# 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 (42406)
- Australian and New Zealand Standard Research Classification (42406)
- ECONOMICS (140000) (894)
- ECONOMETRICS (140300) (93)
**Time-Series Analysis (140305)**(31)

- ECONOMETRICS (140300) (93)

- ECONOMICS (140000) (894)

- Australian and New Zealand Standard Research Classification (42406)

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**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.
219

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.
9

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.
8

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

*Journal of Time Series Econometrics*,*3*(1), pp. 1-26.
38

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

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.
33

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*.
1

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.
24

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.
6

1

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.
18

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.
54

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.
21

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.
7

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.
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.
1,976

44

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.
2,578

19

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.
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.
364

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.)

*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.
172