Details about Prof. Abdulnasser Hatemi-J

Access statistics for papers by Prof. Abdulnasser Hatemi-J.

Last updated 2013-03-23. Update your information in the RePEc Author Service.

Short-id: pha24

Working Papers

2013

1. A New Asymmetric GARCH Model: Testing, Estimation and Application
   MPRA Paper, University Library of Munich, Germany
2. On option pricing in illiquid markets with random jumps
   MPRA Paper, University Library of Munich, Germany
3. On the pricing and hedging of options for highly volatile periods
   MPRA Paper, University Library of Munich, Germany

2011

4. Are Real Estate Markets Integrated with the World Market?
   Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics
5. Asymmetric generalized impulse responses and variance decompositions with an application
   MPRA Paper, University Library of Munich, Germany View citations (2)
6. Hidden panel cointegration
   MPRA Paper, University Library of Munich, Germany View citations (1)
7. On the calculation of price sensitivities with jump-diffusion structure
   MPRA Paper, University Library of Munich, Germany

2010

8. A Bootstrap Test for Causality with Endogenous Lag Length Choice - theory and application in finance
   Working Paper Series in Economics and Institutions of Innovation, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies
   See also Journal Article in Journal of Economic Studies (2012)
9. Estimating Optimal Hedge Ratio with Unknown Structural Breaks
   Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics
10. Stochastic optimal hedge ratio: Theory and evidence
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article in Applied Economics Letters (2012)
11. The Impact of the US Real Estate Market on Other Major Markets During Normal and Crisis Periods
    Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics
12. The Properties of Procedures Dealing with Uncertainty about Intercept and Deterministic Trend in Unit Root Testing
    Working Paper Series in Economics and Institutions of Innovation, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies View citations (4)

2004

13. Evidence on the Direction of Causation in the Money-Income Relationship: An Alternative Methodology
    Working Papers, Örebro University, School of Business
14. The Causal Links Between Equity Market Prices: The Case of Australia and Its Major Trading Partners
    Econometric Society 2004 Australasian Meetings, Econometric Society

1999

15. Fiscal Policy in Sweden: Effects of EMU Criteria Convergence
    Working Papers, Lund University, Department of Economics View citations (12)
    See also Journal Article in Economic Modelling (2002)

Journal Articles

2013

1. Testing for the government's intertemporal budget restriction in Brazil during 1823--1889
   Applied Economics, 2013, 45, (12), 1533-1540

2012

2. A bootstrap test for causality with endogenous lag length choice: theory and application in finance
   Journal of Economic Studies, 2012, 39, (2), 144-160
   See also Working Paper (2010)
3. A re-examination of the unbiased forward rate hypothesis in the presence of multiple unknown structural breaks
   Applied Economics, 2012, 44, (11), 1443-1448
4. Asymmetric causality tests with an application
   Empirical Economics, 2012, 43, (1), 447-456 View citations (3)
5. Asymmetric interaction between government spending and terms of trade volatility: New evidence from hidden cointegration technique
   Journal of Economic Studies, 2012, 39, (3), 368-378
6. Is the UAE stock market integrated with the USA stock market? New evidence from asymmetric causality testing
   Research in International Business and Finance, 2012, 26, (2), 273-280
7. Is the causal nexus of energy utilization and economic growth asymmetric in the US?
   Economic Systems, 2012, 36, (3), 461-469
8. Stochastic optimal hedge ratio: theory and evidence
   Applied Economics Letters, 2012, 19, (8), 699-703
   See also Working Paper (2010)

2011

9. A re-examination of the Fisher effect using an alternative approach
   Applied Economics Letters, 2011, 18, (9), 855-858
10. How globally contagious was the recent US real estate market crisis? Evidence based on a new contagion test
    Economic Modelling, 2011, 28, (6), 2560-2565
11. The dynamic interaction between volatility and returns in the US stock market using leveraged bootstrap simulations
    Research in International Business and Finance, 2011, 25, (3), 329-334

2010

12. An empirical investigation of the informational efficiency of the GCC equity markets: Evidence from bootstrap simulation
    International Review of Financial Analysis, 2010, 19, (1), 47-54 View citations (4)
13. Did the Austrian Financial Market Become more Integrated with the German Market after EU Accession? - Il mercato finanziario austriaco si è integrato maggiormente con quello tedesco dopo l’adesione all’Unione europea?
    Economia Internazionale / International Economics, 2010, 63, (3), 297-304
14. Modeling Time-Varying Volatility and Expected Returns: Evidence from the GCC and MENA Regions
    Emerging Markets Finance and Trade, 2010, 46, (5), 39-47 View citations (1)

2009

15. An empirical analysis of the informational efficiency of Australian equity markets
    Journal of Economic Studies, 2009, 36, (5), 437-445
16. Can the LR test be helpful in choosing the optimal lag order in the VAR model when information criteria suggest different lag orders?
    Applied Economics, 2009, 41, (9), 1121-1125

2008

17. Estimating banks' equity duration: a panel cointegration approach
    Applied Financial Economics, 2008, 18, (14), 1173-1180
18. Is the Swedish Stock Market Becoming more Integrated with those of Germany and France?
    Economia Internazionale / International Economics, 2008, 61, (4), 665-685
19. Optimal lag-length choice in stable and unstable VAR models under situations of homoscedasticity and ARCH
    Journal of Applied Statistics, 2008, 35, (6), 601-615 View citations (2)
20. Tests for cointegration with two unknown regime shifts with an application to financial market integration
    Empirical Economics, 2008, 35, (3), 497-505 View citations (6)
21. The Fisher effect: a Kalman filter approach to detecting structural change
    Applied Economics Letters, 2008, 15, (8), 619-624 View citations (1)

2007

22. Capital mobility in Sweden: a time-varying parameter approach
    Applied Economics Letters, 2007, 14, (15), 1115-1118
23. Equity market price interdependence based on bootstrap causality tests: evidence from Australia and its major trading partners
    Applied Financial Economics, 2007, 17, (10), 827-835
24. Forecasting properties of a new method to determine optimal lag order in stable and unstable VAR models
    Applied Economics Letters, 2007, 15, (4), 239-243 View citations (1)
25. Liberalized emerging markets and the world economy: testing for increased integration with time-varying volatility
    Applied Financial Economics, 2007, 17, (15), 1245-1250

2006

26. A bootstrap-corrected causality test: another look at the money–income relationship
    Empirical Economics, 2006, 31, (1), 207-216 View citations (3)
27. A re-examination of international portfolio diversification based on evidence from leveraged bootstrap methods
    Economic Modelling, 2006, 23, (6), 993-1007 View citations (2)
28. Calculating the optimal hedge ratio: constant, time varying and the Kalman Filter approach
    Applied Economics Letters, 2006, 13, (5), 293-299 View citations (4)
29. Does it Pay for Australian Investors to Diversify into their Country's Major Trading Partners?
    Economia Internazionale / International Economics, 2006, 59, (3), 295-316
30. Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application
    Applied Economics, 2006, 38, (13), 1489-1500 View citations (22)
31. The response of industry employment to exchange rate shocks: evidence from panel cointegration
    Applied Economics, 2006, 38, (4), 415-421

2005

32. A test for multivariate ARCH effects
    Applied Economics Letters, 2005, 12, (7), 411-417 View citations (7)
33. An alternative method to test for contagion with an application to the Asian financial crisis
    Applied Financial Economics Letters, 2005, 1, (6), 343-347 View citations (4)
34. Energy Consumption and Economic Growth in Sweden: A Leveraged Bootstrap Approach, 1965-2000
    International Journal of Applied Econometrics and Quantitative Studies, 2005, 2, (4), 87-98 View citations (5)
35. Exchange rates and stock prices interaction during good and bad times: evidence from the ASEAN4 countries
    Applied Financial Economics, 2005, 15, (8), 539-546 View citations (6)
36. FOREIGN AID AND ECONOMIC GROWTH: NEW EVIDENCE FROM PANEL COINTEGRATION
    Journal of Economic Development, 2005, 30, (1), 71-80 View citations (1)
37. Is the tourism-led growth hypothesis valid for Turkey?
    Applied Economics Letters, 2005, 12, (8), 499-504 View citations (26)
38. Stock Price and Volume Relation in Emerging Markets
    Emerging Markets Finance and Trade, 2005, 41, (1), 29-44 View citations (3)
39. The effect of regime shifts on the long-run relationships for Swedish money demand
    Applied Economics, 2005, 37, (15), 1731-1736 View citations (1)
40. Time-Varying Estimates for the Natural Rate of Unemployment and the Phillips Curve in the US Using the Kalman Filter
    Economia Internazionale / International Economics, 2005, 58, (3), 327-336
41. US Equity Market Spili-Over and Contagion Effects on Selected Asian Markets Vis-à-vis September 11
    Economia Internazionale / International Economics, 2005, 58, (4), 449-470

2004

42. An examination of the equity market price linkage between Australia and the European Union using leveraged bootstrap method
    European Journal of Finance, 2004, 10, (6), 475-488 View citations (2)
43. Do birds of the same feather flock together?: The case of the Chinese states equity markets
    Journal of International Financial Markets, Institutions and Money, 2004, 14, (3), 281-294 View citations (8)
44. Is Pricing to Market Behavior a Long-Run Phenomenon? A Non-Stationary Panel Analysis
    Empirica, 2004, 31, (1), 55-67 View citations (4)
45. Is the Equity Market Informationally Efficient in Japan? Evidence from Leveraged Bootstrap Analysis
    Economia Internazionale / International Economics, 2004, 57, (4), 461-473 View citations (1)
46. Multivariate tests for autocorrelation in the stable and unstable VAR models
    Economic Modelling, 2004, 21, (4), 661-683 View citations (10)
47. The Risk-Adjusted Interest Rate Parity: Panel Data Evidence
    Economia Internazionale / International Economics, 2004, 57, (1), 1-10
48. The effect of exchange rate changes on trade balances in the short and long run
    The Economics of Transition, 2004, 12, (4), 777-799 View citations (6)

2003

49. A new method to choose optimal lag order in stable and unstable VAR models
    Applied Economics Letters, 2003, 10, (3), 135-137 View citations (12)
50. How productivity and domestic output are related to exports and foreign output in the case of Sweden
    Empirical Economics, 2003, 28, (4), 767-782
51. Is the J-Curve Effect Observable for Small North European Economies?
    Open Economies Review, 2003, 14, (2), 119-134 View citations (6)

2002

52. Export performance and economic growth nexus in Japan: a bootstrap approach
    Japan and the World Economy, 2002, 14, (1), 25-33 View citations (2)
53. Fiscal policy in Sweden: effects of EMU criteria convergence
    Economic Modelling, 2002, 19, (1), 121-136 View citations (6)
    See also Working Paper (1999)
54. Investigating Causal Relations between Fixed Investment and Economic Growth
    Economia Internazionale / International Economics, 2002, 55, (1), 25-35 View citations (1)
55. Is the Government's intertemporal budget constraint fulfilled in Sweden? An application of the Kalman filter
    Applied Economics Letters, 2002, 9, (7), 433-439
56. Money Supply and the Informational Efficiency of the Stock Market in Korea: Evidence from an Alternative Methodology
    Journal of Economic Integration, 2002, 17, 517-526 View citations (3)
57. Multivariate-based causality tests of twin deficits in the US
    Journal of Applied Statistics, 2002, 29, (6), 817-824 View citations (10)
58. On the Causality between Exchange Rates and Stock Prices: A Note
    Bulletin of Economic Research, 2002, 54, (2), 197-203 View citations (9)

2001

59. Does Any Long-Run Relation Exist Between the Terms of Trade and the Trade Balance?
    Economia Internazionale / International Economics, 2001, 54, (2), 177-185
60. Productivity Performance and Export Performance: A Time-Series Perspective
    Eastern Economic Journal, 2001, 27, (2), 149-164 View citations (2)
61. Time-series evidence for Balassa's export-led growth hypothesis
    Journal of International Trade & Economic Development, 2001, 9, (3), 355-365 View citations (7)

2000

62. Export performance and economic growth causality: An empirical analysis
    Atlantic Economic Journal, 2000, 28, (4), 412-426 View citations (4)

1999

63. The causal nexus of government spending and revenue in Finland: a bootstrap approach
    Applied Economics Letters, 1999, 6, (10), 641-644 View citations (4)

1

64. An Empirical Investigation of the Colombian Stock Market Reaction to the US Market: Evidence from a Casewise Bootstrap Approach - Un’analisi empirica della reazione del mercato azionario colombiano al mercato USA
    Economia Internazionale / International Economics, 1, 66, (2013), 57-67

Software Items

2011

1. ACTEST: GAUSS module to Apply Asymmetric Causality Tests
   Statistical Software Components, Boston College Department of Economics

2010

2. HHcte: GAUSS module to Apply a Bootstrap Test for Causality with Endogenous Lag Order
   Statistical Software Components, Boston College Department of Economics View citations (1)
3. LRAPP: GAUSS module to calculate multivariate IC with the LR test used in conflict to determine the optimal lag order in a VAR model
   Statistical Software Components, Boston College Department of Economics
4. MV-AR: GAUSS module to calculate three multivariate tests for autocorrelation in VAR model
   Statistical Software Components, Boston College Department of Economics

2009

5. CItest2b: GAUSS module to implement tests for cointegration with two unknown structural breaks
   Statistical Software Components, Boston College Department of Economics View citations (2)
6. ContagT: GAUSS module to implement a pairwise bootstrap test for contagion
   Statistical Software Components, Boston College Department of Economics View citations (3)
7. HHtest: GAUSS module to implement bootstrap test for causality with leverage adjustments
   Statistical Software Components, Boston College Department of Economics
8. LagOrder: GAUSS module to determine the optimal lag order in the VAR model based on Information Criteria
   Statistical Software Components, Boston College Department of Economics
9. MV-ARCH: GAUSS module to implement the multivariate ARCH test
   Statistical Software Components, Boston College Department of Economics