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.
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.
Becker, Ralf, Clements, Adam, & Hurn, Stan (2011) Semi-parametric forecasting of realized volatility. Studies in Nonlinear Dynamics and Econometrics, 15(3), pp. 1-21.
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.
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.
Christensen, Timothy, Hurn, Stan, & Pagan, Adrian (2011) Detecting common dynamics in transitory components. Journal of Time Series Econometrics, 3(1), pp. 1-26.
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.
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.
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.
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.
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.
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.
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.
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.
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.
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.
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.
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.
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.
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.
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.