Stan Hurn : Citation Profile

Are you Stan Hurn?

Queensland University of Technology (50% share)
National Centre for Econometric Research (NCER) (50% share)

21

H index

27

i10 index

1124

Citations

RESEARCH PRODUCTION:

59

Articles

54

Papers

3

Books

1

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   31 years (1991 - 2022). See details.
   Cites by year: 36
   Journals where Stan Hurn has often published
   Relations with other researchers
   Recent citing documents: 117.    Total self citations: 26 (2.26 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/phu111
   Updated: 2024-12-03    RAS profile: 2023-01-31    
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Relations with other researchers

Works with:

Baum, Christopher (4)

Shi, Shuping (2)

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

Is cited by:

Weron, Rafał (28)

Creedy, John (24)

Clements, Adam (20)

GUPTA, RANGAN (18)

Trueck, Stefan (15)

Caporin, Massimiliano (12)

Grossi, Luigi (11)

Gallagher, David (9)

Janczura, Joanna (9)

Balcilar, Mehmet (8)

Lau, Chi Keung (8)

Cites to:

Engle, Robert (40)

Bollerslev, Tim (34)

Diebold, Francis (25)

Phillips, Peter (25)

Shephard, Neil (24)

Cartea, Álvaro (24)

Andersen, Torben (22)

Gallant, A. (20)

Campbell, John (18)

Shi, Shuping (16)

Tauchen, George (16)

Main data

Where Stan Hurn has published?

Journals with more than one article published# docs
Mathematics and Computers in Simulation (MATCOM)6
The Economic Record4
Stata Journal4
Studies in Nonlinear Dynamics & Econometrics4
Economic Analysis and Policy3
Energy Economics3
Journal of Time Series Analysis2
The Energy Journal2
Oxford Economic Papers2
International Journal of Forecasting2
Scottish Journal of Political Economy2
Oxford Bulletin of Economics and Statistics2

Working Papers Series with more than one paper published# docs
NCER Working Paper Series / National Centre for Econometric Research23
Stan Hurn Discussion Papers / School of Economics and Finance, Queensland University of Technology3
Working Papers / University of Tasmania, Tasmanian School of Business and Economics2
Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University2
Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney2
Econometric Society 2004 Australasian Meetings / Econometric Society2

Recent works citing Stan Hurn (2024 and 2023)

YearTitle of citing document
2023Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552.

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2023A hybrid model for day-ahead electricity price forecasting: Combining fundamental and stochastic modelling. (2023). Musgens, Felix ; Grothe, Oliver ; Mobius, Thomas ; Watermeyer, Mira. In: Papers. RePEc:arx:papers:2304.09336.

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2023.

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2023Comparing Income Distributions Using Atkinsons Measure of Inequality. (2023). Creedy, John. In: Australian Economic Review. RePEc:bla:ausecr:v:56:y:2023:i:1:p:141-155.

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2023Predicting stock realized variance based on an asymmetric robust regression approach. (2023). He, Mengxi ; Zhang, Yaojie ; Hao, Xianfeng ; Zhao, Yuqi. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:4:p:1022-1047.

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2023When social assistance meets market power: A mixed duopoly view of health insurance in the United States. (2023). Su, Xuejuan ; Ranasinghe, Ashantha. In: Economic Inquiry. RePEc:bla:ecinqu:v:61:y:2023:i:4:p:851-869.

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2023Examining structural stability and time-varying causality between economic policy uncertainty and Asia-Pacific Islamic stock price. (2023). Raifu, Isiaka Akande. In: Economics Bulletin. RePEc:ebl:ecbull:eb-22-00609.

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2023Testing for herding using different return definitions: a comparison between simple and logarithmic returns. (2023). Hudson, Robert ; Wang, Junkai. In: Economics Bulletin. RePEc:ebl:ecbull:eb-22-00766.

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2023Revisiting the financial development and economic growth nexus: Evidence from south Korea. (2023). Emirmahmutoglu, Furkan ; Topcu, Mert ; Denaux, Zulal. In: Economics Bulletin. RePEc:ebl:ecbull:eb-22-00800.

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2023A Framework to Forecast Electricity Consumption of Meters using Automated Ranking and Data Preprocessing. (2023). Cinar, Hakan ; Guzel, Tulin ; Hekimoglu, Mustafa ; Yucekaya, Ahmet ; Oguz, Kamil Doruk ; Cenet, Mehmet Nabi. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-05-22.

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2024Bad news travels fast: Network analysis of the Chinese housing market connectivity. (2024). Dong, Jichang ; Li, Xuerong ; Mi, Anran ; Xu, Xiaoyue. In: China Economic Review. RePEc:eee:chieco:v:84:y:2024:i:c:s1043951x24000208.

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2024On the time-varying impact of Chinas bilateral political relations on its trading partners: “Doux commerce” or “trade follows the flag”?. (2024). Saadaoui, Jamel ; Mignon, Valérie ; Afonso, Antonio. In: China Economic Review. RePEc:eee:chieco:v:85:y:2024:i:c:s1043951x24000737.

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2023The stability of UK households Divisia money balances. (2023). Barlow, David. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:77:y:2023:i:c:p:451-459.

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2023Do foreign investors have a positive impact on the domestic government bonds market? A panel pooled mean group approach. (2023). Roca, Eduardo ; Su, Jen-Je ; Akimov, Alexandr ; Conterius, Simeon. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:77:y:2023:i:c:p:863-875.

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2023Research on the time-varying effects among green finance markets in China: A fresh evidence from multi-frequency scale perspective. (2023). Chen, Ling ; Fu, Yating ; Xia, Yufei ; Liu, Rongyan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000372.

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2023Bootstrap inference for Hawkes and general point processes. (2023). Cavaliere, Giuseppe ; Stark-Ostergaard, Jacob ; Rahbek, Anders ; Lu, YE. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:133-165.

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2024Modelling circular time series. (2024). Palumbo, Dario ; Hurn, Stan ; Harvey, Andrew ; Thiele, Stephen. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:1:s0304407623001446.

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2024Maximum likelihood estimation of latent Markov models using closed-form approximations. (2024). Xu, Chen ; Li, Chenxu ; Ait-Sahalia, Yacine. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:2:s0304407620303389.

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2023Foreign institutions, local investors and momentum trading. (2023). Wu, Winston ; Bradrania, Reza. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:40-64.

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2023Foreseeing the worst: Forecasting electricity DART spikes. (2023). Godin, Frederic ; Gauthier, Genevieve ; Galarneau-Vincent, Remi. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000191.

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2023Herding in the Chinese renewable energy market: Evidence from a bootstrapping time-varying coefficient autoregressive model. (2023). Lucey, Brian ; Ren, Boru. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000245.

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2023Modelling Australian electricity prices using indicator saturation. (2023). Apergis, Nicholas ; Wang, Shixuan ; Reade, James ; Pan, Wei-Fong. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001147.

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2023Structural sources of oil market volatility and correlation dynamics. (2023). Stewart, Shamar ; Liu, Xiaochun ; Harrison, Andre. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001561.

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2023Electricity price spike clustering: A zero-inflated GARX approach. (2023). Suthaharan, Neyavan ; Lu, YE. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323003328.

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2023Herd and causality dynamics between energy commodities and ethical investment: Evidence from the different phases of the COVID-19 pandemic. (2023). Fromentin, Vincent ; Mohamad, Azhar. In: Energy Economics. RePEc:eee:eneeco:v:126:y:2023:i:c:s0140988323004991.

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2023Impact of renewable energy generation on power reserve energy demand. (2023). Boucher, Quentin ; Deman, Laureen. In: Energy Economics. RePEc:eee:eneeco:v:128:y:2023:i:c:s0140988323006710.

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2024Emission intensities in the Australian National Electricity Market – An econometric analysis. (2024). Truck, Stefan ; Nazifi, Fatemeh. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323006825.

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2024Technology shocks and crude oil market connection: The role of climate change. (2024). Salisu, Afees ; Isah, Kazeem ; Oloko, Tirimisiyu O. In: Energy Economics. RePEc:eee:eneeco:v:130:y:2024:i:c:s0140988324000331.

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2024How do changes in settlement periods affect wholesale market prices? Evidence from Australias National Electricity Market. (2024). Khezr, Peyman ; Csereklyei, Zsuzsanna. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001336.

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2024Quantifying the short-term asymmetric effects of renewable energy on the electricity merit-order curve. (2024). Demetriades, Elias ; Tselika, Maria. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001798.

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2023Market failure or politics? Understanding the motives behind regulatory actions to address surging electricity prices. (2023). Zhang, Alex Hongliang ; Erten, Ibrahim Etem ; Camadan, Ercument ; Sirin, Selahattin Murat. In: Energy Policy. RePEc:eee:enepol:v:180:y:2023:i:c:s030142152300232x.

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2023A novel approach based on integration of convolutional neural networks and echo state network for daily electricity demand prediction. (2023). Nguyen-Huy, Thong ; Ghimire, Sujan ; Salcedo-Sanz, Sancho ; Casillas-Perez, David ; Deo, Ravinesh C ; Al-Musaylh, Mohanad S. In: Energy. RePEc:eee:energy:v:275:y:2023:i:c:s0360544223008241.

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2023A Comparison Study of Predictive Models for Electricity Demand in a Diverse Urban Environment. (2023). Lee, Christopher ; Li, Binbin ; Pesantez, Jorge E ; Stillwell, Ashlynn S ; Butala, Mark ; Zhao, Zhizhen. In: Energy. RePEc:eee:energy:v:283:y:2023:i:c:s0360544223025367.

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2024Time-varying causality impact of economic policy uncertainty on stock market returns: Global evidence from developed and emerging countries. (2024). Zhang, Feipeng ; Hong, Yun. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005070.

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2024Interpreting the effect of global economic risks on crude oil market: A supply-demand perspective. (2024). Xu, Pengfei ; Cao, Shijiao ; Hong, Yanran ; Pan, Zhigang. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005240.

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2024Time-varying causality among whisky, wine, and equity markets. (2024). Moroz, David ; Pecchioli, Bruno ; Fromentin, Vincent. In: Finance Research Letters. RePEc:eee:finlet:v:63:y:2024:i:c:s1544612324003751.

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2023Pricing of European currency options considering the dynamic information costs. (2023). de Peretti, Christian ; ben Hamad, Salah ; Dammak, Wael ; Eleuch, Hichem. In: Global Finance Journal. RePEc:eee:glofin:v:58:y:2023:i:c:s1044028323000923.

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2023DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations. (2023). Bauwens, Luc ; Xu, Yongdeng. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:938-955.

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2023The Pricing of Skewness Over Different Return Horizons. (2023). Arisoy, Eser Y ; Aretz, Kevin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:148:y:2023:i:c:s037842662200293x.

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2023Efficient Quasi-Bayesian Estimation of Affine Option Pricing Models Using Risk-Neutral Cumulants. (2023). Lutkebohmert, Eva ; Gonzato, Luca ; Brignone, Riccardo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:148:y:2023:i:c:s0378426622003259.

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2023Cointegration between high base metals prices and backwardation: Getting ready for the metals super-cycle. (2023). Labeaga, Jose ; Martin-Garcia, Rodrigo ; Galan-Gutierrez, Juan Antonio. In: Resources Policy. RePEc:eee:jrpoli:v:81:y:2023:i:c:s0301420723001216.

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2023Oil price shocks and inflation: A cross-national examination in the ASEAN5+3 countries. (2023). Azman, Mukhriz Izraf ; Aharon, David Y ; Kallir, Ido. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723002842.

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2023On the pricing effects of bitcoin mining in the fossil fuel market: The case of coal. (2023). GUPTA, RANGAN ; Demirer, Riza ; Balcilar, Mehmet ; Sibande, Xolani. In: Resources Policy. RePEc:eee:jrpoli:v:85:y:2023:i:pb:s0301420723002507.

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2024Oil price volatility and gold prices volatility asymmetric links with natural resources via financial market fluctuations: Implications for green recovery. (2024). Du, Qingfeng ; Li, Yang. In: Resources Policy. RePEc:eee:jrpoli:v:88:y:2024:i:c:s030142072300990x.

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2024Nexus between fintech, green finance and natural resources management: Transition of BRICS nation industries from resource curse to resource blessed sustainable economies. (2024). Luthra, Sunil ; Kumar, Anil ; Samadhiya, Ashutosh ; Yadav, Sanjeev ; Pandey, Krishan Kumar. In: Resources Policy. RePEc:eee:jrpoli:v:91:y:2024:i:c:s0301420724002708.

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2023Screening for collusion in wholesale electricity markets: A literature review. (2023). Silveira, Douglas ; Brown, David ; Eckert, Andrew. In: Utilities Policy. RePEc:eee:juipol:v:85:y:2023:i:c:s0957178723001832.

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2023Momentum: Evidence and insights 30 years later. (2023). Titman, Sheridan ; Jegadeesh, Narasimhan. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:82:y:2023:i:c:s0927538x23002731.

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2023Can renewable energy mitigate the impacts of inflation and policy interest on climate change?. (2023). Akan, Taner. In: Renewable Energy. RePEc:eee:renene:v:214:y:2023:i:c:p:255-289.

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2023Renewable energy effect on economy and environment: The case of G7 countries through novel bootstrap rolling window approach. (2023). Adebayo, Tomiwa Sunday ; Ghosh, Sudeshna ; Kartal, Mustafa Tevfik. In: Renewable Energy. RePEc:eee:renene:v:216:y:2023:i:c:s0960148123009710.

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2023Impact of climate policy uncertainty on traditional energy and green markets: Evidence from time-varying granger tests. (2023). Ren, Xiaohang ; Lucey, Brian ; He, Feng ; Li, Jingyao. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:173:y:2023:i:c:s136403212200939x.

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2023Investor sentiment and stock market anomalies in Australia. (2023). Bissoondoyal-Bheenick, Emawtee ; Zhang, Xinyue ; Zhong, Angel. In: International Review of Economics & Finance. RePEc:eee:reveco:v:86:y:2023:i:c:p:284-303.

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2023Peer effects in financial economics: A literature survey. (2023). Jarjir, Souad Lajili ; Boubaker, Sabri ; Ali-Rind, Asad. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002598.

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2023Did mega-regional trade agreements reshuffle the financial influence of the US, China, and Japan in ASEAN? Evidence from the volatility-spillover effects. (2023). Piljak, Vanja ; Jiang, Junhua ; Cao, LI. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000636.

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2024Herding in international REITs markets around the COVID-19 pandemic. (2024). GUPTA, RANGAN ; Ngene, Geoffrey ; Lesame, Keagile ; Bouri, Elie. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pb:s0275531923002738.

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2024How responsive are retail electricity prices to crude oil fluctuations in the US? Time-varying and asymmetric perspectives. (2024). Ye, Yong ; Luo, Keyu. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000266.

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2023More than just supply and demand: Macroeconomic shock decomposition in Croatia during and after the transition period. (2023). Arčabić, Vladimir ; Kova, Tibor ; Barii, Patrik ; Arabi, Vladimir. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:67:y:2023:i:c:p:420-438.

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2023An analysis of the time-varying causality and dynamic correlation between green bonds and US gas prices. (2023). Abakah, Emmanuel ; Oteng-Abayie, Eric Fosu ; Adekoya, Oluwasegun B ; Tiwari, Aviral Kumar ; Aikins, Emmanuel Joel. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:186:y:2023:i:pa:s0040162522006552.

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2023The Pricing Kernel in Options. (2023). Kim, Hyung Joo ; Jacobs, Kris ; Heston, Steven. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:96652.

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2023Electricity Day-Ahead Market Conditions and Their Effect on the Different Supervised Algorithms for Market Price Forecasting. (2023). Georghiou, George E ; Kyprianou, Andreas ; Theocharides, Spyros ; Konstantinidis, Georgios ; Loizidis, Stylianos. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:12:p:4617-:d:1167834.

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2023Edge-Based Short-Term Energy Demand Prediction. (2023). Papageorgiou, Elpiniki I ; Lekidis, Alexios. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:14:p:5435-:d:1196042.

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2023Forecasting the Monash Microgrid for the IEEE-CIS Technical Challenge. (2023). Bean, Richard. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:3:p:1050-:d:1039403.

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2023A Hawkes Model Approach to Modeling Price Spikes in the Japanese Electricity Market. (2023). Ikeda, Kazushi ; Adline, Bikeri. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:4:p:1570-:d:1057836.

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2023A Hybrid Model for Multi-Day-Ahead Electricity Price Forecasting considering Price Spikes. (2023). Quashie, Mike ; Zareipour, Hamidreza ; Lopez, Manuel Zamudio ; Jaimes, Daniel Manfre. In: Forecasting. RePEc:gam:jforec:v:5:y:2023:i:3:p:28-521:d:1197273.

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2023A New Measure for Idiosyncratic Risk Based on Decomposition Method. (2023). Brooks, Robert ; Hooy, Chee-Wooi ; Lee, Meng-Horng. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:1:p:43-:d:1030315.

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2023.

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2023Pursuing the Sustainability of Real Estate Market: The Case of Chinese Land Resources Diversification. (2023). Wen, Zhong-Qin ; Chiang, Shu-Hen ; Lee, Cheng-Wen. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:7:p:5850-:d:1109353.

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2023The Eligibility of Green Bonds as Safe Haven Assets: A Systematic Review. (2023). Aassouli, Dalal ; Khamis, Munir. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:8:p:6841-:d:1126691.

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2023Probabilistic forecasting of electricity prices using an augmented LMARX-model. (2023). Sheybanivaziri, Samaneh ; Andersson, Jonas. In: Discussion Papers. RePEc:hhs:nhhfms:2023_011.

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2023Uncertainty and the effectiveness of fiscal policy in the United States and Brasil: SVAR Approach. (2023). de Sa, Eduardo. In: Working Papers. RePEc:inf:wpaper:2023.03.

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2023Investigating the Relationship Between Financial Development and Income Inequality in Developed and Developing Countries: An Application of Canonical Correlation Analysis. (2023). Zsoy, Iadem Yalmaz. In: EKOIST Journal of Econometrics and Statistics. RePEc:ist:ekoist:v:0:y:2023:i:38:p:35-52.

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2023Does Exchange Rate Pass-Through Change Over Time in Turkiye?. (2023). Çakır, Mustafa ; Kaya, Ahmet Ekrem. In: Istanbul Journal of Economics-Istanbul Iktisat Dergisi. RePEc:ist:journl:v:73:y:2023:i:1:p:359-383.

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2023Time-varying causality between oil price and exchange rate in five ASEAN economies. (2023). Lim, So Young ; Awan, Ashar ; Kyophilavong, Phouphet ; Kocoglu, Mustafa. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:56:y:2023:i:2:d:10.1007_s10644-022-09457-6.

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2023Effects of global energy and price fluctuations on Turkeys inflation: new evidence. (2023). Ozahin, Erife ; Ozmen, Brahim. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:56:y:2023:i:4:d:10.1007_s10644-023-09530-8.

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2023The effectiveness of ultra-loose monetary policy in a high inflation economy: a time-varying causality analysis for Turkey. (2023). Mert, Mehmet ; Iik, Sayim ; Ulug, Mehmet. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:56:y:2023:i:4:d:10.1007_s10644-023-09535-3.

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2023Housing price uncertainty and housing prices in the UK in a time-varying environment. (2023). Balcilar, Mehmet ; Wohar, Mark E ; Bekun, Festus Victor ; Uzuner, Gizem. In: Empirica. RePEc:kap:empiri:v:50:y:2023:i:2:d:10.1007_s10663-023-09567-y.

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2023Asymmetric dynamic risk transmission between financial stress and monetary policy uncertainty: thinking in the post-covid-19 world. (2023). Ma, Feng ; Toan, Luu Duc ; Hong, Yanran ; Liang, Chao. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:60:y:2023:i:4:d:10.1007_s11156-023-01140-9.

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2023Can volume be more informative than prices? Evidence from Chinese housing markets. (2023). Yu, Ziliang ; Tong, Meng ; Yang, Jian. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:2:d:10.1007_s11156-023-01161-4.

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2023Identifying Risk Factors and Their Premia: A Study on Electricity Prices*. (2023). Lunde, Asger ; Wei, Wei. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:5:p:1647-1679..

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2023Impact of the global fear index (covid-19 panic) on the S&P global indices associated with natural resources, agribusiness, energy, metals and mining: Granger Causality and Shannon and Rényi Transfer . (2023). Venegas-Martínez, Francisco ; Venegas-Martinez, Francisco ; Coronado, Semei ; Gualajara, Victor ; Celso-Arellano, Pedro. In: MPRA Paper. RePEc:pra:mprapa:117138.

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2023Screening for Collusion in Wholesale Electricity Markets: A Review of the Literature. (2023). Silveira, Douglas ; Eckert, Andrew ; Brown, David P. In: Working Papers. RePEc:ris:albaec:2023_007.

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2023Liquidity 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.

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More than 100 citations found, this list is not complete...

Stan Hurn has edited the books:

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Works by Stan Hurn:

YearTitleTypeCited
2010Asymmetric unemployment rate dynamics in Australia In: CREATES Research Papers.
[Full Text][Citation analysis]		paper5
2012Asymmetric Unemployment Rate Dynamics in Australia.(2012) In: Studies in Nonlinear Dynamics & Econometrics.
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2010Asymmetric unemployment rate dynamics in Australia.(2010) In: Working Paper Series.
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2011Asymmetric unemployment rate dynamics in Australia.(2011) In: NCER Working Paper Series.
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This paper has nother version. Agregated cites: 5		paper
2014A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market In: CREATES Research Papers.
[Full Text][Citation analysis]		paper14
2014A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market.(2014) In: NCER Working Paper Series.
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This paper has nother version. Agregated cites: 14		paper
2016A Smooth Transition Logit Model of The Effects of Deregulation in the Electricity Market.(2016) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 14		article
2018Transition from the Taylor rule to the zero lower bound In: CREATES Research Papers.
[Full Text][Citation analysis]		paper1
2022Transition from the Taylor rule to the zero lower bound.(2022) In: Studies in Nonlinear Dynamics & Econometrics.
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This paper has nother version. Agregated cites: 1		article
2009It Never Rains but it Pours: Modeling the Persistence of Spikes in Electricity Prices In: The Energy Journal.
[Full Text][Citation analysis]		article33
2008It never rains but it pours: Modelling the persistence of spikes in electricity prices.(2008) In: NCER Working Paper Series.
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This paper has nother version. Agregated cites: 33		paper
2017The Effect of Transmission Constraints on Electricity Prices In: The Energy Journal.
[Full Text][Citation analysis]		article7
2003Mobius-Like Mappings and Their Use in Kernel Density Estimation In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article7
2007Modelling Wages and Prices in Australia In: The Economic Record.
[Full Text][Citation analysis]		article9
2005Modelling Wages and Prices in Australia.(2005) In: Working Paper Series.
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This paper has nother version. Agregated cites: 9		paper
2007Modelling Spikes in Electricity Prices In: The Economic Record.
[Full Text][Citation analysis]		article31
2013Semi-parametric Forecasting of Spikes in Electricity Prices In: The Economic Record.
[Full Text][Citation analysis]		article11
2021Assessing the Informational Content of Official Australian Bureau of Meteorology Forecasts of Wind Speed In: The Economic Record.
[Full Text][Citation analysis]		article1
1992 Cointegration and Dynamic Time Series Models. In: Journal of Economic Surveys.
[Citation analysis]		article50
2003On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential Equations In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article9
2018Change Detection and the Causal Impact of the Yield Curve In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article100
2016Change Detection and the Causal Impact of the Yield Curve.(2016) In: Cowles Foundation Discussion Papers.
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This paper has nother version. Agregated cites: 100		paper
2015Change Detection and the Casual Impact of the Yield Curve.(2015) In: NCER Working Paper Series.
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This paper has nother version. Agregated cites: 100		paper
1996Modelling the Demand for M4 in the U.K. In: The Manchester School of Economic & Social Studies.
[Citation analysis]		article2
1992Testing Superexogeneity: The Demand for Broad Money in the UK. In: Oxford Bulletin of Economics and Statistics.
[Citation analysis]		article9
2002On the Specification of the Drift and Diffusion Functions for Continuous‐time Models of the Spot Interest Rate In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article1
1994Theory and Tests of Generalized Purchasing-Power Parity: Common Trends and Real Exchange Rates in the Pacific Rim. In: Review of International Economics.
[Citation analysis]		article49
1991Causality, Predictability and Monetary Targets in South Africa In: South African Journal of Economics.
[Full Text][Citation analysis]		article0
1999Measuring Attitudes Towards Inequality In: Scandinavian Journal of Economics.
[Full Text][Citation analysis]		article119
1993Seasonality, Cointegration and Error Correction: An Illustration Using South African Monetary Data. In: Scottish Journal of Political Economy.
[Citation analysis]		article0
1995In Search of Time-Varying Term Premia in the London Interbank Market. In: Scottish Journal of Political Economy.
[Citation analysis]		article3
In: .
[Full Text][Citation analysis]		paper6
2022Testing for time-varying Granger causality.(2022) In: Stata Journal.
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This paper has nother version. Agregated cites: 6		article
2011Detecting Common Dynamics in Transitory Components In: Journal of Time Series Econometrics.
[Full Text][Citation analysis]		article4
2009Detecting Common Dynamics in Transitory Components.(2009) In: NCER Working Paper Series.
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This paper has nother version. Agregated cites: 4		paper
2011Semi-Parametric Forecasting of Realized Volatility In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article7
2004Linearizations and Equilibrium Correction Models In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article2
2019Modeling directional (circular) time series In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper3
2013Econometric Modelling with Time Series In: Cambridge Books.
[Citation analysis]		book28
2013Econometric Modelling with Time Series.(2013) In: Cambridge Books.
[Citation analysis]
This paper has nother version. Agregated cites: 28		book
2016Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper9
2016Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship.(2016) In: NCER Working Paper Series.
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This paper has nother version. Agregated cites: 9		paper
1994Geology or Economics? Testing Models of Irreversible Investment Using North Sea Oil Data. In: Economic Journal.
[Full Text][Citation analysis]		article45
2004Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity In: Econometric Society 2004 Australasian Meetings.
[Full Text][Citation analysis]		paper13
2009Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity.(2009) In: Economic Analysis and Policy.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		article
2006Testing for nonlinearity in mean in the presence of heteroskedasticity.(2006) In: Stan Hurn Discussion Papers.
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This paper has nother version. Agregated cites: 13		paper
2004Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility In: Econometric Society 2004 Australasian Meetings.
[Full Text][Citation analysis]		paper6
2008Practitioners Corner: Introduction In: Economic Analysis and Policy.
[Full Text][Citation analysis]		article0
2008The Devil is in the Detail: Hints for Practical Optimisation In: Economic Analysis and Policy.
[Full Text][Citation analysis]		article7
2008The Devil is in the Detail: Hints for Practical Optimisation.(2008) In: NCER Working Paper Series.
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This paper has nother version. Agregated cites: 7		paper
2017An empirical investigation of herding in the U.S. stock market In: Economic Modelling.
[Full Text][Citation analysis]		article23
2006Asset pricing puzzles in finance: Introduction In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article1
2013A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions In: Journal of Econometrics.
[Full Text][Citation analysis]		article7
2010A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions.(2010) In: NCER Working Paper Series.
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This paper has nother version. Agregated cites: 7		paper
2016Forecasting day-ahead electricity load using a multiple equation time series approach In: European Journal of Operational Research.
[Full Text][Citation analysis]		article36
2015Forecasting day-ahead electricity load using a multiple equation time series approach.(2015) In: NCER Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 36		paper
2015Volatility transmission in global financial markets In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article22
2015Modelling interregional links in electricity price spikes In: Energy Economics.
[Full Text][Citation analysis]		article40
2016Strategic bidding and rebidding in electricity markets In: Energy Economics.
[Full Text][Citation analysis]		article21
2017Forecasting quantiles of day-ahead electricity load In: Energy Economics.
[Full Text][Citation analysis]		article14
2012Forecasting spikes in electricity prices In: International Journal of Forecasting.
[Full Text][Citation analysis]		article58
2015Selecting volatility forecasting models for portfolio allocation purposes In: International Journal of Forecasting.
[Full Text][Citation analysis]		article25
2022Housing networks and driving forces In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article6
2016Common trends in global volatility In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article2
2002Asymmetric price adjustment and the Phillips curve In: Journal of Macroeconomics.
[Full Text][Citation analysis]		article8
1995Unobservable cyclical components in term premia of fixed-term financial instruments In: Mathematics and Computers in Simulation (MATCOM).
[Full Text][Citation analysis]		article0
1993Unobservable Cyclical Components in Term Premia of Fixed- Term Financial Instruments..(1993) In: Tasmania - Department of Economics.
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This paper has nother version. Agregated cites: 0		paper
1997Isolating cyclical patterns in irregular time-series data In: Mathematics and Computers in Simulation (MATCOM).
[Full Text][Citation analysis]		article0
1995Isolating Cyclical Patterns in Irregular Time Series Data..(1995) In: Department of Economics - Working Papers Series.
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This paper has nother version. Agregated cites: 0		paper
1997Common trends and generalized purchasing power parity In: Mathematics and Computers in Simulation (MATCOM).
[Full Text][Citation analysis]		article11
1997Estimating the parameters of stochastic differential equations by Monte Carlo methods In: Mathematics and Computers in Simulation (MATCOM).
[Full Text][Citation analysis]		article1
1995Estimating the Parameters of Stochastic Differential Equations by Monte Carlo Methods..(1995) In: Department of Economics - Working Papers Series.
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This paper has nother version. Agregated cites: 1		paper
1999Estimating the parameters of stochastic differential equations In: Mathematics and Computers in Simulation (MATCOM).
[Full Text][Citation analysis]		article5
2004Using discrete-time techniques to test continuous-time models for nonlinearity in drift In: Mathematics and Computers in Simulation (MATCOM).
[Full Text][Citation analysis]		article0
In: .
[Full Text][Citation analysis]		chapter0
2019Revisiting the numerical solution of stochastic differential equations In: China Finance Review International.
[Full Text][Citation analysis]		article0
1994Bank of England Intervention and the Structure of Interest Rates in the London Interbank Market. In: Tasmania - Department of Economics.
[Citation analysis]		paper0
2019Information Flow in Times of Crisis: The Case of the European Banking and Sovereign Sectors In: Econometrics.
[Full Text][Citation analysis]		article4
1998Modelling Stock Market Excess Returns by Markov Modulated Gaussian Noise In: Working Papers.
[Full Text][Citation analysis]		paper0
2020The Bootstrap In: Post-Print.
[Citation analysis]		paper0
1995The Empirical Size and Power of Some Tests for Detecting Autoregressive Conditional Heteroskedasticity in the Presence of Serial Correlation. In: Department of Economics - Working Papers Series.
[Citation analysis]		paper0
1995Modelling the Lifespan of Human T Lymphocyte Subsets. In: Department of Economics - Working Papers Series.
[Citation analysis]		paper0
1996Time Series Evidence of Global Warming. In: Department of Economics - Working Papers Series.
[Citation analysis]		paper0
1998Distributional Preferences and the Extended Gini Measures of Inequality In: Department of Economics - Working Papers Series.
[Citation analysis]		paper1
1999The Generic Properties of Equilibrium Correction Mechanisms In: Working Paper Series.
[Full Text][Citation analysis]		paper1
2003A smooth-transition model of the Australian unemployment rate In: Working Paper Series.
[Full Text][Citation analysis]		paper2
2019Modelling and forecasting wind drought In: Working Paper Series.
[Full Text][Citation analysis]		paper0
Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article29
2006Seeing the wood for the trees: A critical evaluation of methods to estimate the parameters of stochastic differential equations.(2006) In: Stan Hurn Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 29		paper
1995The Term Structure of Interest Rates in the London Interbank Market. In: Oxford Economic Papers.
[Citation analysis]		article34
2007Identifying aggregate demand and supply shocks in a small open economy In: Oxford Economic Papers.
[Full Text][Citation analysis]		article24
2006Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations. Working paper #2 In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper0
2006Estimating Stochastic Volatility Models Using a Discrete Non-linear Filter. Working paper #3 In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper2
2007Econometric Analysis of Structural Systems with Permanent and Transitory Shocks. Working paper #7 In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper4
2007Testing for nonlinearity in mean in the presence of heteroskedasticity. Working paper #8 In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper0
2007Teaching an Old Dog New Tricks: Improved Estimation of the Parameters of Stochastic Differential Equations by Numerical Solution of the Fokker-Planck Equation In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper1
2008Momentum in Australian Stock Returns: An Update In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper31
2008Estimating the Payoffs of Temperature-based Weather Derivatives In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper3
2008Developing analytical distributions for temperature indices for the purposes of pricing temperature-based weather derivatives In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper0
2008Discrete time-series models when counts are unobservable In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper0
2009Evaluating multivariate volatility forecasts In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper30
2009Testing the Profitability of Technical Analysis as a Portfolio Selection Strategy In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper3
2012Selecting forecasting models for portfolio allocation In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper1
2012A Spatial Econometric Analysis of the Effect of Vertical Restraints and Branding on Retail Gasoline Pricing In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper3
2013On the Efficacy of Fourier Series Approximations for Pricing European and Digital Options In: NCER Working Paper Series.
[Full Text][Citation analysis]		paper0
2006Teaching an old dog new tricks: Improved estimation of the parameters of SDEs by numerical solution of the Fokker-Planck equation In: Stan Hurn Discussion Papers.
[Full Text][Citation analysis]		paper6
2003Momentum in Australian Stock Returns In: Australian Journal of Management.
[Full Text][Citation analysis]		article42
2022Specification tests for univariate diffusions In: Econometric Reviews.
[Full Text][Citation analysis]		article0
2015Estimating the Parameters of Stochastic Volatility Models Using Option Price Data In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article9
2017A semi-parametric point process model of the interactions between equity markets In: Working Papers.
[Full Text][Citation analysis]		paper0
2021A simple linear alternative to multiplicative error models with an application to trading volume In: Working Papers.
[Full Text][Citation analysis]		paper0
2021Environmental Econometrics Using Stata In: Stata Press books.
[Full Text][Citation analysis]		book4
2020Local Whittle estimation of the long-memory parameter In: Stata Journal.
[Full Text][Citation analysis]		article0
2021The BDS test of independence In: Stata Journal.
[Full Text][Citation analysis]		article1
2021“What good is a volatility model?” A reexamination after 20 years In: Stata Journal.
[Full Text][Citation analysis]		article0
2001Testing for Time Dependence in Parameters In: Research Paper Series.
[Full Text][Citation analysis]		paper12
2001Modelling Structural Change in Money Demand Using a Fourier-Series Approximation In: Research Paper Series.
[Full Text][Citation analysis]		paper3

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