Browse By Person: Hurn, Stan
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Number of items: 31.
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.
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.
Becker, Ralf, Clements, Adam, Doolan, Mark, & Hurn, Stan (2014) Selecting volatility forecasting models for portfolio allocation purposes. International JOurnal of Forecasting. (In Press)
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.
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.
Christensen, Timothy, Hurn, Stan, & Pagan, Adrian (2011) Detecting common dynamics in transitory components. Journal of Time Series Econometrics, 3(1), pp. 1-26.
Becker, Ralf, Clements, Adam, & Hurn, Stan (2011) Semi-parametric forecasting of realized volatility. Studies in Nonlinear Dynamics and Econometrics, 15(3), pp. 1-21.
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.
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.
Enders, W. & Hurn, Stan (2007) Identifying aggregate demand and supply shocks in a small open economy. Oxford Economic Papers, 59(3), p. 411.
Becker, Ralf & Hurn, Stan (2007) Modelling Spikes in Electricity Prices. Economic Record, 83(263), pp. 371-382.
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.
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.
Becker, Ralf, Enders, Walter, & Hurn, Stanley (2004) A general test for time dependence in parameters. Journal of Applied Econometrics, 19(7), pp. 899-906.
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.
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.
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.
Enders, Walter & Hurn, Aubrey (2002) Asymmetric Price Adjustment and the Phillips Curve. Journal of Macroeconomics, 24, pp. 395-412.
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.
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.
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.