13
H index
17
i10 index
1574
Citations
Heather M. Anderson : Citation Profile
Monash University | RESEARCH PRODUCTION: 30 Articles 38 Papers 3 Chapters EDITOR: Series edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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33 years (1990 - 2023). Relations with other researchers
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:
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Main data
Where Heather M. Anderson has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Applied Econometrics | 4 |
| Journal of Econometrics | 3 |
| Economic Modelling | 2 |
| Journal of Banking & Finance | 2 |
| Journal of Economic Dynamics and Control | 2 |
| Oxford Bulletin of Economics and Statistics | 2 |
| Economics Letters | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics | 24 |
| Econometric Society 2004 Australasian Meetings / Econometric Society | 2 |
Recent works citing Heather M. Anderson (2025 and 2024)
Year  | Title of citing document |
|---|---|
| 2024 | 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 |
| 2024 | Identification by non-Gaussianity in structural threshold and smooth transition vector autoregressive models. (2024). Virolainen, Savi. In: Papers. RePEc:arx:papers:2404.19707. Full description at Econpapers || Download paper |
| 2024 | Smooth transition moving average models: Estimation, testing, and computation. (2024). Li, Dong ; Zhang, Xinyu. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:3:p:463-478. Full description at Econpapers || Download paper |
| 2024 | A New Approach to Forecasting the Probability of Recessions after the COVID‐19 Pandemic. (2024). Camacho, Maximo ; Ruiz, Manuel ; Ramallo, Salvador. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:86:y:2024:i:4:p:833-855. Full description at Econpapers || Download paper |
| 2024 | . Full description at Econpapers || Download paper |
| 2024 | Does exchange rate volatility affect the impact of appreciation and depreciation on the trade balance? A nonlinear bivariate approach. (2024). Bosupeng, Mpho ; Naranpanawa, Athula. In: Economic Modelling. RePEc:eee:ecmode:v:130:y:2024:i:c:s0264999323004042. Full description at Econpapers || Download paper |
| 2024 | A robust Beveridge–Nelson decomposition using a score-driven approach with an application. (2024). Koopman, S J ; Gorgi, P ; van Brummelen, J ; Blasques, F. In: Economics Letters. RePEc:eee:ecolet:v:236:y:2024:i:c:s0165176524000715. Full description at Econpapers || Download paper |
| 2024 | Semi-parametric single-index predictive regression models with cointegrated regressors. (2024). GAO, Jiti ; Zhou, Weilun ; Kew, Hsein ; Harris, David. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002932. Full description at Econpapers || Download paper |
| 2024 | On LASSO for high dimensional predictive regression. (2024). Mei, Ziwei ; Shi, Zhentao. In: Journal of Econometrics. RePEc:eee:econom:v:242:y:2024:i:2:s0304407624001556. Full description at Econpapers || Download paper |
| 2024 | Nonlinear network connectedness: Assessing financial risk transmission in MENA and influence of external financial conditions. (2024). USMAN, OJONUGWA ; Duman, Gazi Murat ; Balcilar, Mehmet. In: Emerging Markets Review. RePEc:eee:ememar:v:62:y:2024:i:c:s1566014124000815. Full description at Econpapers || Download paper |
| 2024 | Do Chinas pilot emissions trading schemes lead to domestic carbon leakage? Perspective from the firm relocation. (2024). Yu, Lihong ; Pan, Xian. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324000422. Full description at Econpapers || Download paper |
| 2024 | Sentiment and energy price volatility: A nonlinear high frequency analysis. (2024). Uddin, Gazi ; Rozin, Philippe ; Bourghelle, David ; Jawadi, Fredj ; Cheffou, Abdoulkarim Idi. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324001737. Full description at Econpapers || Download paper |
| 2024 | The link between abnormal numbers and price movements of financial securities: How does Benford’s law predict stock returns?. (2024). Belkacem, Lotfi ; ben Hamida, Amal ; de Peretti, Christian. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pc:s1057521924004496. Full description at Econpapers || Download paper |
| 2024 | Reconciling interest rates evidence with theory: Rejecting unit roots when the HD(1) is a competing alternative. (2024). Palandri, Alessandro. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:161:y:2024:i:c:s0378426624000335. Full description at Econpapers || Download paper |
| 2024 | International capital flow in a period of high inflation: The case of China. (2024). Moussa, Faten ; Liu, Zhenya ; Mu, Yuhao. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pb:s0275531923001964. Full description at Econpapers || Download paper |
| 2025 | . Full description at Econpapers || Download paper |
| 2024 | Does a meta-combining method lead to more accurate forecasts in the decision-making process?. (2024). Aras, Serkan ; Gulay, Emrah. In: Operations Research and Decisions. RePEc:wut:journl:v:34:y:2024:i:3:p:101-124:id:6. Full description at Econpapers || Download paper |
Heather M. Anderson is editor of
| Journal | |
|---|---|
| Empirical Economics | |
| Studies in Empirical Economics |
Works by Heather M. Anderson:
| Year | Title | Type | Cited |
|---|---|---|---|
| 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 | 41 |
| 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 nother version. Agregated cites: 41 | 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 nother 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 nother 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 nother 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 | 1 |
| 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 | 140 |
| 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 nother 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 | 44 |
| 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 nother version. Agregated cites: 44 | 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 | 25 |
| 2006 | Single source of error state space approach to the Beveridge Nelson decomposition.(2006) In: Economics Letters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 25 | 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 nother version. Agregated cites: 25 | 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 nother version. Agregated cites: 25 | 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 | 10 |
| 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 nother version. Agregated cites: 10 | 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 | 3 |
| 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 nother 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 | 2 |
| 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 | 18 |
| 1998 | Testing multiple equation systems for common nonlinear components In: Journal of Econometrics. [Full Text][Citation analysis] | article | 92 |
| 2023 | Estimating the effect of an EU-ETS type scheme in Australia using a synthetic treatment approach In: Energy Economics. [Full Text][Citation analysis] | article | 2 |
| 2022 | Estimating the Effect of an EU-ETS Type Scheme in Australia Using a Synthetic Treatment Approach.(2022) In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 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 nother 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 nother 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 nother 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 nother 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 nother 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 nother version. Agregated cites: 12 | paper | |
| 2020 | Sectoral employment dynamics in Australia In: CAMA Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2020 | Sectoral Employment Dynamics in Australia.(2020) In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | 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 nother 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 | 590 |
| 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 | 24 |
| 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 nother version. Agregated cites: 24 | 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 | 1 |
| 2023 | Does Climate Sensitivity Differ Across Regions? 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: 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 | 385 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated February, 4 2025. Contact: CitEc Team