Details about Prof. Abdulnasser Hatemi-J

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

Last updated 2009-11-23. Update your information in the RePEc Author Service.

Short-id: pha24

Working Papers

2004

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

1999

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

Journal Articles

2009

1. An empirical analysis of the informational efficiency of Australian equity markets
   Journal of Economic Studies, 2009, 36, (5), 437-445
2. 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

3. Estimating banks' equity duration: a panel cointegration approach
   Applied Financial Economics, 2008, 18, (14), 1173-1180
4. Forecasting properties of a new method to determine optimal lag order in stable and unstable VAR models
   Journal of Economic Methodology, 2008, 15, (4), 239-243
5. Is the Swedish Stock Market Becoming more Integrated with those of Germany and France?
   Economia Internazionale / International Economics, 2008, 61, (4), 665-685
6. 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
7. Tests for cointegration with two unknown regime shifts with an application to financial market integration
   Empirical Economics, 2008, 35, (3), 497-505
8. The Fisher effect: a Kalman filter approach to detecting structural change
   Applied Economics Letters, 2008, 15, (8), 619-624

2007

9. Capital mobility in Sweden: a time-varying parameter approach
   Applied Economics Letters, 2007, 14, (15), 1115-1118
10. 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
11. Liberalized emerging markets and the world economy: testing for increased integration with time-varying volatility
    Applied Financial Economics, 2007, 17, (15), 1245-1250

2006

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

2005

18. A test for multivariate ARCH effects
    Applied Economics Letters, 2005, 12, (7), 411-417 View citations
19. 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
20. 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
21. 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
22. Is the tourism-led growth hypothesis valid for Turkey?
    Applied Economics Letters, 2005, 12, (8), 499-504 View citations
23. Stock Price and Volume Relation in Emerging Markets
    Emerging Markets Finance and Trade, 2005, 41, (1), 29-44 View citations
24. The effect of regime shifts on the long-run relationships for Swedish money demand
    Applied Economics, 2005, 37, (15), 1731-1736
25. 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
26. 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

27. 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
28. 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
29. Is Pricing to Market Behavior a Long-Run Phenomenon? A Non-Stationary Panel Analysis
    Empirica, 2004, 31, (1), 55-67 View citations
30. Is the Equity Market Informationally Efficient in Japan? Evidence from Leveraged Bootstrap Analysis
    Economia Internazionale / International Economics, 2004, 57, (4), 461-473 View citations
31. Multivariate tests for autocorrelation in the stable and unstable VAR models
    Economic Modelling, 2004, 21, (4), 661-683 View citations
32. The Risk-Adjusted Interest Rate Parity: Panel Data Evidence
    Economia Internazionale / International Economics, 2004, 57, (1), 1-10
33. 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

2003

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

2002

37. Export performance and economic growth nexus in Japan: a bootstrap approach
    Japan and the World Economy, 2002, 14, (1), 25-33 View citations
38. Fiscal policy in Sweden: effects of EMU criteria convergence
    Economic Modelling, 2002, 19, (1), 121-136 View citations
    See also Working Paper (1999)
39. Investigating Causal Relations between Fixed Investment and Economic Growth
    Economia Internazionale / International Economics, 2002, 55, (1), 25-35 View citations
40. Is the Government's Intertemporal Budget Constraint Fulfilled in Sweden? An Application of the Kalman Filter
    Applied Economics Letters, 2002, 9, (7), 433-39 View citations
41. Multivariate-based causality tests of twin deficits in the US
    Journal of Applied Statistics, 2002, 29, (6), 817-824 View citations
42. On the Causality between Exchange Rates and Stock Prices: A Note
    Bulletin of Economic Research, 2002, 54, (2), 197-203 View citations

2001

43. Does Any Long-Run Relation Exist Between the Terms of Trade and the Trade Balance?
    Economia Internazionale / International Economics, 2001, 54, (2), 177-185
44. Productivity Performance and Export Performance: A Time-Series Perspective
    Eastern Economic Journal, 2001, 27, (2), 149-164 View citations

2000

45. Export performance and economic growth causality: An empirical analysis
    Atlantic Economic Journal, 2000, 28, (4), 412-426 View citations
46. Time-series evidence for Balassa’s export-led growth hypothesis
    Journal of International Trade & Economic Development, 2000, 9, (3), 355-365 View citations

1999

47. The Causal Nexus of Government Spending and Revenue in Finland: A Bootstrap Approach
    Applied Economics Letters, 1999, 6, (10), 641-44 View citations

Software Items

2009

1. CItest2b: GAUSS module to implement tests for cointegration with two unknown structural breaks
   Statistical Software Components, Boston College Department of Economics
2. ContagT: GAUSS module to implement a pairwise bootstrap test for contagion
   Statistical Software Components, Boston College Department of Economics
3. HHtest: GAUSS module to implement bootstrap test for causality with leverage adjustments
   Statistical Software Components, Boston College Department of Economics