Farshid Vahid : Citation Profile

Are you Farshid Vahid?

Monash University

19

H index

28

i10 index

1441

Citations

RESEARCH PRODUCTION:

42

Articles

62

Papers

RESEARCH ACTIVITY:

   31 years (1993 - 2024). See details.
   Cites by year: 46
   Journals where Farshid Vahid has often published
   Relations with other researchers
   Recent citing documents: 59.    Total self citations: 37 (2.5 %)

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   Permalink: http://citec.repec.org/pva160
   Updated: 2024-11-04    RAS profile: 2024-09-05    
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Relations with other researchers

Works with:

Anderson, Heather (6)

GAO, Jiti (6)

Wong, Benjamin (2)

Caggiano, Giovanni (2)

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

Is cited by:

Issler, João (133)

Hecq, Alain (111)

Guillén, Osmani (67)

Cubadda, Gianluca (55)

Athanasopoulos, George (30)

Palm, Franz (26)

Narayan, Paresh (25)

Gaglianone, Wagner (18)

Weber, Enzo (17)

FRANCO NETO, AFONSO (16)

Cheung, Yin-Wong (16)

Cites to:

Engle, Robert (57)

Pesaran, Mohammad (26)

Watson, Mark (22)

Phillips, Peter (22)

Kozicki, Sharon (19)

Campbell, John (18)

Sims, Christopher (18)

Anderson, Heather (18)

Diebold, Francis (17)

Bollerslev, Tim (17)

Issler, João (16)

Main data

Where Farshid Vahid has published?

Journals with more than one article published# docs
Journal of Econometrics7
Journal of Applied Econometrics5
International Journal of Forecasting3
Energy Economics2
Journal of Business & Economic Statistics2
Economic Modelling2
The Economic Record2
Economics Letters2
Games and Economic Behavior2

Working Papers Series with more than one paper published# docs
Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics30
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) / EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil)13
Econometric Society 2004 Australasian Meetings / Econometric Society2
Working Papers / University of Tasmania, Tasmanian School of Business and Economics2

Recent works citing Farshid Vahid (2024 and 2023)

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

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

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2024Accounting for Longer?Run Changes in Australian House Prices. (2021). Otto, Glenn. In: Australian Economic Review. RePEc:bla:ausecr:v:54:y:2021:i:3:p:362-374.

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

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2024Australian Housing Market Booms: Fundamentals or Speculation??. (2020). Shi, Shuping ; Wang, Ben Zhe ; Rahman, Arafat. In: The Economic Record. RePEc:bla:ecorec:v:96:y:2020:i:315:p:381-401.

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

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

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

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

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

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2023The fiscal implications of stringent climate policy. (2023). Tol, Richard. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:80:y:2023:i:c:p:495-504.

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

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

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

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

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

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2024Time-varying multivariate causal processes. (2024). Yan, Yayi ; Wu, Wei Biao ; Peng, Bin ; Gao, Jiti. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000174.

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

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2024House price bubbles under the COVID-19 pandemic. (2024). Pedersen, Thomas Q ; Moller, Stig V ; Hansen, Jacob H ; Schutte, Christian M. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001299.

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2024Do 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.

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

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

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2023Asymmetric price transmission and impulse responses from U.S. crude oil to jet fuel and diesel markets. (2023). Qiu, Feng ; Luckert, Martin ; Zhang, Wenbei. In: Energy. RePEc:eee:energy:v:283:y:2023:i:c:s0360544223018194.

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2023On the linkages between energy and agricultural commodity prices: A dynamic time warping analysis. (2023). Miljkovic, Dragan ; Vatsa, Puneet. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923003502.

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2024Uncertainty and bubbles in cryptocurrencies: Evidence from newly developed uncertainty indices. (2024). Damianov, Damian S ; Shahedur, MD. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923004659.

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

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2023Forecasting GDP growth rates in the United States and Brazil using Google Trends. (2023). Clements, Michael ; Urquhart, Andrew ; Bantis, Evripidis. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1909-1924.

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

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2024A novel online portfolio selection approach based on pattern matching and ESG factors. (2024). Asaad, Seyed Mehrzad ; Barak, Sasan ; Fereydooni, Ali. In: Omega. RePEc:eee:jomega:v:123:y:2024:i:c:s0305048323001391.

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2023How does US tariff policy affect the relationship among crude oil, the US dollar and metal markets?. (2023). Zolfaghari, Mehdi. In: Resources Policy. RePEc:eee:jrpoli:v:85:y:2023:i:pb:s0301420723005871.

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

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

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

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

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

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2023.

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2023We modeled long memory with just one lag!. (2023). Laurent, Sebastien ; Chevillon, Guillaume ; Bauwens, Luc. In: Post-Print. RePEc:hal:journl:hal-04185755.

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

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

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

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

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

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

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

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2023Endogenous Time Variation in Vector Autoregressions. (2023). Uzeda, Luis ; Leiva-Leon, Danilo. In: The Review of Economics and Statistics. RePEc:tpr:restat:v:105:y:2023:i:1:p:125-142.

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

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Works by Farshid Vahid:

YearTitleTypeCited
2008John Creedy, Research Without Tears: From the First Ideas to Published Output (Edward Elgar Publishing, 2008) In: Agenda - A Journal of Policy Analysis and Reform.
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2005Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help? In: ANU Working Papers in Economics and Econometrics.
[Full Text][Citation analysis]		paper39
2007Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help?.(2007) In: Journal of Business & Economic Statistics.
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This paper has nother version. Agregated cites: 39		article
2005The Effect of Household Characteristics on Living Standards in South Africa 1993 - 98: A Quantile Regression Analysis with Sample Attrition In: ANU Working Papers in Economics and Econometrics.
[Full Text][Citation analysis]		paper2
2008Global Temperature Trends In: ANU Working Papers in Economics and Econometrics.
[Full Text][Citation analysis]		paper2
2011Global Temperature Trends.(2011) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has nother version. Agregated cites: 2		paper
2010Do Jumps Matter? Forecasting Multivariate Realized Volatility Allowing for Common Jumps In: ANU Working Papers in Economics and Econometrics.
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2010Do Jumps Matter? Forecasting Multivariate Realized Volatility allowing for Common Jumps.(2010) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has nother version. Agregated cites: 11		paper
2010Model selection, Estimation and Forecasting in VAR Models with Short-run and Long-run Restrictions. In: Working Papers Series.
[Full Text][Citation analysis]		paper36
2011Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions.(2011) In: Journal of Econometrics.
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2009Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions.(2009) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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2010Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions.(2010) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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2010Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions.(2010) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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2011Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions.(2011) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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This paper has nother version. Agregated cites: 36		paper
2009Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions.(2009) In: Monash Econometrics and Business Statistics Working Papers.
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2008VARMA versus VAR for Macroeconomic Forecasting In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article41
2006VARMA versus VAR for Macroeconomic Forecasting.(2006) In: Monash Econometrics and Business Statistics Working Papers.
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2001Market Architecture and Nonlinear Dynamics of Australian Stock and Futures Indices In: Australian Economic Papers.
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2001Market Architecture and Nonlinear Dynamics of Australian Stock and Future Indices..(2001) In: Monash Econometrics and Business Statistics Working Papers.
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2003Statistical Inference and Changes in Income Inequality in Australia In: The Economic Record.
[Full Text][Citation analysis]		article24
2002Statistical Inference on Changes in Income Inequality in Australia.(2002) In: Monash Econometrics and Business Statistics Working Papers.
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2016Dating the Timeline of House Price Bubbles in Australian Capital Cities In: The Economic Record.
[Full Text][Citation analysis]		article38
2008A complete VARMA modelling methodology based on scalar components In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article19
2006A Complete VARMA Modelling Methodology Based on Scalar Components.(2006) In: Monash Econometrics and Business Statistics Working Papers.
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2005Nonlinear Correlograms and Partial Autocorrelograms* In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article3
2003Nonlinear Correlograms and Partial Autocorrelograms.(2003) In: Monash Econometrics and Business Statistics Working Papers.
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2001PREDICTING THE PROBABILITY OF A RECESSION WITH NONLINEAR AUTOREGRESSIVE LEADING-INDICATOR MODELS In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		article44
2000Predicting the Probability of a Recession with Nonlinear Autoregressive Leading Indicator Models..(2000) In: Monash Econometrics and Business Statistics Working Papers.
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2004Strategy Similarity and Coordination In: Economic Journal.
[Full Text][Citation analysis]		article22
2001Strategy Similarity and Coordination..(2001) In: Monash Econometrics and Business Statistics Working Papers.
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2004Forecasting Australian GDP Growth Using Coefficients Constrained by A Term Structure Model In: Econometric Society 2004 Australasian Meetings.
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2004Are VAR Models Good Enough? In: Econometric Society 2004 Australasian Meetings.
[Citation analysis]		paper0
2000Clustering Regression Functions in a Panel In: Econometric Society World Congress 2000 Contributed Papers.
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2011Financial integration and the construction of historical financial data for the Euro Area In: Economic Modelling.
[Full Text][Citation analysis]		article11
2010Financial Integration and the Construction of Historical Financial Data for the Euro Area.(2010) In: Centre for Growth and Business Cycle Research Discussion Paper Series.
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2019The global effects of productivity gains in Asian emerging economies In: Economic Modelling.
[Full Text][Citation analysis]		article1
2017On weak identification in structural VARMA models In: Economics Letters.
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1998On the pooling of cross-sectional and time-series data in the presence of heteroskedasticity In: Economics Letters.
[Full Text][Citation analysis]		article2
2002The importance of common cyclical features in VAR analysis: a Monte-Carlo study In: Journal of Econometrics.
[Full Text][Citation analysis]		article65
2001The importance of common cyclical features in VAR analysis: a Monte-Carlo study.(2001) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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2001The Importance Of Common Cyclical Features in VAR Analysis: A Monte-Carlo Study..(2001) In: Monash Econometrics and Business Statistics Working Papers.
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2006Common features In: Journal of Econometrics.
[Full Text][Citation analysis]		article7
2006The missing link: using the NBER recession indicator to construct coincident and leading indices of economic activity In: Journal of Econometrics.
[Full Text][Citation analysis]		article43
2001The missing link: using the NBER recessions indicator to construct coincident and leading indices of economic activity.(2001) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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2002The missing link: using the NBER recession indicator to construct coincident and leading indices economic activity.(2002) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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2002The missing link: using the NBER recession indicator to construct coincident and leading indices economic activity.(2002) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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This paper has nother version. Agregated cites: 43		paper
2003The missing link: using the NBER recession indicator to construct coincident and leading indices economic activity.(2003) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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This paper has nother version. Agregated cites: 43		paper
2001The Missing Link: Using the NBER Recession Indicator to Construct Coincident and Leading Indices of Economic Activity..(2001) In: Monash Econometrics and Business Statistics Working Papers.
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2022Global temperatures and greenhouse gases: A common features approach In: Journal of Econometrics.
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2019Global Temperatures and Greenhouse Gases: A Common Features Approach.(2019) In: Monash Econometrics and Business Statistics Working Papers.
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2019Global temperatures and greenhouse gases - a common features approach.(2019) In: Working Papers.
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1997Codependent cycles In: Journal of Econometrics.
[Full Text][Citation analysis]		article83
1998Testing multiple equation systems for common nonlinear components In: Journal of Econometrics.
[Full Text][Citation analysis]		article82
2008Forecasting time series with multiple seasonal patterns In: European Journal of Operational Research.
[Full Text][Citation analysis]		article47
2023Estimating the effect of an EU-ETS type scheme in Australia using a synthetic treatment approach In: Energy Economics.
[Full Text][Citation analysis]		article2
2022Estimating the Effect of an EU-ETS Type Scheme in Australia Using a Synthetic Treatment Approach.(2022) In: Monash Econometrics and Business Statistics Working Papers.
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2015Asymmetric pricing of diesel at its source In: Energy Economics.
[Full Text][Citation analysis]		article11
1999Payoff Assessments without Probabilities: A Simple Dynamic Model of Choice In: Games and Economic Behavior.
[Full Text][Citation analysis]		article70
2001Predicting How People Play Games: A Simple Dynamic Model of Choice In: Games and Economic Behavior.
[Full Text][Citation analysis]		article42
1999Predicting how People Play Games: a Simple Dynamic Model of Choice..(1999) In: Monash Econometrics and Business Statistics Working Papers.
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1997Shorte-run forecasts of electricity loads and peaks In: International Journal of Forecasting.
[Full Text][Citation analysis]		article105
2019Macroeconomic forecasting for Australia using a large number of predictors In: International Journal of Forecasting.
[Full Text][Citation analysis]		article16
2017Macroeconomic forecasting for Australia using a large number of predictors.(2017) In: Monash Econometrics and Business Statistics Working Papers.
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2023Multi-population mortality projection: The augmented common factor model with structural breaks In: International Journal of Forecasting.
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2001Common cycles and the importance of transitory shocks to macroeconomic aggregates In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article105
2012Testing financial contagion on heteroskedastic asset returns in time-varying conditional correlation In: Pacific-Basin Finance Journal.
[Full Text][Citation analysis]		article11
2007Necessity of negative serial correlation for mean-reversion of stock prices In: The Quarterly Review of Economics and Finance.
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2006Nonlinear autoregressive leading indicator models of output in G-7 countries In: CAMA Working Papers.
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