# Items where Subject is "Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > ECONOMETRICS (140300) > Time-Series Analysis (140305)"

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- Subjects classification (40846)
- Australian and New Zealand Standard Research Classification (40846)
- ECONOMICS (140000) (867)
- ECONOMETRICS (140300) (91)
**Time-Series Analysis (140305)**(30)

- ECONOMETRICS (140300) (91)

- ECONOMICS (140000) (867)

- Australian and New Zealand Standard Research Classification (40846)

Group by: Authors/Creators | Item Type

Number of items at this level:

**30**.## B

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, & Hurn, Stan (2011) Semi-parametric forecasting of realized volatility.

*Studies in Nonlinear Dynamics and Econometrics*,*15*(3), pp. 1-21. 171

2

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

*Economic Analysis and Policy*,*39*(2), pp. 311-326.Bisaglia, Luisa, Bordignon, Silvano, & Cecchinato, Nedda (2009) Bootstrap approaches for estimation and confidence intervals of long term memory processes.

*Journal of Statistical Computation and Simulation*.Bu, Di & Liao, Yin (2014) Corporate credit risk prediction under stochastic volatility and jumps.

*Journal of Economic Dynamics and Control*,*47*, pp. 263-281.## C

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

*International Journal of Forecasting*,*28*(2), pp. 400-411. 6

5

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. 7

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

*Journal of Time Series Econometrics*,*3*(1), pp. 1-26. 33

Clements, Adam & White, Scott (2005) Non-Linear Filtering With State Dependant Transition Probabilities: A Threshold (Size Effect) SV Model. In Zerger, A & Argent, R (Eds.)

*MODSIM 2005 International Congress on Modelling and Simulation*, 12 December - 15 December 2005, Australia, Victoria, Melbourne.## H

Higgs, Helen & Worthington, Andrew (2005) Systematic Features Of High Frequency Volatility In Australian Electricity Markets: Intraday Patterns, Information Arrival And Calendar Effects.

*The Energy Journal*,*26*(4), pp. 23-41. 21

9

Higgs, Helen & Worthington, Andrew (2004) Transmission of Prices and Volatility in the Australian Electricity Spot Markets. In Bunn, D (Ed.)

*Modelling prices in competitive electricity markets.*John Wiley & Sons, Ltd, West Sussex, United Kingdom, pp. 217-229.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. 30

25

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. 55

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.## K

Kamruzzaman, Md., Yigitcanlar, Tan, Washington, Simon, Currie, Graham, & Turrell, Gavin (2014) Australian baby boomers switched to more environment friendly modes of transport during the global financial crisis.

*International Journal of Environmental Science and Technology*,*Online*.## L

Liao, Yin & Stachurski, John (2014) Simulation-based density estimation for time series using covariate data.

*Journal of Business and Economic Statistics*. (In Press)Liu, Shen & Maharaj, Elizabeth Ann (2013) A hypothesis test using bias-adjusted AR estimators for classifying time series in small samples.

*Computational Statistics & Data Analysis*,*60*, pp. 32-49. 20

2

2

Liu, Shen, Maharaj, Elizabeth Ann, & Inder, Brett (2014) Polarization of forecast densities : a new approach to time series classification.

*Computational Statistics & Data Analysis*,*70*, pp. 345-361. 1

1

## P

Pagan, Adrian & Pesaran, M. Hashem (2008) Econometric analysis of stuctural systems with permanent and transitory shocks.

*Journal of Economic Dynamics and Control*,*32*(10), pp. 3376-3395. 16

16

Perignon, Christophe & Smith, Daniel (2010) The level and quality of Value-at-Risk disclosure by commercial banks.

*Journal of Banking and Finance*,*34*(2), pp. 362-377. 45

30

## 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. 359

4

2

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.)

*Sixth Australasian Data Mining Conference (AusDM 2007)*, 3-4 December, Gold Coast, Queensland, Australia. (In Press) 167

## 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. 17

15

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. 7

7

## W

Worthington, Andrew C. & Higgs, Helen (2004) Random walks and market efficiency in European equity markets.

*Global Journal of Finance and Economics*,*1*(1), pp. 59-78. 3,335

Worthington, Andrew C. & Higgs, Helen (2004) Transmission of equity returns and volatility in Asian developed and emerging markets : a multivariate Garch analysis.

*International Journal of Finance and Economics*,*9*(1), pp. 71-80. 1,947

42

18

Worthington, Andrew C. & Valadkhani, Abbas (2004) Measuring the impact of natural disasters on capital markets: An empirical application using intervention analysis.

*Applied Economics*,*36*(19), pp. 2177-2186. 2,531

18

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