Farshid Vahid : Citation Profile


Are you Farshid Vahid?

Monash University

19

H index

27

i10 index

1417

Citations

RESEARCH PRODUCTION:

42

Articles

61

Papers

RESEARCH ACTIVITY:

   30 years (1993 - 2023). See details.
   Cites by year: 47
   Journals where Farshid Vahid has often published
   Relations with other researchers
   Recent citing documents: 36.    Total self citations: 36 (2.48 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pva160
   Updated: 2024-01-16    RAS profile: 2023-03-16    
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Relations with other researchers


Works with:

Anderson, Heather (5)

GAO, Jiti (4)

Caggiano, Giovanni (3)

Wong, Benjamin (3)

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

Is cited by:

Issler, João (130)

Hecq, Alain (110)

Guillén, Osmani (67)

Cubadda, Gianluca (55)

Athanasopoulos, George (30)

Palm, Franz (26)

Narayan, Paresh (25)

Gaglianone, Wagner (18)

Weber, Enzo (16)

FRANCO NETO, AFONSO (16)

Cheung, Yin-Wong (16)

Cites to:

Engle, Robert (57)

Pesaran, Mohammad (26)

Watson, Mark (23)

Phillips, Peter (20)

Kozicki, Sharon (19)

Anderson, Heather (18)

Campbell, John (18)

Sims, Christopher (18)

Bollerslev, Tim (17)

Diebold, Francis (17)

Lütkepohl, Helmut (16)

Main data


Where Farshid Vahid has published?


Journals with more than one article published# docs
Journal of Econometrics7
Journal of Applied Econometrics5
International Journal of Forecasting3
Games and Economic Behavior2
Journal of Business & Economic Statistics2
The Economic Record2
Journal of Applied Econometrics2
Economic Modelling2
Economics Letters2

Working Papers Series with more than one paper published# docs
Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics29
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 (2024 and 2023)


YearTitle of citing document
2023Trends in Temperature Data: Micro-foundations of Their Nature. (2023). Ramos, Andrey ; Gonzalo, Jesus ; Gadea, Maria Dolores. In: Papers. RePEc:arx:papers:2312.06379.

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2023Predicting Recessions in (almost) Real Time in a Big-data Setting. (2023). Gaglianone, Wagner ; Fialho, Artur Brasil ; Issler, Joo Victor ; Teixeira, Osmani ; Cavalcanti, Pedro ; Bonnet, Alexandre. In: Working Papers Series. RePEc:bcb:wpaper:587.

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2023Heterogeneous predictive association of CO2 with global warming. (2023). Ramos, Andrey ; Gonzalo, Jesus ; Dolado, Juan J ; Chen, Liang. In: Economica. RePEc:bla:econom:v:90:y:2023:i:360:p:1397-1421.

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2023.

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2023Diagnosing housing fever with an econometric thermometer. (2023). Phillips, Peter ; Shi, Shuping. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:1:p:159-186.

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2023Seemingly Unrelated Regression Estimation for VAR Models with Explosive Roots. (2023). Li, Qiyuan ; Chen, YE. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:85:y:2023:i:4:p:910-937.

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2023Parameter least-squares estimation for time-inhomogeneous Ornstein–Uhlenbeck process. (2023). Getut, Pramesti. In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:29:y:2023:i:1:p:1-32:n:5.

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2023Heterogeneous Predictive Association of CO2 with Global Warming. (2023). Ramos, Andrey David ; Muoz, Jesus Gonzalo ; Dolado, Juan Jose ; Chen, Liang. In: UC3M Working papers. Economics. RePEc:cte:werepe:36451.

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2023Trends in temperature data: micro-foundations of their nature. (2023). Ramos, Andrey ; Gonzalo, Jesus ; Gadea, Maria Dolores. In: UC3M Working papers. Economics. RePEc:cte:werepe:39045.

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2023Forecasting dividend growth: The role of adjusted earnings yield. (2023). Li, Luyang ; Chen, LI ; Huang, Difang ; Yu, Deshui. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322004254.

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2023The role of uncertainty in forecasting volatility comovements across stock markets. (2023). Palomba, Giulio ; Rossi, Eduardo ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001219.

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2023Building optimal regime-switching portfolios. (2023). Bucci, Andrea ; Ciciretti, Vito. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001723.

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2023Private health insurance consumption and public health-care provision in OECD countries: Impact of culture, finance, and the pandemic. (2023). Ho, Nhut Quang ; Chao, Chi-Chur ; Trinh, Cong Tam. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s106294082200184x.

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2023We modeled long memory with just one lag!. (2023). Chevillon, Guillaume ; Bauwens, Luc ; Laurent, Sebastien. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001616.

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2023Stock return predictability and cyclical movements in valuation ratios. (2023). Chen, LI ; Huang, Difang ; Yu, Deshui. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:36-53.

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2023Estimating the effect of an EU-ETS type scheme in Australia using a synthetic treatment approach. (2023). GAO, Jiti ; Anderson, Heather ; Wei, Wei ; Vahid, Farshid ; Turnip, Guido. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323002967.

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2023Incorporating air temperature into mid-term electricity load forecasting models using time-series regressions and neural networks. (2023). Ravazzolo, Francesco ; Fezzi, Carlo ; Behmiri, Niaz Bashiri. In: Energy. RePEc:eee:energy:v:278:y:2023:i:c:s0360544223012252.

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2023Application of physical model-based machine learning to the temperature prediction of electronic device in oil-gas exploration logging. (2023). Xu, Dongwei ; Ding, Siqi ; Deng, Chao ; Peng, Jiale ; Wei, Fulong ; Wan, Zijing ; Luo, Xiaobing. In: Energy. RePEc:eee:energy:v:282:y:2023:i:c:s0360544223023678.

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2023Estimation of a dynamic multi-level factor model with possible long-range dependence. (2023). Rodriguez-Caballero, Vladimir C ; Ergemen, Yunus Emre. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:405-430.

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2023The (alleged) environmental and social benefits of dynamic pricing. (2023). Lamarche, Carlos ; Kettler, Kyle ; Harding, Matthew. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:205:y:2023:i:c:p:574-593.

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2023An empirical analysis on adoption of precision agricultural techniques among farmers of Punjab for efficient land administration. (2023). Kaur, Sanmeet ; Khanna, Abhishek. In: Land Use Policy. RePEc:eee:lauspo:v:126:y:2023:i:c:s0264837722005609.

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2023Detecting Common Bubbles in Multivariate Mixed Causal–Noncausal Models. (2023). Hecq, Alain ; Cubadda, Gianluca ; Voisin, Elisa. In: Econometrics. RePEc:gam:jecnmx:v:11:y:2023:i:1:p:9-:d:1092261.

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2023Forecasting Day-Ahead Electricity Prices for the Italian Electricity Market Using a New Decomposition—Combination Technique. (2023). Lopez-Gonzales, Javier Linkolk ; Rodrigues, Paulo Canas ; Turpo-Chaparro, Josue E ; Iftikhar, Hasnain. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:18:p:6669-:d:1241859.

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2023Day-Ahead Electricity Demand Forecasting Using a Novel Decomposition Combination Method. (2023). Lopez-Gonzales, Javier Linkolk ; Rodrigues, Paulo Canas ; Turpo-Chaparro, Josue E ; Iftikhar, Hasnain. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:18:p:6675-:d:1242158.

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2023Factors in Learning Dynamics Influencing Relative Strengths of Strategies in Poker Simulation. (2023). Addleman, Nikhil ; Gooyabadi, Maryam ; Foote, Aaron. In: Games. RePEc:gam:jgames:v:14:y:2023:i:6:p:73-:d:1290608.

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2023.

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2023Sentiment-based indicators of real estate market stress and systemic risk: international evidence. (2023). Shchepeleva, Maria ; Stolbov, Mikhail. In: Annals of Finance. RePEc:kap:annfin:v:19:y:2023:i:3:d:10.1007_s10436-023-00429-y.

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2023Penalized Averaging of Quantile Forecasts from GARCH Models with Many Exogenous Predictors. (2023). Gooijer, Jan G. ; de Gooijer, Jan G. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:1:d:10.1007_s10614-022-10289-9.

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2023Detecting Common Bubbles in Multivariate Mixed Causal-noncausal Models. (2023). Hecq, Alain ; Cubadda, Gianluca ; Voisin, Elisa. In: CEIS Research Paper. RePEc:rtv:ceisrp:555.

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2023The Vector Error Correction Index Model: Representation, Estimation and Identification. (2023). Cubadda, Gianluca ; Mazzali, Marco. In: CEIS Research Paper. RePEc:rtv:ceisrp:556.

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2023How does real estate market react to the iron ore boom in Australian capital cities?. (2023). Su, Chi-Wei ; Li, Zheng Zheng. In: The Annals of Regional Science. RePEc:spr:anresc:v:71:y:2023:i:2:d:10.1007_s00168-022-01179-x.

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2023Out- Of- Pocket health expenditure and household consumption patterns in Benin: Is there a crowding out effect?. (2023). Senou, Melain Modeste ; Celestin, Venant Cossi ; Houeninvo, Hilaire Gbodja. In: Health Economics Review. RePEc:spr:hecrev:v:13:y:2023:i:1:d:10.1186_s13561-023-00429-8.

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2023Non-linear structures, chaos, and bubbles in U.S. regional housing markets. (2023). Bui, Thuy ; Emekter, Riza ; Jirasakuldech, Benjamas. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:47:y:2023:i:1:d:10.1007_s12197-022-09598-4.

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2023Real?time forecasting of the Australian macroeconomy using flexible Bayesian VARs. (2023). Zhang, BO ; Nguyen, Bao ; Hou, Chenghan. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:2:p:418-451.

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2023.

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2023Towards seasonal adjustment of infra-monthly time series with JDemetra+. (2023). Smyk, Anna ; Webel, Karsten. In: Discussion Papers. RePEc:zbw:bubdps:242023.

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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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paper38
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 nother version. Agregated cites: 38
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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paper2
2011Global Temperature Trends.(2011) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has nother version. Agregated cites: 2
paper
2010Do Jumps Matter? Forecasting Multivariate Realized Volatility Allowing for Common Jumps In: ANU Working Papers in Economics and Econometrics.
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paper11
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 nother version. Agregated cites: 11
paper
2010Model selection, Estimation and Forecasting in VAR Models with Short-run and Long-run Restrictions. In: Working Papers Series.
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paper36
2011Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions.(2011) In: Journal of Econometrics.
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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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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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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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paper
2008VARMA versus VAR for Macroeconomic Forecasting In: Journal of Business & Economic Statistics.
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article38
2006VARMA versus VAR for Macroeconomic Forecasting.(2006) In: Monash Econometrics and Business Statistics Working Papers.
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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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paper
2020Sectoral Employment Dynamics in Australia and the COVID?19 Pandemic In: Australian Economic Review.
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article0
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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article24
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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article35
2008A complete VARMA modelling methodology based on scalar components In: Journal of Time Series Analysis.
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article18
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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article3
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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article44
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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article22
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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paper1
2011Financial integration and the construction of historical financial data for the Euro Area In: Economic Modelling.
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article11
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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2019The global effects of productivity gains in Asian emerging economies In: Economic Modelling.
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article1
2017On weak identification in structural VARMA models In: Economics Letters.
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article0
1998On the pooling of cross-sectional and time-series data in the presence of heteroskedasticity In: Economics Letters.
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article2
2002The importance of common cyclical features in VAR analysis: a Monte-Carlo study In: Journal of Econometrics.
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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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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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2006Common features In: Journal of Econometrics.
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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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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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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).
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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).
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This paper has nother version. Agregated cites: 43
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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).
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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.
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2022Global temperatures and greenhouse gases: A common features approach In: Journal of Econometrics.
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2019Global Temperatures and Greenhouse Gases: A Common Features Approach.(2019) In: Monash Econometrics and Business Statistics Working Papers.
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2019Global temperatures and greenhouse gases - a common features approach.(2019) In: Working Papers.
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1997Codependent cycles In: Journal of Econometrics.
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article83
1998Testing multiple equation systems for common nonlinear components In: Journal of Econometrics.
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article81
2008Forecasting time series with multiple seasonal patterns In: European Journal of Operational Research.
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article44
2015Asymmetric pricing of diesel at its source In: Energy Economics.
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article10
1999Payoff Assessments without Probabilities: A Simple Dynamic Model of Choice In: Games and Economic Behavior.
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article70
2001Predicting How People Play Games: A Simple Dynamic Model of Choice In: Games and Economic Behavior.
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article42
1999Predicting how People Play Games: a Simple Dynamic Model of Choice..(1999) In: Monash Econometrics and Business Statistics Working Papers.
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1997Shorte-run forecasts of electricity loads and peaks In: International Journal of Forecasting.
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article105
2019Macroeconomic forecasting for Australia using a large number of predictors In: International Journal of Forecasting.
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2017Macroeconomic forecasting for Australia using a large number of predictors.(2017) In: Monash Econometrics and Business Statistics Working Papers.
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2023Multi-population mortality projection: The augmented common factor model with structural breaks In: International Journal of Forecasting.
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2001Common cycles and the importance of transitory shocks to macroeconomic aggregates In: Journal of Monetary Economics.
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article105
2012Testing financial contagion on heteroskedastic asset returns in time-varying conditional correlation In: Pacific-Basin Finance Journal.
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article9
2007Necessity of negative serial correlation for mean-reversion of stock prices In: The Quarterly Review of Economics and Finance.
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article2
2006Nonlinear autoregressive leading indicator models of output in G-7 countries In: CAMA Working Papers.
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2007Nonlinear autoregressive leading indicator models of output in G-7 countries.(2007) In: Journal of Applied Econometrics.
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2002Nonlinear Autoregresssive Leading Indicator Models of Output in G-7 Countries.(2002) In: Monash Econometrics and Business Statistics Working Papers.
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2007CONSTRUCTING HISTORICAL EURO AREA DATA In: CAMA Working Papers.
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2007Constructing Historical Euro Area Data.(2007) In: Money Macro and Finance (MMF) Research Group Conference 2006.
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2017The Australian Macro Database: An online resource for macroeconomic research in Australia In: CAMA Working Papers.
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2017The Australian Macro Database: An online resource for macroeconomic research in Australia.(2017) In: Monash Econometrics and Business Statistics Working Papers.
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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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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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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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article4
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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2006The effect of household characteristics on living standards in South Africa 1993–1998: a quantile regression analysis with sample attrition.(2006) In: Journal of Applied Econometrics.
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1993Common Trends and Common Cycles. In: Journal of Applied Econometrics.
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article302
1999Does International Trade Synchronize Business Cycles? In: Monash Econometrics and Business Statistics Working Papers.
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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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2005Forecasting Time-Series with Correlated Seasonality In: Monash Econometrics and Business Statistics Working Papers.
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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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2012Two Canonical VARMA Forms: Scalar Component Models Vis-à-Vis the Echelon Form.(2012) In: Econometric Reviews.
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2010VARs, Cointegration and Common Cycle Restrictions In: Monash Econometrics and Business Statistics Working Papers.
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2013Common non-linearities in multiple series of stock market volatility In: Monash Econometrics and Business Statistics Working Papers.
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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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2014The Effects of Productivity Gains in Asian Emerging Economies: A Global Perspective In: Monash Econometrics and Business Statistics Working Papers.
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2016Bayesian Rank Selection in Multivariate Regression In: Monash Econometrics and Business Statistics Working Papers.
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2022Estimating the Effect of an EU-ETS Type Scheme in Australia Using a Synthetic Treatment Approach In: Monash Econometrics and Business Statistics Working Papers.
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2014VAR(MA), what is it good for? more bad news for reduced-form estimation and inference In: Working Papers.
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