EconPapers    
Economics at your fingertips  
 

Details about Heather M. Anderson

Homepage:http://www.buseco.monash.edu.au/about/staff/profile.php?cn=heather-anderson
Workplace:Department of Econometrics and Business Statistics, Monash Business School, Monash University, (more information at EDIRC)

Access statistics for papers by Heather M. Anderson.

Last updated 2017-03-09. Update your information in the RePEc Author Service.

Short-id: pan164


Jump to Journal Articles Chapters Editor

Working Papers

2015

  1. How do Shocks to Domestic Factors Affect Real Exchange Rates of Asian Developing Countries
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
    See also Journal Article in Journal of Development Economics (2016)

2014

  1. The Effects of Productivity Gains in Asian Emerging Economies: A Global Perspective
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads

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 Downloads
  2. Do Policy-Related Shocks Affect Real Exchange Rates of Asian Developing Countries?
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (1)

2011

  1. Forecasting Under Strucural Break Uncertainty
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
  2. 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 Downloads View citations (3)

2010

  1. 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 Downloads View citations (8)
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2010) Downloads View citations (6)
  2. 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 Downloads View citations (2)
    See also Journal Article in Economic Modelling (2011)
  3. VARs, Cointegration and Common Cycle Restrictions
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (3)

2007

  1. CONSTRUCTING HISTORICAL EURO AREA DATA
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (3)
    Also in Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group (2007) Downloads View citations (9)
  2. 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 Downloads
    See also Journal Article in Australian Journal of Management (2012)

2006

  1. BEVERRIDGE NELSON DECOMPOSITION WITH MARKOV SWITCHING
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads
    Also in Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne (2006) Downloads View citations (2)
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2006) Downloads View citations (1)
  2. Nonlinear autoregressive leading indicator models of output in G-7 countries
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2002) Downloads

    See also Journal Article in Journal of Applied Econometrics (2007)

2005

  1. 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 Downloads View citations (2)
    See also Journal Article in Journal of Business & Economic Statistics (2007)
  2. Random Walk Smooth Transition Autoregressive Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (2)
  3. Single source of error state space approach to the Beveridge Nelson decomposition
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2004) Downloads View citations (3)
    Econometric Society 2004 Australasian Meetings, Econometric Society (2004) Downloads View citations (3)

    See also Journal Article in Economics Letters (2006)

2004

  1. A Model for Trade Frequency in the Presence of Announcements
    Econometric Society 2004 Australasian Meetings, Econometric Society

2003

  1. 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 Downloads View citations (1)
    See also Journal Article in Quantitative Finance (2009)
  2. Nonlinear Correlograms and Partial Autocorrelograms
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2005)
  3. 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 Downloads View citations (4)

2002

  1. Choosing Lag Lengths in Nonlinear Dynamic Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (2)

2001

  1. 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 Downloads View citations (2)
  2. 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 Downloads View citations (4)
    See also Journal Article in Australian Economic Papers (2001)

2000

  1. 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 Downloads View citations (13)
    See also Journal Article in Macroeconomic Dynamics (2001)

1999

  1. Does International Trade Synchronize Business Cycles?
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (16)
  2. U.S. and Canadian Industrial Production Indices as Coupled Oscillators
    Working Papers, C.V. Starr Center for Applied Economics, New York University Downloads View citations (1)
    See also Journal Article in Journal of Economic Dynamics and Control (2002)

1990

  1. TREASURY BI;; YIELD CURVES AND COINTEGRATION
    Working Papers, Australian National University - Department of Economics View citations (13)

Journal Articles

2016

  1. How do shocks to domestic factors affect real exchange rates of Asian developing countries?
    Journal of Development Economics, 2016, 119, (C), 67-85 Downloads View citations (1)
    See also Working Paper (2015)

2014

  1. Forecast combinations under structural break uncertainty
    International Journal of Forecasting, 2014, 30, (1), 161-175 Downloads View citations (11)
  2. How does public information affect the frequency of trading in airline stocks?
    Journal of Banking & Finance, 2014, 44, (C), 26-38 Downloads

2012

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

2011

  1. Financial integration and the construction of historical financial data for the Euro Area
    Economic Modelling, 2011, 28, (4), 1498-1509 Downloads View citations (6)
    See also Working Paper (2010)

2010

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

2009

  1. 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 Downloads View citations (7)
    See also Working Paper (2003)

2007

  1. Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help?
    Journal of Business & Economic Statistics, 2007, 25, 76-90 Downloads View citations (22)
    See also Working Paper (2005)
  2. New Introduction to Multiple Time Series Analysis - by Helmut Lütkepohl
    The Economic Record, 2007, 83, (260), 109-110 Downloads
  3. Nonlinear autoregressive leading indicator models of output in G-7 countries
    Journal of Applied Econometrics, 2007, 22, (1), 63-87 Downloads View citations (5)
    See also Working Paper (2006)

2006

  1. Common features
    Journal of Econometrics, 2006, 132, (1), 1-5 Downloads View citations (7)
  2. Single source of error state space approach to the Beveridge Nelson decomposition
    Economics Letters, 2006, 91, (1), 104-109 Downloads View citations (18)
    See also Working Paper (2005)

2005

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

2002

  1. U.S. and Canadian industrial production indices as coupled oscillators
    Journal of Economic Dynamics and Control, 2002, 26, (1), 33-67 Downloads View citations (8)
    See also Working Paper (1999)

2001

  1. Market Architecture and Nonlinear Dynamics of Australian Stock and Futures Indices
    Australian Economic Papers, 2001, 40, (4), 541-66 Downloads View citations (6)
    See also Working Paper (2001)
  2. PREDICTING THE PROBABILITY OF A RECESSION WITH NONLINEAR AUTOREGRESSIVE LEADING-INDICATOR MODELS
    Macroeconomic Dynamics, 2001, 5, (04), 482-505 Downloads View citations (27)
    See also Working Paper (2000)

1999

  1. 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 Downloads View citations (1)

1998

  1. On the pooling of cross-sectional and time-series data in the presence of heteroskedasticity
    Economics Letters, 1998, 60, (3), 291-296 Downloads View citations (1)
  2. Testing multiple equation systems for common nonlinear components
    Journal of Econometrics, 1998, 84, (1), 1-36 Downloads View citations (69)

1997

  1. 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 Downloads View citations (5)
  2. 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 Downloads View citations (2)
  3. 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 (98)

1992

  1. A Cointegration Analysis of Treasury Bill Yields
    The Review of Economics and Statistics, 1992, 74, (1), 116-26 Downloads View citations (327)
  2. Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models
    Journal of Applied Econometrics, 1992, 7, (S), S119-36 Downloads View citations (413)

Chapters

2010

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

1993

  1. Modeling Nonlinearity over the Business Cycle
    A chapter in Business Cycles, Indicators and Forecasting, 1993, pp 311-326 Downloads View citations (18)

Editor

  1. Empirical Economics
    Springer
 
Page updated 2017-03-21