Details about Heather M. Anderson

Access statistics for papers by Heather M. Anderson.

Last updated 2013-05-07. Update your information in the RePEc Author Service.

Short-id: pan164

Working Papers

2013

1. Common non-linearities in multiple series of stock market volatility
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics

2011

2. Forecasting Under Strucural Break Uncertainty
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
3. Testing for co-jumps in high-frequency financial data: an approach based on first-high-low-last prices
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics

2010

4. Do Jumps Matter? Forecasting Multivariate Realized Volatility Allowing for Common Jumps
   ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics View citations (2)
   Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2010)
5. Financial Integration and the Construction of Historical Financial Data for the Euro Area
   Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The Univeristy of Manchester View citations (1)
   See also Journal Article in Economic Modelling (2011)
6. VARs, Cointegration and Common Cycle Restrictions
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)

2007

7. CONSTRUCTING HISTORICAL EURO AREA DATA
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
   Also in Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group (2007) View citations (5)
8. Reported Earnings and Analyst Forecasts as Competing Sources of Information: A New Approach
   ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics
   See also Journal Article in Australian Journal of Management (2012)

2006

9. BEVERRIDGE NELSON DECOMPOSITION WITH MARKOV SWITCHING
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
   Also in Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne (2006) View citations (2)
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2006) View citations (1)

2005

10. Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help?
    ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics View citations (2)
    See also Journal Article in Journal of Business & Economic Statistics (2007)
11. Random Walk Smooth Transition Autoregressive Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)

2004

12. A Model for Trade Frequency in the Presence of Announcements
    Econometric Society 2004 Australasian Meetings, Econometric Society
13. Single Source of Error State Space Approach to the Beveridge Nelson Decomposition
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
    Also in Econometric Society 2004 Australasian Meetings, Econometric Society (2004) View citations (1)
    See also Journal Article in Economics Letters (2006)

2003

14. Does Beta React to Market Conditions? Estimates of Bull and Bear Betas using a Nonlinear Market Model with an Endogenous Threshold Parameter
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
    See also Journal Article in Quantitative Finance (2009)
15. Nonlinear Correlograms and Partial Autocorrelograms
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2005)
16. The Decline in Income Growth Volatility in the United States: Evidence from Regional Data
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (4)

2002

17. Choosing Lag Lengths in Nonlinear Dynamic Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
18. Nonlinear Autoregresssive Leading Indicator Models of Output in G-7 Countries
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
    See also Journal Article in Journal of Applied Econometrics (2007)

2001

19. Capturing the Shape of Business Cycles with Nonlinear Autoregressive Leading Indicator Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
20. Market Architecture and Nonlinear Dynamics of Australian Stock and Future Indices
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
    See also Journal Article in Australian Economic Papers (2001)

2000

21. Predicting the Probability of a Recession with Nonlinear Autoregressive Leading Indicator Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (14)
    See also Journal Article in Macroeconomic Dynamics (2001)

1999

22. Does International Trade Synchronize Business Cycles?
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (15)
23. U.S. and Canadian Industrial Production Indices as Coupled Oscillators
    Working Papers, C.V. Starr Center for Applied Economics, New York University
    See also Journal Article in Journal of Economic Dynamics and Control (2002)

1990

24. TREASURY BI;; YIELD CURVES AND COINTEGRATION
    Working Papers, Australian National University - Department of Economics View citations (6)

Journal Articles

2012

1. Reported earnings and analyst forecasts as competing sources of information: A new approach
   Australian Journal of Management, 2012, 37, (3), 333-359
   See also Working Paper (2007)

2011

2. Financial integration and the construction of historical financial data for the Euro Area
   Economic Modelling, 2011, 28, (4), 1498-1509
   See also Working Paper (2010)

2010

3. Memoirs of "A Cointegration Analysis of Treasury Bill Yields"
   Journal of Financial Econometrics, 2010, 8, (2), 172-173

2009

4. Does beta react to market conditions? Estimates of 'bull' and 'bear' betas using a nonlinear market model with an endogenous threshold parameter
   Quantitative Finance, 2009, 9, (8), 913-924 View citations (1)
   See also Working Paper (2003)

2007

5. Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help?
   Journal of Business & Economic Statistics, 2007, 25, 76-90 View citations (13)
   See also Working Paper (2005)
6. New Introduction to Multiple Time Series Analysis - by Helmut Lütkepohl
   The Economic Record, 2007, 83, (260), 109-110
7. Nonlinear autoregressive leading indicator models of output in G-7 countries
   Journal of Applied Econometrics, 2007, 22, (1), 63-87 View citations (1)
   See also Working Paper (2002)

2006

8. Common features
   Journal of Econometrics, 2006, 132, (1), 1-5 View citations (7)
9. Single source of error state space approach to the Beveridge Nelson decomposition
   Economics Letters, 2006, 91, (1), 104-109 View citations (13)
   See also Working Paper (2004)

2005

10. Nonlinear Correlograms and Partial Autocorrelograms
    Oxford Bulletin of Economics and Statistics, 2005, 67, (s1), 957-982 View citations (1)
    See also Working Paper (2003)

2002

11. U.S. and Canadian industrial production indices as coupled oscillators
    Journal of Economic Dynamics and Control, 2002, 26, (1), 33-67 View citations (5)
    See also Working Paper (1999)

2001

12. Market Architecture and Nonlinear Dynamics of Australian Stock and Futures Indices
    Australian Economic Papers, 2001, 40, (4), 541-66 View citations (2)
    See also Working Paper (2001)
13. PREDICTING THE PROBABILITY OF A RECESSION WITH NONLINEAR AUTOREGRESSIVE LEADING-INDICATOR MODELS
    Macroeconomic Dynamics, 2001, 5, (04), 482-505 View citations (12)
    See also Working Paper (2000)

1999

14. Explanations of an empirical puzzle: what can be learnt from a test of the rational expectations hypothesis?
    Journal of Economic Methodology, 1999, 6, (1), 31-59 View citations (1)

1998

15. On the pooling of cross-sectional and time-series data in the presence of heteroskedasticity
    Economics Letters, 1998, 60, (3), 291-296 View citations (1)
16. Testing multiple equation systems for common nonlinear components
    Journal of Econometrics, 1998, 84, (1), 1-36 View citations (57)

1997

17. On the Correspondence between Individual and Aggregate Food Consumption Functions: Evidence from the USA and the Netherlands
    Journal of Applied Econometrics, 1997, 12, (5), 477-98 View citations (4)
18. On the Correspondence between Individual and Aggregate Food Consumption Functions: Evidence from the USA and the Netherlands: Reply
    Journal of Applied Econometrics, 1997, 12, (5), 503-07 View citations (1)
19. Transaction Costs and Non-linear Adjustment towards Equilibrium in the US Treasury Bill Market
    Oxford Bulletin of Economics and Statistics, 1997, 59, (4), 465-84 View citations (69)

1992

20. A Cointegration Analysis of Treasury Bill Yields
    The Review of Economics and Statistics, 1992, 74, (1), 116-26 View citations (169)
21. Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models
    Journal of Applied Econometrics, 1992, 7, (S), S119-36 View citations (248)

Chapters

2010

1. Discussion of Key Elements of Global Inflation
   A chapter in Inflation in an Era of Relative Price Shocks, 2010

1993

2. Modeling Nonlinearity over the Business Cycle
   A chapter in Business Cycles, Indicators and Forecasting, 1993, pp 311-326 View citations (14)

Editor

1. Empirical Economics
   Springer