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
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Working Papers
2013
- A New Asymmetric GARCH Model: Testing, Estimation and Application
MPRA Paper, University Library of Munich, Germany
- On option pricing in illiquid markets with random jumps
MPRA Paper, University Library of Munich, Germany
- On the pricing and hedging of options for highly volatile periods
MPRA Paper, University Library of Munich, Germany
2011
- Are Real Estate Markets Integrated with the World Market?
Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics
- Asymmetric generalized impulse responses and variance decompositions with an application
MPRA Paper, University Library of Munich, Germany View citations (2)
- Hidden panel cointegration
MPRA Paper, University Library of Munich, Germany View citations (1)
- On the calculation of price sensitivities with jump-diffusion structure
MPRA Paper, University Library of Munich, Germany
2010
- 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)
- Estimating Optimal Hedge Ratio with Unknown Structural Breaks
Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics
- Stochastic optimal hedge ratio: Theory and evidence
MPRA Paper, University Library of Munich, Germany 
See also Journal Article in Applied Economics Letters (2012)
- 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
- 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
- Evidence on the Direction of Causation in the Money-Income Relationship: An Alternative Methodology
Working Papers, Örebro University, School of Business
- The Causal Links Between Equity Market Prices: The Case of Australia and Its Major Trading Partners
Econometric Society 2004 Australasian Meetings, Econometric Society
1999
- 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
- Testing for the government's intertemporal budget restriction in Brazil during 1823--1889
Applied Economics, 2013, 45, (12), 1533-1540
2012
- 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)
- A re-examination of the unbiased forward rate hypothesis in the presence of multiple unknown structural breaks
Applied Economics, 2012, 44, (11), 1443-1448
- Asymmetric causality tests with an application
Empirical Economics, 2012, 43, (1), 447-456 View citations (3)
- 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
- 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
- Is the causal nexus of energy utilization and economic growth asymmetric in the US?
Economic Systems, 2012, 36, (3), 461-469
- Stochastic optimal hedge ratio: theory and evidence
Applied Economics Letters, 2012, 19, (8), 699-703 
See also Working Paper (2010)
2011
- A re-examination of the Fisher effect using an alternative approach
Applied Economics Letters, 2011, 18, (9), 855-858
- 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
- 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
- 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)
- 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
- 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
- An empirical analysis of the informational efficiency of Australian equity markets
Journal of Economic Studies, 2009, 36, (5), 437-445
- 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
- Estimating banks' equity duration: a panel cointegration approach
Applied Financial Economics, 2008, 18, (14), 1173-1180
- Is the Swedish Stock Market Becoming more Integrated with those of Germany and France?
Economia Internazionale / International Economics, 2008, 61, (4), 665-685
- 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)
- 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)
- The Fisher effect: a Kalman filter approach to detecting structural change
Applied Economics Letters, 2008, 15, (8), 619-624 View citations (1)
2007
- Capital mobility in Sweden: a time-varying parameter approach
Applied Economics Letters, 2007, 14, (15), 1115-1118
- 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
- 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)
- Liberalized emerging markets and the world economy: testing for increased integration with time-varying volatility
Applied Financial Economics, 2007, 17, (15), 1245-1250
2006
- A bootstrap-corrected causality test: another look at the money–income relationship
Empirical Economics, 2006, 31, (1), 207-216 View citations (3)
- A re-examination of international portfolio diversification based on evidence from leveraged bootstrap methods
Economic Modelling, 2006, 23, (6), 993-1007 View citations (2)
- Calculating the optimal hedge ratio: constant, time varying and the Kalman Filter approach
Applied Economics Letters, 2006, 13, (5), 293-299 View citations (4)
- Does it Pay for Australian Investors to Diversify into their Country's Major Trading Partners?
Economia Internazionale / International Economics, 2006, 59, (3), 295-316
- Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application
Applied Economics, 2006, 38, (13), 1489-1500 View citations (22)
- The response of industry employment to exchange rate shocks: evidence from panel cointegration
Applied Economics, 2006, 38, (4), 415-421
2005
- A test for multivariate ARCH effects
Applied Economics Letters, 2005, 12, (7), 411-417 View citations (7)
- 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)
- 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)
- 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)
- FOREIGN AID AND ECONOMIC GROWTH: NEW EVIDENCE FROM PANEL COINTEGRATION
Journal of Economic Development, 2005, 30, (1), 71-80 View citations (1)
- Is the tourism-led growth hypothesis valid for Turkey?
Applied Economics Letters, 2005, 12, (8), 499-504 View citations (26)
- Stock Price and Volume Relation in Emerging Markets
Emerging Markets Finance and Trade, 2005, 41, (1), 29-44 View citations (3)
- The effect of regime shifts on the long-run relationships for Swedish money demand
Applied Economics, 2005, 37, (15), 1731-1736 View citations (1)
- 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
- 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
- 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)
- 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)
- Is Pricing to Market Behavior a Long-Run Phenomenon? A Non-Stationary Panel Analysis
Empirica, 2004, 31, (1), 55-67 View citations (4)
- 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)
- Multivariate tests for autocorrelation in the stable and unstable VAR models
Economic Modelling, 2004, 21, (4), 661-683 View citations (10)
- The Risk-Adjusted Interest Rate Parity: Panel Data Evidence
Economia Internazionale / International Economics, 2004, 57, (1), 1-10
- 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
- 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)
- How productivity and domestic output are related to exports and foreign output in the case of Sweden
Empirical Economics, 2003, 28, (4), 767-782
- Is the J-Curve Effect Observable for Small North European Economies?
Open Economies Review, 2003, 14, (2), 119-134 View citations (6)
2002
- Export performance and economic growth nexus in Japan: a bootstrap approach
Japan and the World Economy, 2002, 14, (1), 25-33 View citations (2)
- Fiscal policy in Sweden: effects of EMU criteria convergence
Economic Modelling, 2002, 19, (1), 121-136 View citations (6)
See also Working Paper (1999)
- Investigating Causal Relations between Fixed Investment and Economic Growth
Economia Internazionale / International Economics, 2002, 55, (1), 25-35 View citations (1)
- Is the Government's intertemporal budget constraint fulfilled in Sweden? An application of the Kalman filter
Applied Economics Letters, 2002, 9, (7), 433-439
- 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)
- Multivariate-based causality tests of twin deficits in the US
Journal of Applied Statistics, 2002, 29, (6), 817-824 View citations (10)
- On the Causality between Exchange Rates and Stock Prices: A Note
Bulletin of Economic Research, 2002, 54, (2), 197-203 View citations (9)
2001
- Does Any Long-Run Relation Exist Between the Terms of Trade and the Trade Balance?
Economia Internazionale / International Economics, 2001, 54, (2), 177-185
- Productivity Performance and Export Performance: A Time-Series Perspective
Eastern Economic Journal, 2001, 27, (2), 149-164 View citations (2)
- 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
- Export performance and economic growth causality: An empirical analysis
Atlantic Economic Journal, 2000, 28, (4), 412-426 View citations (4)
1999
- 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
- 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
- ACTEST: GAUSS module to Apply Asymmetric Causality Tests
Statistical Software Components, Boston College Department of Economics
2010
- 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)
- 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
- MV-AR: GAUSS module to calculate three multivariate tests for autocorrelation in VAR model
Statistical Software Components, Boston College Department of Economics
2009
- CItest2b: GAUSS module to implement tests for cointegration with two unknown structural breaks
Statistical Software Components, Boston College Department of Economics View citations (2)
- ContagT: GAUSS module to implement a pairwise bootstrap test for contagion
Statistical Software Components, Boston College Department of Economics View citations (3)
- HHtest: GAUSS module to implement bootstrap test for causality with leverage adjustments
Statistical Software Components, Boston College Department of Economics
- 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
- MV-ARCH: GAUSS module to implement the multivariate ARCH test
Statistical Software Components, Boston College Department of Economics
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