# Items where Subject is "Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > ECONOMETRICS (140300) > Econometric and Statistical Methods (140302)"

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- Subjects classification (44934)
- Australian and New Zealand Standard Research Classification (44934)
- ECONOMICS (140000) (926)
- ECONOMETRICS (140300) (94)
**Econometric and Statistical Methods (140302)**(25)

- ECONOMETRICS (140300) (94)

- ECONOMICS (140000) (926)

- Australian and New Zealand Standard Research Classification (44934)

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Number of items at this level:

**25**.## B

Becker, Ralf, Clements, Adam, & McClelland, Andrew
(2009)
The jump component of S&P 500 volatility and the VIX index.

*Journal of Banking and Finance*,*33*(6), pp. 1033-1038.
834

44

34

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

Burnecki, Krzysztof, Chernobai, Anna, Rachev, Svetlozar, Trueck, Stefan, & Weron, Rafal
(2006)
Modelling Catastrophe Claims with Left-truncated Severity Distributions.

*Computational Statistics*,*21*(3-4), pp. 537-555.
2

3

## C

Chan, Taizan
(2008)
Impact of programming and application-specific knowledge on maintenance effort: A hazard rate model. In
Yang, F & Tilley, S (Eds.)

*Proceedings of the 24th IEEE International Conference on Software Maintenance (ICSM), 2008*, IEEE Computer Society, Beijing, China, pp. 47-56.
3

2

Chernobai, Anna, Menn, Christian, Moscadelli, Marco, Rachev, Svetlozar, & Trueck, Stefan
(2006)
Treatment of Incomplete Data in the Field of Operational Risk: The Effects on Parameter Estimates, EL and UL Figures.
In

*The Advanced Measurement Approach to Operational Risk.*Risk Books, Spain, pp. 145-168.

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

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

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

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

## H

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

## M

Martinez, Luis & Wolff, Rodney
(2004)
New Method for Metal Price Risk Using Copulas. In
Dimitrakopoulos, Roussos (Ed.)

*Orebody Modelling and Strategic Mine Planning - Uncertainty and Risk Management International Symposium 2004*, 22-24 November 2004, Perth, Western Australia.## P

Page, Katie
(2012)
The four principles: Can they be measured and do they predict ethical decision making?

*BMC Medical Ethics*,*13*(10).
90

7

5

Pèrignon, Christoph & Smith, Daniel
(2008)
A new approach to comparing VaR estimation methods.

*The Journal of Derivatives*,*Winter*, pp. 54-66.
5

5

## R

Robertson, Calum S., Geva, Shlomo, & Wolff, Rodney C.
(2007)
Can the Content of Public News be used to Forecast Abnormal Stock Market Behaviour? In
Ramakrishnan, Naren, Zaïane, Osmar R., Shi, Yong, Clifton, Christopher W., & Wu, Xindong (Eds.)

*Seventh IEEE International Conference on Data Mining*, 28-31 October, Omaha, Nebraska, United States of America.
406

5

3

Robertson, Calum S., Geva, Shlomo, & Wolff, Rodney C.
(2006)
Does Company Specific News Effect the US, UK, and Australian Markets within 60 minutes? In
Moshirian, Fariborz (Ed.)

*19th Australasian Finance and Banking Conference*, 13-15 December 2006, Shangri-La Hotel, Sydney, Australia.
498

Robertson, Calum S., Geva, Shlomo, & Wolff, Rodney C.
(2007)
News aware volatility forecasting: is the content of news important? In
Christen, Peter, Kennedy, Paul, Li, Jiuyong, Kolyshkina, Inna, & Williams, Graham (Eds.)

*Data mining and analytics 2007 : proceedings of the sixth Australasian Data Mining Conference (AusDM2007)*, Australian Computer Society in association with the ACM Digital LIbrary, Gold Coast, Queensland, pp. 157-166.
184

Robertson, Calum S., Geva, Shlomo, & Wolff, Rodney C.
(2006)
What Types of Events Provide the Strongest Evidence that the Stock Market is Affected by Company Specific News? In
Christen, Peter, Kennedy, Paul, Li, Jiuyong, Simoff, Simeon, & Williams, Graham (Eds.)

*5th Australasian Data Mining Conference*, 29th -30th November, 2006, Sydney, Australia.
326

Ryan, Suzanne K. & Worthington, Andrew C.
(2004)
Market, interest rate and foreign exchange rate risk in Australian banking: A GARCH-M approach.

*International Journal of Applied Business and Economic Research*,*2*(2), pp. 81-103.
5,755

## S

Silvennoinen, Annastiina & Terasvirta, Timo
(2009)
Modeling multivariate autoregressive conditional heteroskedasticity with the double smooth transition conditional correlation GARCH Model.

*Journal of Financial Econometrics*,*7*(4), pp. 373-411.
28

20

Silvennoinen, Annastiina & Teräsvirta, Timo
(2009)
Multivariate GARCH models.
In
Andersen, T.G., Davis, R.A., Kreiß, J-P., & Mikosch, Th. (Eds.)

*Handbook of Financial Time Series.*Springer-Verlag, Germany, Berlin, pp. 201-232.

Strickland, Christopher Mark, Martin, Gael, & Forbes, Catherine
(2008)
Parameterisation and efficient MCMC estimation of non-Gaussian state space models.

*Computational Statistics and Data Analysis*,*52*(6), pp. 2911-2930.
8

7

## W

Worthington, Andrew C.
(2001)
Efficiency in pre-merger and post-merger non-bank financial institutions.

*Managerial and Decision Economics*,*22*(8), pp. 439-452.
1,329

Worthington, Andrew C. & Higgs, Helen
(2004)
Comovements in Asia-Pacific Equity Markets: Developing Patterns in APEC.

*Asia-Pacific Journal of Economics and Business*,*8*(1), pp. 79-93.
971