Farshid Vahid : Citation Profile


Are you Farshid Vahid?

Monash University

18

H index

25

i10 index

1227

Citations

RESEARCH PRODUCTION:

40

Articles

60

Papers

RESEARCH ACTIVITY:

   27 years (1993 - 2020). See details.
   Cites by year: 45
   Journals where Farshid Vahid has often published
   Relations with other researchers
   Recent citing documents: 66.    Total self citations: 34 (2.7 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pva160
   Updated: 2021-10-16    RAS profile: 2021-05-26    
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Relations with other researchers


Works with:

Athanasopoulos, George (6)

Hyndman, Rob (5)

Panagiotelis, Anastasios (5)

Anderson, Heather (4)

Wong, Benjamin (3)

Caggiano, Giovanni (3)

GAO, Jiti (2)

Yao, Wenying (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 (189)

Issler, João (112)

Hecq, Alain (96)

Cubadda, Gianluca (44)

Athanasopoulos, George (27)

Palm, Franz (26)

Narayan, Paresh (24)

FRANCO NETO, AFONSO (16)

Weber, Enzo (16)

Urbain, Jean-Pierre (16)

Cheung, Yin-Wong (16)

Cites to:

Engle, Robert (42)

Pesaran, M (24)

Watson, Mark (18)

Anderson, Heather (18)

Reichlin, Lucrezia (15)

Sims, Christopher (15)

Lütkepohl, Helmut (14)

Kozicki, Sharon (14)

Stock, James (13)

Phillips, Peter (12)

Athanasopoulos, George (12)

Main data


Where Farshid Vahid has published?


Journals with more than one article published# docs
Journal of Econometrics6
Journal of Applied Econometrics5
The Economic Record2
Journal of Applied Econometrics2
Economics Letters2
Games and Economic Behavior2
International Journal of Forecasting2
Economic Modelling2
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics28
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 (2021 and 2020)


YearTitle of citing document
2021.

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2021Predicting bubble bursts in oil prices using mixed causal-noncausal models. (2019). Hecq, Alain ; Voisin, Elisa. In: Papers. RePEc:arx:papers:1911.10916.

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2021Dimension Reduction for High Dimensional Vector Autoregressive Models. (2020). Hecq, Alain ; Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2009.03361.

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2021Best-response dynamics, playing sequences, and convergence to equilibrium in random games. (2021). Tarbush, Bassel ; Scott, Alex ; Pangallo, Marco ; Mungo, Luca ; Jang, Yoojin ; Heinrich, Torsten ; Wiese, Samuel. In: Papers. RePEc:arx:papers:2101.04222.

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2020Commodity Prices and Global Economic Activity: a derived-demand approach. (2020). Gaglianone, Wagner ; Duarte, Angelo Montalverne ; Issler, Joo Victor ; de Carvalho, Osmani Teixeira. In: Working Papers Series. RePEc:bcb:wpaper:539.

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2020A Factor Model Analysis of the Australian Economy and the Effects of Inflation Targeting. (2020). Hartigan, Luke ; Morley, James. In: The Economic Record. RePEc:bla:ecorec:v:96:y:2020:i:314:p:271-293.

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2020The contribution of the spatial dimension to inequality: A counterfactual analysis for OECD countries. (2020). Ayala, Luis ; Vicente, Juan ; Martinroman, Javier. In: Papers in Regional Science. RePEc:bla:presci:v:99:y:2020:i:3:p:447-477.

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2020A Model of Satisficing Behaviour. (2020). Yi, Hyun Chang ; Sarin, Rajiv . In: Working Papers. RePEc:bok:wpaper:2021.

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2020Penalized Averaging of Parametric and Non-Parametric Quantile Forecasts. (2020). Gooijer, Jan G. ; Dawit, Zerom ; Jan, De Gooijer. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:12:y:2020:i:1:p:15:n:4.

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2020Diagnosing Housing Fever with an Econometric Thermometer. (2020). Phillips, Peter ; Shi, Shuping. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2248.

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2020Forecasting Economic Activity Using the Yield Curve: Quasi-Real-Time Applications for New Zealand, Australia and the US. (2020). Phillips, Peter ; Henry, Todd . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2259.

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2021On the empirical relations between producers expectations and economic growth. (2021). Rosich, Lucia I ; Lanzilotta, Bibiana ; Brida, Juan G. In: Economics Bulletin. RePEc:ebl:ecbull:eb-21-00393.

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2020An Indirect Proof for the Asymptotic Properties of VARMA Model Estimators. (2020). Melard, Guy. In: Working Papers ECARES. RePEc:eca:wpaper:2013/304272.

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2020Invertibility Condition of the Fisher Information Matrix of a VARMAX Process and the Tensor Sylvester Matrix. (2020). Melard, Guy ; Klein, Andre. In: Working Papers ECARES. RePEc:eca:wpaper:2013/304274.

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2020Dynamic Modeling Using Vector Error-correction Model: Studying the Relationship among Data Share Price of Energy PGAS Malaysia, AKRA, Indonesia, and PTT PCL-Thailand. (2020). Warsono, Warsono ; Usman, Mustofa ; Widiarti, Widiarti ; Wamiliana, Wamiliana ; Putri, Almira Rizka ; Russel, Edwin. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-02-42.

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2020Comovement amongst the demand for New Zealand tourism. (2020). Vatsa, Puneet. In: Annals of Tourism Research. RePEc:eee:anture:v:83:y:2020:i:c:s0160738320301092.

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2020Short-term electrical load forecasting based on error correction using dynamic mode decomposition. (2020). Zhang, Yusen ; Wang, Chengshan ; Li, Chuang ; Kong, Xiangyu. In: Applied Energy. RePEc:eee:appene:v:261:y:2020:i:c:s0306261919320550.

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2021Financial contagion and contagion channels in the forex market: A new approach via the dynamic mixture copula-extreme value theory. (2021). Wang, Xunhong ; Li, Yiou ; Yuan, Ying. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:401-414.

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2021Is the assumption of constant factor loadings too strong in practice?. (2021). Hartigan, Luke ; Aslanidis, Nektarios. In: Economic Modelling. RePEc:eee:ecmode:v:98:y:2021:i:c:p:100-108.

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2020Nonlinear dynamics of gold and the dollar. (2020). Yu, Jishuang ; Guo, Yongxiu ; He, Qing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300577.

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2020Predictability of hourly nitrogen dioxide concentration. (2020). Haupt, Harry ; Behm, Svenia. In: Ecological Modelling. RePEc:eee:ecomod:v:428:y:2020:i:c:s0304380020301484.

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2020Global hemispheric temperatures and co-shifting: A vector shifting-mean autoregressive analysis. (2020). Teräsvirta, Timo ; Holt, Matthew ; Terasvirta, Timo. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:1:p:198-215.

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2021Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors. (2021). Ghysels, Eric ; Andreou, Elena. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:366-398.

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2020Common shocks, common transmission mechanisms and time-varying connectedness among Dow Jones Islamic stock market indices and global risk factors. (2020). al Dohaiman, Mohammed ; Mezghani, Imed ; ben Haddad, Hedi. In: Economic Systems. RePEc:eee:ecosys:v:44:y:2020:i:2:s0939362518300748.

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

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2020Testing for explosive bubbles in the presence of autocorrelated innovations. (2020). Montes, Erik Christian ; Pedersen, Thomas Quistgaard . In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:207-225.

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2020An analysis of the global oil market using SVARMA models. (2020). Raghavan, Mala. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s014098831930430x.

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2020Oil and pump prices: Testing their asymmetric relationship in a robust way. (2020). Filis, George ; Degiannakis, Stavros ; Bragoudakis, Zacharias. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320300943.

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2021Commodity prices and global economic activity: A derived-demand approach. (2021). Gaglianone, Wagner ; Issler, Joo Victor ; de Carvalho, Osmani Teixeira ; Duarte, Angelo Mont'Alverne ; Angelo Mont'alverne Duarte, . In: Energy Economics. RePEc:eee:eneeco:v:96:y:2021:i:c:s0140988321000256.

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2020Predicting collusive patterns in a liberalized electricity market with mandatory auctions of forward contracts. (2020). Palacio, Sebastian M. In: Energy Policy. RePEc:eee:enepol:v:139:y:2020:i:c:s0301421520300690.

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2021Fuel price co-movements among France, Germany and Italy: A time-frequency investigation. (2021). Albulescu, Claudiu ; Mutascu, Mihai Ioan . In: Energy. RePEc:eee:energy:v:225:y:2021:i:c:s0360544221004850.

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2020Learning by similarity-weighted imitation in winner-takes-all games. (2020). Wang, Joseph ; Mohlin, Erik ; Ostling, Robert. In: Games and Economic Behavior. RePEc:eee:gamebe:v:120:y:2020:i:c:p:225-245.

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2021Longevity risk and capital markets: The 2019-20 update. (2021). , Andrew ; Blake, David. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:395-439.

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2020Insulating property of the flexible exchange rate regime: A case of Central and Eastern European countries. (2020). Wróblewska, Justyna ; Dąbrowski, Marek ; Wroblewska, Justyna ; Dbrowski, Marek A. In: International Economics. RePEc:eee:inteco:v:162:y:2020:i:c:p:34-49.

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

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2020Heterogeneity in households’ expectations of housing prices – evidence from micro data. (2020). Österholm, Pär ; Hjalmarsson, Erik ; Osterholm, Par. In: Journal of Housing Economics. RePEc:eee:jhouse:v:50:y:2020:i:c:s105113772030067x.

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2021Are global spillovers complementary or competitive? Need for international policy coordination. (2021). Mallick, Sushanta ; Bhattarai, Keshab ; Yang, BO. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:110:y:2021:i:c:s0261560620302473.

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2021Stock market volatility and jumps in times of uncertainty. (2021). Triantafyllou, Athanasios ; Vlastakis, Nikolaos ; Megaritis, Anastasios. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:113:y:2021:i:c:s0261560621000048.

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2020The dynamics of energy prices and the Norwegian economy: A common trends and common cycles analysis. (2020). Basnet, Hem C ; Vatsa, Puneet. In: Resources Policy. RePEc:eee:jrpoli:v:68:y:2020:i:c:s0301420720302920.

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2020Fed’s unconventional monetary policy and risk spillover in the US financial markets. (2020). Ozdemir, Zeynel ; Balcilar, Mehmet ; Wohar, Mark E. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:78:y:2020:i:c:p:42-52.

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2020Error-correction factor models for high-dimensional cointegrated time series. (2020). Zhang, Rongmao ; Yao, Qiwei ; Tu, Yundong. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:106994.

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

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2020Effects of International Crude Oil Prices on Energy Consumption in China. (2020). Chau, Kwong Wing ; Zou, Gaolu. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:15:p:3891-:d:391968.

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2020Point and Interval Forecasting of Zonal Electricity Prices and Demand Using Heteroscedastic Models: The IPEX Case. (2020). Lisi, Francesco ; Bernardi, Mauro. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:23:p:6191-:d:450862.

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2021Short-Term Load Forecasting Using Neural Networks with Pattern Similarity-Based Error Weights. (2021). Dudek, Grzegorz. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:11:p:3224-:d:566585.

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2021Volatility Spillover and International Contagion of Housing Bubbles. (2021). Ouedraogo, Ernest ; Rherrad, Imad ; Akakpo, Koffi ; Bago, Jean-Louis. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:7:p:287-:d:580531.

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2021House Price Forecasting from Investment Perspectives. (2021). Ouysse, Rachida ; Rabhi, Fethi ; Herath, Shanaka ; Ge, Xin Janet ; Mangioni, Vince ; Shi, Song . In: Land. RePEc:gam:jlands:v:10:y:2021:i:10:p:1009-:d:643593.

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2020How are Day-Ahead Prices Informative for Predicting the Next Day’s Consumption of Natural Gas ?. (2020). Sevi, Benoit ; Massol, Olivier ; Thomas, Arthur. In: Working Papers. RePEc:hal:wpaper:hal-03178474.

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2020Investigating the Asymmetric Impact of Oil Prices on GCC Stock Markets. (2020). Rault, Christophe ; Ben Naceur, Sami ; Kanaan, Oussama ; Bennaceur, Sami ; ben Cheikh, Nidhaleddine. In: IZA Discussion Papers. RePEc:iza:izadps:dp13853.

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2020Estimating Non-stationary Common Factors: Implications for Risk Sharing. (2020). Ruiz, Esther ; Poncela, Pilar ; Corona, Francisco. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:1:d:10.1007_s10614-018-9875-9.

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2021Optimal design of experiments to identify latent behavioral types. (2021). Riedl, Christoph ; Klein, Brennan ; Balietti, Stefano. In: Experimental Economics. RePEc:kap:expeco:v:24:y:2021:i:3:d:10.1007_s10683-020-09680-w.

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2020What Role Does Health Play in Enhancing Labour Productivity in Nigeria?. (2020). Daniel, Osaze ; Remi, Rolle Ahuru ; Efegbere, Henry Akpojubaro. In: Academic Journal of Economic Studies. RePEc:khe:scajes:v:6:y:2020:i:2:p:102-111.

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2020Factors driving International Capital Flows and the Change after the Global Financial Crisis. (2020). Inoguchi, Masahiro. In: Public Policy Review. RePEc:mof:journl:ppr16_02_01.

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2020Health shocks and vulnerability to poverty in Congo. (2020). Blanchard, Severin Aime. In: Palgrave Communications. RePEc:pal:palcom:v:7:y:2020:i:1:d:10.1057_s41599-020-00674-w.

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2020Gold as a Financial Instrument. (2020). Gomis-Porqueras, Pedro ; Tan, David ; Shi, Shuping. In: MPRA Paper. RePEc:pra:mprapa:102782.

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2021Have Business Cycles Become More Synchronous After NAFTA?. (2021). Vatsa, Puneet. In: American Business Review. RePEc:ris:ambsrv:0026.

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2020.

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2020Identifying shocks to business cycles with asynchronous propagation. (2020). Weber, Enzo ; Trenkler, Carsten. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:4:d:10.1007_s00181-018-1563-z.

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2021The Productivity Gap Among Major European Countries, USA and Japan. (2021). Calcagnini, Giorgio ; Travaglini, Giuseppe ; Giombini, Germana. In: Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti. RePEc:spr:italej:v:7:y:2021:i:1:d:10.1007_s40797-020-00135-y.

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2021High-frequency forecasting for grocery point-of-sales: intervention in practice and theoretical implications for operational design. (2021). Holmstrom, Jan ; Sillanpaa, Ville ; Dharmawardane, Chethana. In: Operations Management Research. RePEc:spr:opmare:v:14:y:2021:i:1:d:10.1007_s12063-020-00176-7.

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2020Real-time forecasting of the Australian macroeconomy using Bayesian VARs. (2020). Nguyen, Bao H ; Zhang, BO. In: Working Papers. RePEc:tas:wpaper:35236.

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2020Bayesian estimation and model selection of a multivariate smooth transition autoregressive model. (2020). Nur, Darfiana ; Livingston, Glen. In: Environmetrics. RePEc:wly:envmet:v:31:y:2020:i:6:n:e2615.

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2020Forecasting Australias real house price index: A comparison of time series and machine learning methods. (2020). Milunovich, George. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:7:p:1098-1118.

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2020Recession probabilities falling from the STARs. (2020). Noller, Marvin ; Eraslan, Sercan. In: Discussion Papers. RePEc:zbw:bubdps:082020.

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2020Aid for Trade flows and Poverty Reduction in Recipient-Countries. (2020). Gnangnon, Sena Kimm. In: EconStor Preprints. RePEc:zbw:esprep:213807.

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2021An extensible model for historical financial data with an application to German company and stock market data. (2021). Walz, Uwe ; Gram, Dennis ; Liebald, Marius ; Krzyzanowski, Jan ; Karapanagiotis, Pantelis. In: SAFE Working Paper Series. RePEc:zbw:safewp:300.

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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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article0
2005Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help? In: ANU Working Papers in Economics and Econometrics.
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2007Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help?.(2007) In: Journal of Business & Economic Statistics.
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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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2011Global Temperature Trends.(2011) In: Monash Econometrics and Business Statistics Working Papers.
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2010Do Jumps Matter? Forecasting Multivariate Realized Volatility Allowing for Common Jumps In: ANU Working Papers in Economics and Econometrics.
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2010Do Jumps Matter? Forecasting Multivariate Realized Volatility allowing for Common Jumps.(2010) In: Monash Econometrics and Business Statistics Working Papers.
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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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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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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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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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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).
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This paper has another version. Agregated cites: 31
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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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2008VARMA versus VAR for Macroeconomic Forecasting In: Journal of Business & Economic Statistics.
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2006VARMA versus VAR for Macroeconomic Forecasting.(2006) In: Monash Econometrics and Business Statistics Working Papers.
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2001Market Architecture and Nonlinear Dynamics of Australian Stock and Futures Indices In: Australian Economic Papers.
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2001Market Architecture and Nonlinear Dynamics of Australian Stock and Future Indices..(2001) In: Monash Econometrics and Business Statistics Working Papers.
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2020Sectoral Employment Dynamics in Australia and the COVID?19 Pandemic In: Australian Economic Review.
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2020Sectoral employment dynamics in Australia.(2020) In: CAMA Working Papers.
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2020Sectoral Employment Dynamics in Australia.(2020) In: Monash Econometrics and Business Statistics Working Papers.
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2003Statistical Inference and Changes in Income Inequality in Australia In: The Economic Record.
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2002Statistical Inference on Changes in Income Inequality in Australia.(2002) In: Monash Econometrics and Business Statistics Working Papers.
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2016Dating the Timeline of House Price Bubbles in Australian Capital Cities In: The Economic Record.
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2008A complete VARMA modelling methodology based on scalar components In: Journal of Time Series Analysis.
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2006A Complete VARMA Modelling Methodology Based on Scalar Components.(2006) In: Monash Econometrics and Business Statistics Working Papers.
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2005Nonlinear Correlograms and Partial Autocorrelograms* In: Oxford Bulletin of Economics and Statistics.
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2003Nonlinear Correlograms and Partial Autocorrelograms.(2003) In: Monash Econometrics and Business Statistics Working Papers.
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2001PREDICTING THE PROBABILITY OF A RECESSION WITH NONLINEAR AUTOREGRESSIVE LEADING-INDICATOR MODELS In: Macroeconomic Dynamics.
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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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2004Strategy Similarity and Coordination In: Economic Journal.
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2001Strategy Similarity and Coordination..(2001) In: Monash Econometrics and Business Statistics Working Papers.
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2004Forecasting Australian GDP Growth Using Coefficients Constrained by A Term Structure Model In: Econometric Society 2004 Australasian Meetings.
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2004Are VAR Models Good Enough? In: Econometric Society 2004 Australasian Meetings.
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2000Clustering Regression Functions in a Panel In: Econometric Society World Congress 2000 Contributed Papers.
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