# Browse By Person: Hurn, Stan

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**30**.## Book

Martin, Vance, Hurn, Stan, & Harris, David (2013)

*Econometric Modelling with Time Series : Specification, Estimation and Testing.*Themes in Modern Econometrics. Cambridge University Press, New York.## Book Chapter

Becker, Ralf, Enders, Walter, & Hurn, Stan (2006) Modeling inflation and money demand using a Fourier-Series Approximation. In Milas, C, Rothman, P, & van Dijk, D (Eds.)

*Nonlinear Time Series Analysis of Business Cycles.*Elsevier, The Netherlands, Amsterdam, pp. 221-246.Bardsen, Gunnar, Becker, Ralf, & Hurn, Aubrey (2004) The Impact of Monetary Policy in the UK on the Relationship between the Term Structure of Interest Rates and Future Inflation. In Becker, R & Hurn, S (Eds.)

*Contemporary Issues in Economics and Econometrics.*Edward Elgar Publishing, Cheltenham, United Kingdom, pp. 147-161.## Journal Article

Clements, Adam, Fuller, Joanne, & Hurn, Stan (2013) Semi-parametric forecasting of spikes in electricity prices.

*Economic Record*,*89*(287), pp. 508-521.Clements, Adam, Hurn, Stan, & Lindsay, Ken (2013) A closed-form approximation for pricing temperature-based weather derivatives.

*Applied Mathematics*,*4*(9), pp. 1347-1360. 19

Hurn, A.S., Lindsay, K.A., & McClelland, A.J. (2013) A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions.

*Journal of Econometrics*,*172*(1), pp. 106-126. 8

Christensen, Timothy, Hurn, Stan, & Pagan, Adrian (2011) Detecting common dynamics in transitory components.

*Journal of Time Series Econometrics*,*3*(1), pp. 1-26. 22

Becker, Ralf, Clements, Adam, & Hurn, Stan (2011) Semi-parametric forecasting of realized volatility.

*Studies in Nonlinear Dynamics and Econometrics*,*15*(3), pp. 1-21. 103

2

Christensen, Timothy, Hurn, Stan, & Lindsay, Ken (2009) It never rains but it pours: Modelling the persistence of spikes in electricity prices.

*The Energy Journal*,*30*(1), pp. 25-48. 6

Becker, Ralf & Hurn, Stan (2009) Testing for nonlinearity in mean in the presence of heteroskedasticity.

*Economic Analysis and Policy*,*39*(2), pp. 311-326.Christensen, Timothy, Hurn, Stan, & Lindsay, Ken (2008) The devil is in the detail: hints for practical optimisation.

*Economic Analysis and Policy*,*38*(2), pp. 345-368.Bardsen, Gunnar, Hurn, Stan, & McHugh, Zoe D. (2007) Modelling Wages and Prices in Australia.

*Economic Record*,*83*(261), pp. 143-158. 3

3

Enders, W. & Hurn, Stan (2007) Identifying aggregate demand and supply shocks in a small open economy.

*Oxford Economic Papers*,*59*(3), p. 411. 9

6

Becker, Ralf & Hurn, Stan (2007) Modelling Spikes in Electricity Prices.

*Economic Record*,*83*(263), pp. 371-382. 12

10

Hurn, Aubrey, Jeisman, Joseph, & Lindsay, Kenneth (2007) Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations.

*Journal of Financial Econometrics*,*5*(3), pp. 390-455. 24

21

Clements, Adam E., Hurn, Stanley, & White, Scott I. (2006) Mixture distribution-based forecasting using stochastic volatility models.

*Applied Stochastic Models in Business and Industry*,*22*(5-6), 547 -557. 1

1

Becker, Ralf, Enders, Walter, & Hurn, Stanley (2004) A general test for time dependence in parameters.

*Journal of Applied Econometrics*,*19*(7), pp. 899-906. 48

44

Clements, Adam E., Hurn, Stanley, & Lindsay, Kenneth (2003) Mobius-like mappings and their use in kernel density estimation.

*Journal of the American Statistical Association*,*98*(464), pp. 993-1000. 13

11

Hurn, Stanley & Pavlov, Vladimir (2003) Momentum in Australian stock returns.

*The Australian Journal of Management*,*28*(2), pp. 141-156.Hurn, Stanley, Lindsay, Kenneth A., & Vance, Martin (2003) On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential equations.

*Journal of Time Series Analysis*,*24*(1), pp. 45-63. 17

12

Forder, James & Hurn, Stan (2003) Dollar Deutschemark Polarisation: Comparing the Pound and Franc.

*Scottish Journal Of Political Economy*,*50*(3), pp. 217-231.Hurn, Stanley & Lindsay, Kenneth A. (2002) On the specification of the drift and diffusion functions for continuous-time models of the spot interest rate.

*Oxford Bulletin of Economics and Statistics*,*64*(5), pp. 547-564. 1

1

Enders, Walter & Hurn, Aubrey (2002) Asymmetric Price Adjustment and the Phillips Curve.

*Journal of Macroeconomics*,*24*, pp. 395-412. 5

3

## Conference Paper

Clements, Adam, Doolan, Mark, Hurn, Stan, & Becker, Ralf (2012) On the efficacy of techniques for evaluating multivariate volatility forecasts. In Ulubasoglu, Mehmet & Kidd, Michael (Eds.)

*Econometric Society Australasian Meeting (ESAM12)*, 3-6 July 2012, Langham Hotel, Melbourne, VIC.Hurn, Stan, Jeisman, Joseph, & Lindsay, Ken (2006) Some Remarks on the Approximation of Transitional Density in Stochastic Differential Equations. In Dungey, M & Bardsley, P (Eds.)

*Econometric Society, ESAM06*, 4 - 7 July 2006, Australia, Northern Territory, Alice Springs. 51

Hurn, Stan, Jeisman, Joseph, & Lindsay, Ken (2006) Teaching an Old Dog New Tricks: Improved Estimation of the Parameters of Stochastic Differential Equations by Numerical Solution of the Fokker-Planck Equation. In Dungey, M & Bardsley, P (Eds.)

*Proceedings of the Australasian Meeting of the Econometric Society 2006*, 4-7 July 2006, Australia, Northern Territory, Alice Springs.Hurn, Stan, Jeisman, Joseph, & Lindsay, Kenneth (2005) ML Estimation Of The Parameters Of SDE's By Numerical Solution Of The Fokker-Planck Equation. In Zerger, A & Argent, R (Eds.)

*MODSIM 05 - International Congress On Modelling And Simulation Advances And Applications For Management And Decision Making*, 12 December - 15 December 2005, Australia, Victoria, Melbourne.Hurn, Stan, Lindsay, Kenneth, & Pavlov, Vladimir (2005) Smooth Estimation of Yield Curves by Laguerre Functions. In Zerger, A & Argent, R (Eds.)

*MODSIM 05 - International Congress On MOdelling And Simulation Advances And Applications For Management And Decision Making*, 12 December - 15 December, 2005, Australia, Victoria, Melbourne. 78

Clements, Adam & Hurn, Stan (2001) Modelling Price Dynamics as the Outcome of Interaction Between Heterogenous Agents. In Canberra, A (Ed.)

*Proceedings of International Congress on Modelling and Simulation*, 10-13 December 2001.Becker, Ralf & Hurn, Stan (2001) Using Discreet-Time Techniques to test Continuous-Time Models for Nonlinearity Drift. In Canberra, A (Ed.)

*MODSIM 2001 International Conference on Modelling and Simulation, Proceedings*, 10-13 December 2001.