12
H index
15
i10 index
1524
Citations
Monash University | 12 H index 15 i10 index 1524 Citations RESEARCH PRODUCTION: 29 Articles 37 Papers 3 Chapters EDITOR: Series edited RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Heather M. Anderson. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Applied Econometrics | 4 |
Journal of Econometrics | 3 |
Journal of Economic Dynamics and Control | 2 |
Oxford Bulletin of Economics and Statistics | 2 |
Journal of Banking & Finance | 2 |
Economics Letters | 2 |
Economic Modelling | 2 |
Working Papers Series with more than one paper published | # docs |
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Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics | 23 |
Econometric Society 2004 Australasian Meetings / Econometric Society | 2 |
Year | Title of citing document |
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2021 | Long and short memory in dynamic term structure models. (2021). Huseynov, Salman. In: CREATES Research Papers. RePEc:aah:create:2021-15. Full description at Econpapers || Download paper |
2021 | Dating business cycles in France: A reference chronology. (2021). DIEBOLT, Claude ; Pionnier, Pierre-Alain ; Mignon, Valrie ; Heyer, Eric ; Ferrara, Laurent ; Doz, Catherine ; BEC, Frdrique ; Aviat, Antonin. In: Working Papers. RePEc:afc:wpaper:08-21. Full description at Econpapers || Download paper |
2021 | TESTING THE WEAK FORM EFFICIENCY OF THE FRENCH ETF MARKET WITH LSTAR-ANLSTGARCH APPROACH USING A SEMIPARAMETRIC ESTIMATION. (2021). DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:09-21. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2021 | Macroeconomic Data Transformations Matter. (2020). Stevanovic, Dalibor ; Surprenant, St'Ephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.01714. Full description at Econpapers || Download paper |
2021 | Machine Learning Advances for Time Series Forecasting. (2020). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Papers. RePEc:arx:papers:2012.12802. Full description at Econpapers || Download paper |
2022 | Predictive Quantile Regression with Mixed Roots and Increasing Dimensions. (2021). Shin, Youngki ; Lee, Ji Hyung ; Fan, Rui. In: Papers. RePEc:arx:papers:2101.11568. Full description at Econpapers || Download paper |
2021 | Multiple-index Nonstationary Time Series Models: Robust Estimation Theory and Practice. (2021). Peng, Bin ; Gao, Jiti ; Dong, Chaohua ; Tu, Yundong. In: Papers. RePEc:arx:papers:2111.02023. Full description at Econpapers || Download paper |
2022 | A restricted eigenvalue condition for unit-root non-stationary data. (2022). Wijler, Etienne. In: Papers. RePEc:arx:papers:2208.12990. Full description at Econpapers || Download paper |
2022 | On LASSO for High Dimensional Predictive Regression. (2022). Shi, Zhentao ; Mei, Ziwei. In: Papers. RePEc:arx:papers:2212.07052. Full description at Econpapers || Download paper |
2022 | A smooth transition autoregressive model for matrix-variate time series. (2022). Bucci, Andrea. In: Papers. RePEc:arx:papers:2212.08615. Full description at Econpapers || Download paper |
2023 | Robust M-Estimation for Additive Single-Index Cointegrating Time Series Models. (2023). GAO, Jiti ; Peng, Bin ; Tu, Yundong ; Dong, Chaohua. In: Papers. RePEc:arx:papers:2301.06631. Full description at Econpapers || Download paper |
2021 | . Full description at Econpapers || Download paper |
2021 | Debt-Secular Economic Changes and Bond Yields. (2021). Fontaine, Jean-Sebastien ; Feunou, Bruno. In: Staff Working Papers. RePEc:bca:bocawp:21-14. Full description at Econpapers || Download paper |
2021 | Nonlinear relationships between inflation, output growth and uncertainty in India: New evidence from a bivariate threshold model. (2021). Kundu, Srikanta ; Sarkar, Kaustav Kanti ; Chowdhury, Kushal Banik. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:73:y:2021:i:3:p:469-493. Full description at Econpapers || Download paper |
2023 | Longevity, Fertility, and the Real Exchange Rate. (2023). Zhang, Jing ; Zhou, Zhihao ; Liu, Xiaohui. In: China & World Economy. RePEc:bla:chinae:v:31:y:2023:i:2:p:26-57. Full description at Econpapers || Download paper |
2022 | What goes up must come down: Theory and model specification of threshold dynamics. (2022). Philips, Andrew Q ; Paul, Hannah L. In: Social Science Quarterly. RePEc:bla:socsci:v:103:y:2022:i:5:p:1273-1289. Full description at Econpapers || Download paper |
2021 | Testing the asymmetric effects of exchange rate pass?through in BRICS countries: Does the state of the economy matter?. (2021). Wohar, Mark ; USMAN, OJONUGWA ; Roubaud, David ; Balcilar, Mehmet. In: The World Economy. RePEc:bla:worlde:v:44:y:2021:i:1:p:188-233. Full description at Econpapers || Download paper |
2021 | The Behavior of Divorce Rates: A Smooth Transition Regression Approach. (2021). Korhonen, Marko ; Marko, Korhonen ; Mikko, Puhakka. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:13:y:2021:i:1:p:1-19:n:2. Full description at Econpapers || Download paper |
2021 | Dating business cycles in France: A reference chronology. (2021). Mignon, Valérie ; Ferrara, Laurent ; DIEBOLT, Claude ; Bec, Frédérique ; Pionnier, Pierre-Alain ; Heyer, Eric ; Ferrand, Denis ; Doz, Catherine ; Aviat, Antonin. In: EconomiX Working Papers. RePEc:drm:wpaper:2021-23. Full description at Econpapers || Download paper |
2022 | A neural network ensemble approach for GDP forecasting. (2022). Rungi, Armando ; Riccaboni, Massimo ; Longo, Luigi. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:134:y:2022:i:c:s016518892100213x. Full description at Econpapers || Download paper |
2022 | Does the bid–ask spread affect trading in exchange operated dark pools? Evidence from a natural experiment. (2022). Tian, Xiao Jason ; Kalev, Petko S ; Duong, Huu Nhan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:139:y:2022:i:c:s0165188922001415. Full description at Econpapers || Download paper |
2021 | Asymmetric effects of monetary policy and output shocks on the real estate market in China. (2021). Pan, Fanghui ; Zhang, Xiaoyu. In: Economic Modelling. RePEc:eee:ecmode:v:103:y:2021:i:c:s0264999321001899. Full description at Econpapers || Download paper |
2022 | On the behavior of Okuns law across business cycles. (2022). Donayre, Luiggi. In: Economic Modelling. RePEc:eee:ecmode:v:112:y:2022:i:c:s0264999322001043. Full description at Econpapers || Download paper |
2023 | The 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. Full description at Econpapers || Download paper |
2021 | Is 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. Full description at Econpapers || Download paper |
2023 | Building 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. Full description at Econpapers || Download paper |
2021 | Predicting 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. Full description at Econpapers || Download paper |
2022 | On LASSO for predictive regression. (2022). Shi, Zhentao ; Gao, Zhan ; Lee, Ji Hyung. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:2:p:322-349. Full description at Econpapers || Download paper |
2022 | Global temperatures and greenhouse gases: A common features approach. (2022). Vahid, Farshid ; Gao, Jiti ; Chen, LI. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:2:p:240-254. Full description at Econpapers || Download paper |
2022 | Excess shocks can limit the economic interpretation. (2022). Robinson, Tim ; pagan, adrian. In: European Economic Review. RePEc:eee:eecrev:v:145:y:2022:i:c:s0014292122000599. Full description at Econpapers || Download paper |
2021 | Asymmetric responses of consumer spending to energy prices: A threshold VAR approach. (2021). Knotek, Edward ; Zaman, Saeed. In: Energy Economics. RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988321000323. Full description at Econpapers || Download paper |
2021 | Moving out of the linear rut: A period-specific and regime-dependent exchange rate and oil price pass-through in the BRICS countries. (2021). USMAN, OJONUGWA ; Balcilar, Mehmet ; Wohar, Mark E ; Roubaud, David. In: Energy Economics. RePEc:eee:eneeco:v:98:y:2021:i:c:s0140988321001547. Full description at Econpapers || Download paper |
2021 | Herding and market volatility. (2021). Liu, Xiaoquan ; Fei, Tianlun. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s105752192100209x. Full description at Econpapers || Download paper |
2021 | Stock markets and the COVID-19 fractal contagion effects. (2021). Lin, Boqiang ; Okorie, David Iheke. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320305638. Full description at Econpapers || Download paper |
2022 | Tracking safe haven properties of cryptocurrencies during the COVID-19 pandemic: A smooth transition approach. (2022). Nefzi, Nourhaine ; Melki, Abir. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321002993. Full description at Econpapers || Download paper |
2021 | Macroeconomic data transformations matter. (2021). Stevanovic, Dalibor ; Surprenant, Stephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1338-1354. Full description at Econpapers || Download paper |
2022 | Forecasting: theory and practice. (2022). Shang, Han Lin ; Rubaszek, Michał ; Martinez, Andrew ; Grossi, Luigi ; Franses, Philip Hans ; Fiszeder, Piotr ; Clements, Michael ; Castle, Jennifer ; Carnevale, Claudio ; Kolassa, Stephan ; Thorarinsdottir, Thordis ; Guo, Xiaojia ; Reade, James J ; Petropoulos, Fotios ; Nikolopoulos, Konstantinos ; Koehler, Anne B ; Thomakos, Dimitrios ; Browell, Jethro ; Rapach, David E ; Modis, Theodore ; Kang, Yanfei ; Tashman, Len ; Boylan, John E ; Gunter, Ulrich ; Ramos, Patricia ; Ellison, Joanne ; Meeran, Sheik ; Richmond, Victor ; Talagala, Thiyanga S ; Bijak, Jakub ; Guidolin, Massimo ; Pinson, Pierre ; Dokumentov, Alexander ; Jeon, Jooyoung ; Bessa, Ricardo J ; Pedregal, Diego J ; de Baets, Shari ; Ziel, Florian ; Syntetos, Aris A ; Bergmeir, Christoph |
2021 | Modeling persistent interest rates with double-autoregressive processes. (2021). Hansen, Anne Lundgaard. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002545. Full description at Econpapers || Download paper |
2022 | Do collective emotions drive bitcoin volatility? A triple regime-switching vector approach. (2022). JAWADI, Fredj ; Rozin, Philippe ; Bourghelle, David. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:196:y:2022:i:c:p:294-306. Full description at Econpapers || Download paper |
2021 | Are 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. Full description at Econpapers || Download paper |
2021 | Stock 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. Full description at Econpapers || Download paper |
2021 | The impact of the term spread in US monetary policy from 1870 to 2013. (2021). Iglesias, Jesus ; Golpe, Antonio A ; Vides, Jose Carlos. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:43:y:2021:i:1:p:230-251. Full description at Econpapers || Download paper |
2021 | Exploring the dynamic relationship between Bitcoin and commodities: New insights through STECM model. (2021). Regaieg, Rym ; Bejaoui, Azza ; Mgadmi, Nidhal ; Moussa, Wajdi. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721004256. Full description at Econpapers || Download paper |
2021 | Nonlinearity in stock returns: Do risk aversion, investor sentiment and, monetary policy shocks matter?. (2021). Slim, Skander ; Boughrara, Adel ; Dahmene, Meriam. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:676-699. Full description at Econpapers || Download paper |
2021 | An investigation of semantic similarity in PBOC’s communication on RMB volatility. (2021). Pang, Xin ; Miao, Shan ; Guo, Yumei. In: International Review of Economics & Finance. RePEc:eee:reveco:v:75:y:2021:i:c:p:441-455. Full description at Econpapers || Download paper |
2021 | The reinvestment risk premium in the valuation of British and Russian government bonds. (2021). Rodina, Victoria A ; Teplova, Tamara V. In: Research in International Business and Finance. RePEc:eee:riibaf:v:55:y:2021:i:c:s0275531919307718. Full description at Econpapers || Download paper |
2022 | Artificial intelligence and unemployment:An international evidence. (2022). Vo, Duc Hong ; Nguyen, Quoc Phu. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:63:y:2022:i:c:p:40-55. Full description at Econpapers || Download paper |
2021 | Dating business cycles in France:A reference chronology. (2021). DIEBOLT, Claude ; Bec, Frédérique ; Pionnier, Pierre-Alain ; Mignon, Valerie ; Heyer, Eric ; Ferrara, Laurent ; Ferrand, Denis ; Doz, Catherine ; Aviat, Antonin. In: THEMA Working Papers. RePEc:ema:worpap:2021-15. Full description at Econpapers || Download paper |
2021 | Public Debt Thresholds: An Analysis for Cyprus. (2021). Savva, Christos S ; Michail, Nektarios A. In: Cyprus Economic Policy Review. RePEc:erc:cypepr:v:15:y:2021:i:1:p:75-85. Full description at Econpapers || Download paper |
2022 | Flexible Average Inflation Targeting: How Much Is U.S. Monetary Policy Changing?. (2022). Martinez-Garcia, Enrique ; Duncan, Roberto ; Coulter, Jarod. In: Globalization Institute Working Papers. RePEc:fip:feddgw:94541. Full description at Econpapers || Download paper |
2023 | The Effects of Volatility on Liquidity in the Treasury Market. (2023). Sokolinskiy, Oleg ; Meldrum, Andrew C. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2023-28. Full description at Econpapers || Download paper |
2022 | A Conversation with Søren Johansen. (2022). Paruolo, Paolo ; Mosconi, Rocco. In: Econometrics. RePEc:gam:jecnmx:v:10:y:2022:i:2:p:21-:d:793005. Full description at Econpapers || Download paper |
2022 | The Effect of Index Option Trading on Stock Market Volatility in China: An Empirical Investigation. (2022). Wu, Kai ; Liu, YI ; Feng, Weiyang. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:4:p:150-:d:778684. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Nonlinear Effects of Eco-Industrial Parks on Sulfur Dioxide and Carbon Dioxide Emissions—Estimation Based on Nonlinear DID. (2023). Dai, Yue ; Zhu, Yuanyuan ; Cao, Kairui ; Xu, Qunfang. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:3:p:1988-:d:1042264. Full description at Econpapers || Download paper |
2022 | Testing the weak form efficiency of the French ETF market with the LSTAR-ANLSTGARCH approach using a semiparametric estimation. (2022). Diebolt, Claude ; Chikhi, Mohamed. In: Post-Print. RePEc:hal:journl:hal-03778331. Full description at Econpapers || Download paper |
2021 | . Full description at Econpapers || Download paper |
2021 | Dating business cycles in France: a reference chronology. (2021). DIEBOLT, Claude ; Aviat, Antonin ; Pionnier, Pierre-Alain ; Mignon, Valerie ; Heyer, Eric ; Ferrara, Laurent ; Ferrand, Denis ; Doz, Catherine ; Bec, Frederique. In: Working Papers. RePEc:hal:wpaper:hal-03373425. Full description at Econpapers || Download paper |
2022 | Investment dynamics in Central and Eastern Europe: Why doesn’t the sun always rise from the east?. (2022). Cuestas, Juan ; Mourelle, Estefania. In: Working Papers. RePEc:jau:wpaper:2022/02. Full description at Econpapers || Download paper |
2022 | Testing the weak form efficiency of the French ETF market with the LSTAR-ANLSTGARCH approach using a semiparametric estimation. (2022). Diebolt, Claude ; Chikhi, Mohamed. In: Eastern Journal of European Studies. RePEc:jes:journl:y:2022:v:13:p:228-253. Full description at Econpapers || Download paper |
2022 | Exchange Rate Regimes and Business Cycle Synchronization. (2022). Knaze, Jakub ; Hou, Jia. In: Open Economies Review. RePEc:kap:openec:v:33:y:2022:i:3:d:10.1007_s11079-021-09648-0. Full description at Econpapers || Download paper |
2022 | Procyclical volatility in Chinese stock markets. (2022). Liu, Xiaoquan ; Jiang, Ying ; Fei, Tianlun ; Deschamps, Bruno. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:58:y:2022:i:3:d:10.1007_s11156-021-01020-0. Full description at Econpapers || Download paper |
2021 | Multiple-index Nonstationary Time Series Models: Robust Estimation Theory and Practice. (2021). Peng, Bin ; Tu, Yundong ; Gao, Jiti ; Dong, Chaohua. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2021-18. Full description at Econpapers || Download paper |
2023 | Robust M-Estimation for Additive Single-Index Cointegrating Time Series Models. (2023). Tu, Yundong ; Peng, Bin ; Gao, Jiti ; Dong, Chaohua. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2023-2. Full description at Econpapers || Download paper |
2021 | Alternative investment funds – the evaluation of managers’ abilities in the light of the amendments to the Act on Investment Fund. (2021). Mocibrodzka, Monika. In: Bank i Kredyt. RePEc:nbp:nbpbik:v:52:y:2021:i:6:p:517-544. Full description at Econpapers || Download paper |
2021 | Energy prices forecasting using nonlinear univariate models. (2021). Karolak, Zuzanna. In: Bank i Kredyt. RePEc:nbp:nbpbik:v:52:y:2021:i:6:p:577-598. Full description at Econpapers || Download paper |
2022 | Is the ESG portfolio less turbulent than a market benchmark portfolio?. (2022). Ouchen, Abdessamad. In: Risk Management. RePEc:pal:risman:v:24:y:2022:i:1:d:10.1057_s41283-021-00077-4. Full description at Econpapers || Download paper |
2023 | The mean reversion/persistence of financial cycles: Empirical evidence for 24 countries worldwide. (2023). Skare, Marinko ; Qin, Yong ; Fan, Xuecheng ; Xu, Zeshui ; Lv, Shengnan. In: Equilibrium. Quarterly Journal of Economics and Economic Policy. RePEc:pes:ierequ:v:18:y:2023:i:1:p:11-47. Full description at Econpapers || Download paper |
2023 | Forecasting House Prices: The Role of Fundamentals, Credit Conditions, and Supply Indicators. (2023). Kishor, Kundan N. In: MPRA Paper. RePEc:pra:mprapa:116819. Full description at Econpapers || Download paper |
2023 | Estimating and Testing for Functional Coefficient Quantile Cointegrating Regression. (2023). Zheng, Chaowen ; Zhang, Jing ; Li, Haiqi. In: Economics Discussion Papers. RePEc:rdg:emxxdp:em-dp2023-07. Full description at Econpapers || Download paper |
2021 | Have Business Cycles Become More Synchronous After NAFTA?. (2021). Vatsa, Puneet. In: American Business Review. RePEc:ris:ambsrv:0026. Full description at Econpapers || Download paper |
2021 | Investigating the Dynamics of Exchange Traded Funds Across the Bear and Bull Markets: Evidence from Indian Equity ETFs. (2021). Seth, Sidharath ; Singh, Jaspal ; Kaur, Prabhdeep. In: Vision. RePEc:sae:vision:v:25:y:2021:i:3:p:350-360. Full description at Econpapers || Download paper |
2021 | The robustness of forecast combination in unstable environments: a Monte Carlo study of advanced algorithms. (2021). Zhao, Yongchen. In: Empirical Economics. RePEc:spr:empeco:v:61:y:2021:i:1:d:10.1007_s00181-020-01864-w. Full description at Econpapers || Download paper |
2022 | Using structural break inference for forecasting time series. (2022). Osborn, Denise R ; Altansukh, Gantungalag. In: Empirical Economics. RePEc:spr:empeco:v:63:y:2022:i:1:d:10.1007_s00181-021-02137-w. Full description at Econpapers || Download paper |
2022 | Nonlinear responses of consumption to wealth, income, and interest rate shocks. (2022). Coskun, Esra Alp ; Apergis, Nicholas. In: Empirical Economics. RePEc:spr:empeco:v:63:y:2022:i:3:d:10.1007_s00181-021-02171-8. Full description at Econpapers || Download paper |
2023 | Liquidity and realized covariance forecasting: a hybrid method with model uncertainty. (2023). Li, Weiping ; Ma, Feng ; Cao, Yangli ; Qiao, Gaoxiu. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:1:d:10.1007_s00181-022-02248-y. Full description at Econpapers || Download paper |
2023 | Identification of causal relationships in non-stationary time series with an information measure: Evidence for simulated and financial data. (2023). Diks, Cees ; Kugiumtzis, Dimitris ; Kyrtsou, Catherine ; Papana, Angeliki. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:3:d:10.1007_s00181-022-02275-9. Full description at Econpapers || Download paper |
2023 | Markov chains, eigenvalues and the stability of economic growth processes. (2023). Delbianco, Fernando ; Tohme, Fernando ; Fioriti, Andres. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:3:d:10.1007_s00181-022-02276-8. Full description at Econpapers || Download paper |
2022 | Markov Switching-Vector AutoRegression Model Analysis of the Economic and Growth Cycles in Tunisia and Its Main European Partners. (2022). Helali, Kamel. In: Journal of the Knowledge Economy. RePEc:spr:jknowl:v:13:y:2022:i:1:d:10.1007_s13132-021-00740-x. Full description at Econpapers || Download paper |
2021 | Does the Tunisian Central Bank follow an augmented nonlinear Taylor rule?. (2021). Bejaoui, Azza ; Moussa, Wajdi ; Chaouachi, Slim ; Mgadmi, Nidhal. In: SN Business & Economics. RePEc:spr:snbeco:v:1:y:2021:i:1:d:10.1007_s43546-020-00032-7. Full description at Econpapers || Download paper |
2021 | Nonlinear Interactions and Volatility Spillovers between Stock and Foreign Exchange Markets: The STVEC-STGARCH-DCC Approach. (2021). Cho, Po-Hung Luo ; Hung, Pi-Hsia ; Liu, Hsiang-Hsi. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:11:y:2021:i:4:f:11_4_3. Full description at Econpapers || Download paper |
2021 | Dating business cycles in France: A reference chronology.. (2021). DIEBOLT, Claude ; Pionnier, Pierre-Alain ; Mignon, Valerie ; Heyer, Eric ; Ferrara, Laurent ; Ferrand, Denis ; Doz, Catherine ; Bec, Frederique ; Aviat, Antonin. In: Working Papers of BETA. RePEc:ulp:sbbeta:2021-33. Full description at Econpapers || Download paper |
2021 | TESTING THE WEAK FORM EFFICIENCY OF THE FRENCH ETF MARKET WITH LSTAR-ANLSTGARCH APPROACH USING A SEMIPARAMETRIC ESTIMATION.. (2021). DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers of BETA. RePEc:ulp:sbbeta:2021-36. Full description at Econpapers || Download paper |
2021 | MULTIMODALITY IN MACROFINANCIAL DYNAMICS. (2021). Giannone, Domenico ; Boyarchenko, Nina ; Adrian, Tobias. In: International Economic Review. RePEc:wly:iecrev:v:62:y:2021:i:2:p:861-886. Full description at Econpapers || Download paper |
2021 | Testing and comparing conditional risk?return relationship with a new approach in the cross?sectional framework. (2021). Alexandridis, Antonis ; Messis, Petros ; Zapranis, Achilleas. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:218-240. Full description at Econpapers || Download paper |
2021 | Regime switches and permanent changes in impacts of housing risk factors on MSA?level housing returns. (2021). Huang, Meichi. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:310-342. Full description at Econpapers || Download paper |
2022 | Is the relationship between corruption, government stability and non?performing loans non?linear? A threshold analysis for the MENA region. (2022). Boussaada, Rim ; Hakimi, Abdelaziz ; Karmani, Majdi. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:4:p:4383-4398. Full description at Econpapers || Download paper |
2022 | Time?varying roles of housing risk factors in state?level housing markets. (2022). Huang, Meichi. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:4:p:4660-4683. Full description at Econpapers || Download paper |
2021 | The pricing mechanism between ETF option and spot markets in China. (2021). Ying, Zhiliang ; Tao, Pingping ; Liu, Qingfu ; Dong, DA. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:8:p:1286-1300. Full description at Econpapers || Download paper |
2021 | An 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. Full description at Econpapers || Download paper |
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Empirical Economics | |
Studies in Empirical Economics |
Year | Title | Type | Cited |
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2005 | Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help? In: ANU Working Papers in Economics and Econometrics. [Full Text][Citation analysis] | paper | 36 |
2007 | Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help?.(2007) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 36 | article | |
2007 | Reported Earnings and Analyst Forecasts as Competing Sources of Information: A New Approach In: ANU Working Papers in Economics and Econometrics. [Full Text][Citation analysis] | paper | 2 |
2012 | Reported earnings and analyst forecasts as competing sources of information: A new approach.(2012) In: Australian Journal of Management. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
2010 | Do Jumps Matter? Forecasting Multivariate Realized Volatility Allowing for Common Jumps In: ANU Working Papers in Economics and Econometrics. [Full Text][Citation analysis] | paper | 9 |
2010 | Do Jumps Matter? Forecasting Multivariate Realized Volatility allowing for Common Jumps.(2010) In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
2001 | Market Architecture and Nonlinear Dynamics of Australian Stock and Futures Indices In: Australian Economic Papers. [Full Text][Citation analysis] | article | 6 |
2001 | Market Architecture and Nonlinear Dynamics of Australian Stock and Future Indices..(2001) In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
2020 | Sectoral Employment Dynamics in Australia and the COVID?19 Pandemic In: Australian Economic Review. [Full Text][Citation analysis] | article | 0 |
2020 | Sectoral employment dynamics in Australia.(2020) In: CAMA Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2020 | Sectoral Employment Dynamics in Australia.(2020) In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2007 | New Introduction to Multiple Time Series Analysis ? by Helmut Lütkepohl In: The Economic Record. [Full Text][Citation analysis] | article | 0 |
1997 | Transaction Costs and Non-linear Adjustment towards Equilibrium in the US Treasury Bill Market. In: Oxford Bulletin of Economics and Statistics. [Citation analysis] | article | 138 |
2005 | Nonlinear Correlograms and Partial Autocorrelograms* In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 3 |
2003 | Nonlinear Correlograms and Partial Autocorrelograms.(2003) In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2001 | PREDICTING THE PROBABILITY OF A RECESSION WITH NONLINEAR AUTOREGRESSIVE LEADING-INDICATOR MODELS In: Macroeconomic Dynamics. [Full Text][Citation analysis] | article | 43 |
2000 | Predicting the Probability of a Recession with Nonlinear Autoregressive Leading Indicator Models..(2000) In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 43 | paper | |
2004 | A Model for Trade Frequency in the Presence of Announcements In: Econometric Society 2004 Australasian Meetings. [Citation analysis] | paper | 0 |
2004 | Single Source of Error State Space Approach to the Beveridge Nelson Decomposition In: Econometric Society 2004 Australasian Meetings. [Full Text][Citation analysis] | paper | 23 |
2006 | Single source of error state space approach to the Beveridge Nelson decomposition.(2006) In: Economics Letters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | article | |
2005 | Single source of error state space approach to the Beveridge Nelson decomposition.(2005) In: CAMA Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
2004 | Single Source of Error State Space Approach to the Beveridge Nelson Decomposition.(2004) In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
2016 | How do shocks to domestic factors affect real exchange rates of Asian developing countries? In: Journal of Development Economics. [Full Text][Citation analysis] | article | 9 |
2015 | How do Shocks to Domestic Factors Affect Real Exchange Rates of Asian Developing Countries.(2015) In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
2020 | The effects of trade size and market depth on immediate price impact in a limit order book market In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 2 |
2002 | U.S. and Canadian industrial production indices as coupled oscillators In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 12 |
2011 | Financial integration and the construction of historical financial data for the Euro Area In: Economic Modelling. [Full Text][Citation analysis] | article | 9 |
2010 | Financial Integration and the Construction of Historical Financial Data for the Euro Area.(2010) In: Centre for Growth and Business Cycle Research Discussion Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
2019 | The global effects of productivity gains in Asian emerging economies In: Economic Modelling. [Full Text][Citation analysis] | article | 1 |
1998 | On the pooling of cross-sectional and time-series data in the presence of heteroskedasticity In: Economics Letters. [Full Text][Citation analysis] | article | 1 |
2006 | Common features In: Journal of Econometrics. [Full Text][Citation analysis] | article | 7 |
2020 | High-dimensional predictive regression in the presence of cointegration In: Journal of Econometrics. [Full Text][Citation analysis] | article | 9 |
1998 | Testing multiple equation systems for common nonlinear components In: Journal of Econometrics. [Full Text][Citation analysis] | article | 89 |
2014 | Forecast combinations under structural break uncertainty In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 23 |
2014 | How does public information affect the frequency of trading in airline stocks? In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 1 |
2019 | Testing for cojumps in high-frequency financial data: An approach based on first-high-low-last prices In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 4 |
2011 | Testing for co-jumps in high-frequency financial data: an approach based on first-high-low-last prices.(2011) In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
2006 | Nonlinear autoregressive leading indicator models of output in G-7 countries In: CAMA Working Papers. [Full Text][Citation analysis] | paper | 14 |
2007 | Nonlinear autoregressive leading indicator models of output in G-7 countries.(2007) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | article | |
2002 | Nonlinear Autoregresssive Leading Indicator Models of Output in G-7 Countries.(2002) In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | paper | |
2006 | BEVERRIDGE NELSON DECOMPOSITION WITH MARKOV SWITCHING In: CAMA Working Papers. [Full Text][Citation analysis] | paper | 2 |
2006 | Beveridge-Nelson Decomposition with Markov Switching.(2006) In: Melbourne Institute Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2006 | Beveridge-Nelson Decomposition with Markov Switching.(2006) In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2007 | CONSTRUCTING HISTORICAL EURO AREA DATA In: CAMA Working Papers. [Full Text][Citation analysis] | paper | 12 |
2007 | Constructing Historical Euro Area Data.(2007) In: Money Macro and Finance (MMF) Research Group Conference 2006. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
In: . [Full Text][Citation analysis] | chapter | 2 | |
2005 | Random Walk Smooth Transition Autoregressive Models.(2005) In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
1990 | TREASURY BI;; YIELD CURVES AND COINTEGRATION. In: Australian National University - Department of Economics. [Citation analysis] | paper | 11 |
1997 | On the Correspondence between Individual and Aggregate Food Consumption Functions: Evidence from the USA and the Netherlands. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 4 |
1997 | On the Correspondence between Individual and Aggregate Food Consumption Functions: Evidence from the USA and the Netherlands: Reply. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 4 |
1992 | Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 577 |
1999 | Does International Trade Synchronize Business Cycles? In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] | paper | 22 |
2001 | Capturing the Shape of Business Cycles with Nonlinear Autoregressive Leading Indicator Models. In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] | paper | 2 |
2002 | Choosing Lag Lengths in Nonlinear Dynamic Models In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] | paper | 2 |
2003 | The Decline in Income Growth Volatility in the United States: Evidence from Regional Data In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] | paper | 5 |
2003 | Does Beta React to Market Conditions? Estimates of Bull and Bear Betas using a Nonlinear Market Model with an Endogenous Threshold Parameter In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] | paper | 25 |
2009 | Does beta react to market conditions? Estimates of bull and bear betas using a nonlinear market model with an endogenous threshold parameter.(2009) In: Quantitative Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 25 | article | |
2010 | VARs, Cointegration and Common Cycle Restrictions In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] | paper | 5 |
2011 | Forecasting Under Strucural Break Uncertainty In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] | paper | 1 |
2013 | Common non-linearities in multiple series of stock market volatility In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] | paper | 0 |
2013 | Do Policy-Related Shocks Affect Real Exchange Rates of Asian Developing Countries? In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] | paper | 3 |
2014 | The Effects of Productivity Gains in Asian Emerging Economies: A Global Perspective In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] | paper | 3 |
2017 | Robust Bayesian exponentially tilted empirical likelihood method In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | Estimating the Effect of an EU-ETS Type Scheme in Australia Using a Synthetic Treatment Approach In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] | paper | 0 |
1993 | Modeling Nonlinearity over the Business Cycle In: NBER Chapters. [Full Text][Citation analysis] | chapter | 25 |
2010 | Memoirs of A Cointegration Analysis of Treasury Bill Yields In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 0 |
2010 | Discussion of Key Elements of Global Inflation In: RBA Annual Conference Volume (Discontinued). [Full Text][Citation analysis] | chapter | 0 |
1999 | Explanations of an empirical puzzle: what can be learnt from a test of the rational expectations hypothesis? In: Journal of Economic Methodology. [Full Text][Citation analysis] | article | 1 |
1992 | A Cointegration Analysis of Treasury Bill Yields. In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 377 |
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