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

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Number of items at this level: 31.

Book Chapter

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, 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.

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.

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.

Journal Article

Becker, Ralf, Clements, Adam, & Hurn, Stan (2011) Semi-parametric forecasting of realized volatility. Studies in Nonlinear Dynamics and Econometrics, 15(3), pp. 1-21.
Number of full-text downloads 219
Number of citations in Scopus 2

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.

Christensen, Timothy, Hurn, Stan, & Lindsay, Ken (2012) Forecasting spikes in electricity prices. International Journal of Forecasting, 28(2), pp. 400-411.
Number of citations in Scopus 9
Number of citations in Web of Science® 8

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.
Number of citations in Scopus 8

Christensen, Timothy, Hurn, Stan, & Pagan, Adrian (2011) Detecting common dynamics in transitory components. Journal of Time Series Econometrics, 3(1), pp. 1-26.
Number of full-text downloads 38

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.
Number of citations in Scopus 33
Number of citations in Web of Science® 26

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.
Number of citations in Scopus 1
Number of citations in Web of Science® 1

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.
Number of full-text downloads 24
Number of citations in Scopus 2
Number of citations in Web of Science® 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.
Number of full-text downloads 6
Number of citations in Scopus 1
Number of citations in Web of Science® 1

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.
Number of citations in Scopus 18
Number of citations in Web of Science® 19

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.
Number of citations in Scopus 54
Number of citations in Web of Science® 34

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.
Number of citations in Scopus 21
Number of citations in Web of Science® 17

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.
Number of citations in Scopus 7
Number of citations in Web of Science® 7

Whitehead, Jake, Franklin, Joel P., & Washington, Simon (2015) Transitioning to energy efficient vehicles: An analysis of the potential rebound effects and subsequent impact upon emissions. Transportation Research Part A: Policy and Practice, 74, pp. 250-267.

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.
Number of full-text downloads 3,517

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.
Number of full-text downloads 1,976
Number of citations in Scopus 44
Number of citations in Web of Science® 20

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.
Number of full-text downloads 2,578
Number of citations in Scopus 19
Number of citations in Web of Science® 11

Conference Paper

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.

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.
Number of full-text downloads 60

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.

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.
Number of full-text downloads 364
Number of citations in Scopus 4
Number of citations in Web of Science® 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.) 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.
Number of full-text downloads 172

This list was generated on Sat Apr 25 05:40:37 2015 AEST.