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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
Jump to Journal Articles Software Items
Working Papers
2004
- Evidence on the Direction of Causation in the Money-Income Relationship: An Alternative Methodology
Working Papers, Örebro University, Swedish Business School
- 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
See also Journal Article in Economic Modelling (2002)
Journal Articles
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
- 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
- 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
- Tests for cointegration with two unknown regime shifts with an application to financial market integration
Empirical Economics, 2008, 35, (3), 497-505
- The Fisher effect: a Kalman filter approach to detecting structural change
Applied Economics Letters, 2008, 15, (8), 619-624
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
- 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
- A re-examination of international portfolio diversification based on evidence from leveraged bootstrap methods
Economic Modelling, 2006, 23, (6), 993-1007
- Calculating the optimal hedge ratio: constant, time varying and the Kalman Filter approach
Applied Economics Letters, 2006, 13, (5), 293-299
- 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
- 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
- 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
- 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
- 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
- Is the tourism-led growth hypothesis valid for Turkey?
Applied Economics Letters, 2005, 12, (8), 499-504 View citations
- Stock Price and Volume Relation in Emerging Markets
Emerging Markets Finance and Trade, 2005, 41, (1), 29-44 View citations
- The effect of regime shifts on the long-run relationships for Swedish money demand
Applied Economics, 2005, 37, (15), 1731-1736
- 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
- 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
- Is Pricing to Market Behavior a Long-Run Phenomenon? A Non-Stationary Panel Analysis
Empirica, 2004, 31, (1), 55-67 View citations
- Is the Equity Market Informationally Efficient in Japan? Evidence from Leveraged Bootstrap Analysis
Economia Internazionale / International Economics, 2004, 57, (4), 461-473 View citations
- Multivariate tests for autocorrelation in the stable and unstable VAR models
Economic Modelling, 2004, 21, (4), 661-683 View citations
- 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
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
- 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
2002
- Export performance and economic growth nexus in Japan: a bootstrap approach
Japan and the World Economy, 2002, 14, (1), 25-33 View citations
- Fiscal policy in Sweden: effects of EMU criteria convergence
Economic Modelling, 2002, 19, (1), 121-136 View citations
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
- 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
- Multivariate-based causality tests of twin deficits in the US
Journal of Applied Statistics, 2002, 29, (6), 817-824 View citations
- On the Causality between Exchange Rates and Stock Prices: A Note
Bulletin of Economic Research, 2002, 54, (2), 197-203 View citations
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
2000
- Export performance and economic growth causality: An empirical analysis
Atlantic Economic Journal, 2000, 28, (4), 412-426 View citations
- Time-series evidence for Balassas export-led growth hypothesis
Journal of International Trade & Economic Development, 2000, 9, (3), 355-365 View citations
1999
- 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
- CItest2b: GAUSS module to implement tests for cointegration with two unknown structural breaks
Statistical Software Components, Boston College Department of Economics
- ContagT: GAUSS module to implement a pairwise bootstrap test for contagion
Statistical Software Components, Boston College Department of Economics
- HHtest: GAUSS module to implement bootstrap test for causality with leverage adjustments
Statistical Software Components, Boston College Department of Economics
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