# Browse By Person: Hurn, Stan

Up a level |

Group by: Item Type | Date

Number of items:

**39**.## 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, A.E., Herrera, R., & Hurn, A.S.
(2015)
Modelling interregional links in electricity price spikes.

*Energy Economics*,*51*, pp. 383-393.

Clements, Adam E., Hurn, A. Stan, & Volkov, Vladimir V.
(2015)
Volatility transmission in global financial markets.

*Journal of Empirical Finance*,*32*, pp. 3-18.
1

1

Hurn, A. Stan, Lindsay, Kenneth A., & McClelland, Andrew J.
(2015)
Estimating the parameters of stochastic volatility models using option price data.

*Journal of Business and Economic Statistics*,*33*(4), pp. 579-594.

Becker, Ralf, Clements, Adam, Doolan, Mark, & Hurn, Stan
(2015)
Selecting volatility forecasting models for portfolio allocation purposes.

*International Journal of Forecasting*,*31*(3), pp. 849-861.

Hurn, A. Stan, Silvennoinen, Annastiina, & Terasvirta, Timo
(2015)
A smooth transition logit model of the effects of deregulation in the electricity market.

*Journal of Applied Econometrics*. (In Press)

Hurn, A.S., Lindsay, K.A., & McClelland, A.J.
(2014)
On the efficacy of Fourier series approximations for pricing European options.

*Applied Mathematics*,*5*, pp. 2786-2807.
10

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

*Economic Record*,*89*(287), pp. 508-521.
22

3

2

Clements, Adam, Hurn, Stan, & Lindsay, Ken
(2013)
A closed-form approximation for pricing temperature-based weather derivatives.

*Applied Mathematics*,*4*(9), pp. 1347-1360.
53

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.
60

4

5

Bardsen, Gunnar, Hurn, Stan, & McHugh, Zoe
(2012)
Asymmetric unemployment rate dynamics in Australia.

*Studies in Nonlinear Dynamics and Econometrics*,*16*(1), pp. 1-20.
1

Christensen, Timothy, Hurn, Stan, & Lindsay, Ken
(2012)
Forecasting spikes in electricity prices.

*International Journal of Forecasting*,*28*(2), pp. 400-411.
15

12

Pavlov, Vlad & Hurn, Stan
(2012)
Testing the profitability of moving-average rules as a portfolio selection strategy.

*Pacific Basin Finance Journal*,*20*(5), pp. 825-842.
4

4

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

*Journal of Time Series Econometrics*,*3*(1), pp. 1-26.
45

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

*Studies in Nonlinear Dynamics and Econometrics*,*15*(3), pp. 1-21.
333

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.
10

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

*Economic Analysis and Policy*,*39*(2), pp. 311-326.
4

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.
2

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.
19

16

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.
36

27

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.
3

3

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

*Journal of Applied Econometrics*,*19*(7), pp. 899-906.
71

60

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.
21

16

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.
6

5

## 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.
80

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.
132

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.