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Details about Anthony David Hall

E-mail:
Homepage:http://datasearch.uts.edu.au/business/staff/finance/details.cfm?StaffId=74
Phone:+61 2 9514 7729
Postal address:Finance DG, UTS Business School, University of Technology Sydney, PO Box 123 Broadway NSW 2007 Australia
Workplace:Finance Discipline Group, Business School, University of Technology Sydney, (more information at EDIRC)

Access statistics for papers by Anthony David Hall.

Last updated 2017-03-22. Update your information in the RePEc Author Service.

Short-id: pha174


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Working Papers

2013

  1. Macro-Econometric System Modelling @75
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads
    Also in NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (1)

2008

  1. Modelling Adverse Selection on Electronic Order-Driven Markets
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (2)

2004

  1. A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market
    FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit Downloads View citations (8)
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2004) Downloads View citations (5)
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2004) Downloads View citations (7)
  2. Order Aggressiveness and Order Book Dynamics
    FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit Downloads View citations (2)
    See also Journal Article in Empirical Economics (2006)

2003

  1. A Survival Analysis of Australian Equity Mutual Funds
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (5)
    See also Journal Article in Australian Journal of Management (2003)

2001

  1. Migration of Price Discovery With Constrained Futures Markets
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (2)

2000

  1. A Bayesian Approach to Variable Selection in Logistic Regression with Application to Predicting Earnings Direction from Accounting Information
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (3)
  2. Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return Models
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (15)
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) Downloads View citations (3)
    Working Papers, Warwick Business School, Finance Group (1999) Downloads View citations (1)

    See also Journal Article in Journal of Banking & Finance (2002)

1998

  1. A nonlinear time series model of El Niño
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (22)
  2. Limits to Linear Price Behaviour: Target Zones for Futures Prices Regulated By Limits
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (6)

1995

  1. Modelling the Term Structure
    Working Papers, Australian National University - Department of Economics View citations (55)

1990

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

Journal Articles

2015

  1. Evaluating the impact of inequality constraints and parameter uncertainty on optimal portfolio choice
    Applied Economics, 2015, 47, (45), 4801-4813 Downloads
  2. Resiliency of the limit order book
    Journal of Economic Dynamics and Control, 2015, 61, (C), 222-244 Downloads

2007

  1. Modelling the buy and sell intensity in a limit order book market
    Journal of Financial Markets, 2007, 10, (3), 249-286 Downloads View citations (33)
  2. What Corporate Social Responsibility Activities are Valued by the Market?
    Journal of Business Ethics, 2007, 76, (2), 189-206 Downloads View citations (58)

2006

  1. Migration of price discovery in semiregulated derivatives markets
    Journal of Futures Markets, 2006, 26, (3), 209-241 Downloads View citations (1)
  2. Order aggressiveness and order book dynamics
    Empirical Economics, 2006, 30, (4), 973-1005 Downloads View citations (42)
    See also Working Paper (2004)

2004

  1. Some notes on a dynamic model of international fishing
    Pure Mathematics and Applications, 2004, 15, (1), 45-54

2003

  1. A Survival Analysis of Australian Equity Mutual Funds
    Australian Journal of Management, 2003, 28, (2), 209-226 Downloads View citations (5)
    See also Working Paper (2003)

2002

  1. Using Bayesian variable selection methods to choose style factors in global stock return models
    Journal of Banking & Finance, 2002, 26, (12), 2301-2325 Downloads View citations (15)
    See also Working Paper (2000)

2001

  1. Limits to linear price behavior: futures prices regulated by limits
    Journal of Futures Markets, 2001, 21, (5), 463-488 Downloads View citations (6)
  2. Regulatory Tools and Price Changes in Futures Markets
    Australian Economic Papers, 2001, 40, (4), 520-40 Downloads View citations (2)

1999

  1. Parametric forecasts of Australian yield curves
    Mathematics and Computers in Simulation (MATCOM), 1999, 48, (4), 541-549 Downloads

1995

  1. The Wage-Hours Profile for Young Australians: How Meaningful Are Labour Supply Functions Estimated from Micro Data?
    Australian Economic Papers, 1995, 34, (64), 50-61 View citations (1)

1992

  1. A Cointegration Analysis of Treasury Bill Yields
    The Review of Economics and Statistics, 1992, 74, (1), 116-26 Downloads View citations (332)
  2. A study of various score test statistics for heteroscedasticity in the general linear model
    Mathematics and Computers in Simulation (MATCOM), 1992, 33, (5), 563-568 Downloads View citations (1)

1990

  1. Worldwide Rankings of Research Activity in Econometrics: An Update: 1980–1988
    Econometric Theory, 1990, 6, (01), 1-16 Downloads View citations (12)

1989

  1. A Monte Carlo Study of Some Tests of Model Adequacy in Time Series Analysis
    Journal of Business & Economic Statistics, 1989, 7, (1), 95-106 View citations (19)

1988

  1. Tests of non-nested linear regression models subject to linear restrictions
    Economics Letters, 1988, 27, (4), 341-348 Downloads View citations (8)

1987

  1. Worldwide Rankings of Research Activity in Econometrics: 1980–1985
    Econometric Theory, 1987, 3, (02), 171-194 Downloads View citations (14)

1983

  1. Assessing the Variability of Inflation
    Review of Economic Studies, 1983, 50, (4), 585-596 Downloads View citations (61)
  2. Confidence contours for two test statistics for non-nested regression models
    Journal of Econometrics, 1983, 21, (1), 155-160 Downloads View citations (3)

1981

  1. The LIML and Related Estimators of an Equation with Moving Average Disturbances
    International Economic Review, 1981, 22, (3), 719-30 Downloads View citations (4)
 
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