leading Indicator Models of Output in G-7 Countries.(2002) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has another version. Agregated cites: 10
paper
1993Common Trends and Common Cycles. In: Journal of Applied Econometrics.
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article242
1999Does International Trade Synchronize Business Cycles? In: Monash Econometrics and Business Statistics Working Papers.
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paper20
2001Capturing the Shape of Business Cycles with Nonlinear Autoregressive Leading Indicator Models. In: Monash Econometrics and Business Statistics Working Papers.
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paper2
2003The Decline in Income Growth Volatility in the United States: Evidence from Regional Data In: Monash Econometrics and Business Statistics Working Papers.
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paper4
2005Forecasting Time-Series with Correlated Seasonality In: Monash Econometrics and Business Statistics Working Papers.
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paper1
2009Two canonical VARMA forms: Scalar component models vis-à-vis the Echelon form In: Monash Econometrics and Business Statistics Working Papers.
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paper2
2010VARs, Cointegration and Common Cycle Restrictions In: Monash Econometrics and Business Statistics Working Papers.
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paper3
2013Common non-linearities in multiple series of stock market volatility In: Monash Econometrics and Business Statistics Working Papers.
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paper0
2014Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations In: Monash Econometrics and Business Statistics Working Papers.
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2016Determination of Long‐run and Short‐run Dynamics in EC‐VARMA Models via Canonical Correlations.(2016) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 2
article
2014The Effects of Productivity Gains in Asian Emerging Economies: A Global Perspective In: Monash Econometrics and Business Statistics Working Papers.
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paper1
2016Bayesian Rank Selection in Multivariate Regression In: Monash Econometrics and Business Statistics Working Papers.
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paper0
2017The Australian Macro Database: An online resource for macroeconomic research in Australia In: Monash Econometrics and Business Statistics Working Papers.
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paper1
2017Macroeconomic forecasting for Australia using a large number of predictors In: Monash Econometrics and Business Statistics Working Papers.
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paper3
2014Forecasting with EC-VARMA models In: Working Papers.
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paper0
2014VAR(MA), what is it good for? more bad news for reduced-form estimation and inference In: Working Papers.
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paper0
2009Household responses to health risks and shocks: A study from rural Tanzania raises some methodological issues In: Journal of International Development.
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