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Details about Stan Hurn

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Workplace:School of Economics and Finance, Business School, Queensland University of Technology, (more information at EDIRC)
National Centre for Econometric Research (NCER), (more information at EDIRC)

Access statistics for papers by Stan Hurn.

Last updated 2017-03-10. Update your information in the RePEc Author Service.

Short-id: phu111


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Working Papers

2016

  1. "Change Detection and the Causal Impact of the Yield Curve
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    Also in NCER Working Paper Series, National Centre for Econometric Research (2015) Downloads
  2. Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship
    NCER Working Paper Series, National Centre for Econometric Research Downloads
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2016) Downloads

2015

  1. Forecasting day-ahead electricity load using a multiple equation time series approach
    NCER Working Paper Series, National Centre for Econometric Research Downloads
    See also Journal Article in European Journal of Operational Research (2016)

2014

  1. A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (1)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) Downloads View citations (1)

    See also Journal Article in Journal of Applied Econometrics (2016)

2013

  1. On the Efficacy of Fourier Series Approximations for Pricing European and Digital Options
    NCER Working Paper Series, National Centre for Econometric Research Downloads

2012

  1. A Spatial Econometric Analysis of the Effect of Vertical Restraints and Branding on Retail Gasoline Pricing
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (1)
  2. Selecting forecasting models for portfolio allocation
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (1)

2011

  1. Asymmetric unemployment rate dynamics in Australia
    NCER Working Paper Series, National Centre for Econometric Research Downloads
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) Downloads View citations (4)
    Working Paper Series, Department of Economics, Norwegian University of Science and Technology (2010) Downloads View citations (3)

    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2012)

2010

  1. A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions
    NCER Working Paper Series, National Centre for Econometric Research Downloads
    See also Journal Article in Journal of Econometrics (2013)

2009

  1. Detecting Common Dynamics in Transitory Components
    NCER Working Paper Series, National Centre for Econometric Research Downloads
    See also Journal Article in Journal of Time Series Econometrics (2011)
  2. Evaluating multivariate volatility forecasts
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (20)
  3. Testing the Profitability of Technical Analysis as a Portfolio Selection Strategy
    NCER Working Paper Series, National Centre for Econometric Research Downloads

2008

  1. Developing analytical distributions for temperature indices for the purposes of pricing temperature-based weather derivatives
    NCER Working Paper Series, National Centre for Econometric Research Downloads
  2. Discrete time-series models when counts are unobservable
    NCER Working Paper Series, National Centre for Econometric Research Downloads
  3. Estimating the Payoffs of Temperature-based Weather Derivatives
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (2)
  4. It never rains but it pours: Modelling the persistence of spikes in electricity prices
    NCER Working Paper Series, National Centre for Econometric Research Downloads
    See also Journal Article in The Energy Journal (2009)
  5. Momentum in Australian Stock Returns: An Update
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (8)
  6. The Devil is in the Detail: Hints for Practical Optimisation
    NCER Working Paper Series, National Centre for Econometric Research Downloads
    See also Journal Article in Economic Analysis and Policy (2008)

2007

  1. Econometric Analysis of Structural Systems with Permanent and Transitory Shocks. Working paper #7
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (3)
  2. Teaching an Old Dog New Tricks: Improved Estimation of the Parameters of Stochastic Differential Equations by Numerical Solution of the Fokker-Planck Equation
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (1)
  3. Testing for nonlinearity in mean in the presence of heteroskedasticity. Working paper #8
    NCER Working Paper Series, National Centre for Econometric Research Downloads

2006

  1. Estimating Stochastic Volatility Models Using a Discrete Non-linear Filter. Working paper #3
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (2)
  2. Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations. Working paper #2
    NCER Working Paper Series, National Centre for Econometric Research Downloads
  3. Seeing the wood for the trees: A critical evaluation of methods to estimate the parameters of stochastic differential equations
    Stan Hurn Discussion Papers, School of Economics and Finance, Queensland University of Technology Downloads View citations (3)
    See also Journal Article in Journal of Financial Econometrics
  4. Teaching an old dog new tricks: Improved estimation of the parameters of SDEs by numerical solution of the Fokker-Planck equation
    Stan Hurn Discussion Papers, School of Economics and Finance, Queensland University of Technology Downloads View citations (4)
  5. Testing for nonlinearity in mean in the presence of heteroskedasticity
    Stan Hurn Discussion Papers, School of Economics and Finance, Queensland University of Technology Downloads View citations (1)
    Also in Econometric Society 2004 Australasian Meetings, Econometric Society (2004) Downloads View citations (1)

    See also Journal Article in Economic Analysis and Policy (2009)

2005

  1. Modelling Wages and Prices in Australia
    Working Paper Series, Department of Economics, Norwegian University of Science and Technology Downloads View citations (5)
    See also Journal Article in The Economic Record (2007)

2004

  1. Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility
    Econometric Society 2004 Australasian Meetings, Econometric Society Downloads View citations (5)

2003

  1. A smooth-transition model of the Australian unemployment rate
    Working Paper Series, Department of Economics, Norwegian University of Science and Technology Downloads View citations (2)

2001

  1. Modelling Structural Change in Money Demand Using a Fourier-Series Approximation
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (3)
  2. Testing for Time Dependence in Parameters
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (10)

1999

  1. The Generic Properties of Equilibrium Correction Mechanisms
    Working Paper Series, Department of Economics, Norwegian University of Science and Technology Downloads View citations (1)

1998

  1. Distributional Preferences and the Extended Gini Measures of Inequality
    Department of Economics - Working Papers Series, The University of Melbourne View citations (1)

1996

  1. Time Series Evidence of Global Warming
    Department of Economics - Working Papers Series, The University of Melbourne

1995

  1. Estimating the Parameters of Stochastic Differential Equations by Monte Carlo Methods
    Department of Economics - Working Papers Series, The University of Melbourne View citations (3)
    See also Journal Article in Mathematics and Computers in Simulation (MATCOM) (1997)
  2. Isolating Cyclical Patterns in Irregular Time Series Data
    Department of Economics - Working Papers Series, The University of Melbourne
    See also Journal Article in Mathematics and Computers in Simulation (MATCOM) (1997)
  3. Modelling the Lifespan of Human T Lymphocyte Subsets
    Department of Economics - Working Papers Series, The University of Melbourne
  4. The Empirical Size and Power of Some Tests for Detecting Autoregressive Conditional Heteroskedasticity in the Presence of Serial Correlation
    Department of Economics - Working Papers Series, The University of Melbourne

1994

  1. Bank of England Intervention and the Structure of Interest Rates in the London Interbank Market
    Working Papers, Tasmania - Department of Economics

1993

  1. Unobservable Cyclical Components in Term Premia of Fixed- Term Financial Instruments
    Working Papers, Tasmania - Department of Economics
    See also Journal Article in Mathematics and Computers in Simulation (MATCOM) (1995)

Undated

  1. Modelling Stock Market Excess Returns by Markov Modulated Gaussian Noise
    Working Papers, Business School - Economics, University of Glasgow Downloads

Journal Articles

2016

  1. A Smooth Transition Logit Model of The Effects of Deregulation in the Electricity Market
    Journal of Applied Econometrics, 2016, 31, (4), 707-733 Downloads View citations (1)
    See also Working Paper (2014)
  2. Common trends in global volatility
    Journal of International Money and Finance, 2016, 67, (C), 194-214 Downloads
  3. Forecasting day-ahead electricity load using a multiple equation time series approach
    European Journal of Operational Research, 2016, 251, (2), 522-530 Downloads View citations (3)
    See also Working Paper (2015)
  4. Strategic bidding and rebidding in electricity markets
    Energy Economics, 2016, 59, (C), 24-36 Downloads

2015

  1. Estimating the Parameters of Stochastic Volatility Models Using Option Price Data
    Journal of Business & Economic Statistics, 2015, 33, (4), 579-594 Downloads
  2. Modelling interregional links in electricity price spikes
    Energy Economics, 2015, 51, (C), 383-393 Downloads View citations (4)
  3. Selecting volatility forecasting models for portfolio allocation purposes
    International Journal of Forecasting, 2015, 31, (3), 849-861 Downloads View citations (1)
  4. Volatility transmission in global financial markets
    Journal of Empirical Finance, 2015, 32, (C), 3-18 Downloads View citations (4)

2013

  1. A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions
    Journal of Econometrics, 2013, 172, (1), 106-126 Downloads View citations (4)
    See also Working Paper (2010)
  2. Semi-parametric Forecasting of Spikes in Electricity Prices
    The Economic Record, 2013, 89, (287), 508-521 Downloads View citations (7)

2012

  1. Asymmetric Unemployment Rate Dynamics in Australia
    Studies in Nonlinear Dynamics & Econometrics, 2012, 16, (1), 1-22 Downloads View citations (1)
    See also Working Paper (2011)
  2. Forecasting spikes in electricity prices
    International Journal of Forecasting, 2012, 28, (2), 400-411 Downloads View citations (28)

2011

  1. Detecting Common Dynamics in Transitory Components
    Journal of Time Series Econometrics, 2011, 3, (1), 1-28 Downloads View citations (2)
    See also Working Paper (2009)
  2. Semi-Parametric Forecasting of Realized Volatility
    Studies in Nonlinear Dynamics & Econometrics, 2011, 15, (3), 1-23 Downloads View citations (6)

2009

  1. It Never Rains but it Pours: Modeling the Persistence of Spikes in Electricity Prices
    The Energy Journal, 2009, Volume 30, (Number 1), 25-48 Downloads View citations (22)
    See also Working Paper (2008)
  2. Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity
    Economic Analysis and Policy, 2009, 39, (2), 311-326 Downloads
    See also Working Paper (2006)

2008

  1. Practitioner's Corner: Introduction
    Economic Analysis and Policy, 2008, 38, (2), 343-343 Downloads
  2. The Devil is in the Detail: Hints for Practical Optimisation
    Economic Analysis and Policy, 2008, 38, (2), 345-368 Downloads View citations (1)
    See also Working Paper (2008)

2007

  1. Identifying aggregate demand and supply shocks in a small open economy
    Oxford Economic Papers, 2007, 59, (3), 411-429 Downloads View citations (5)
  2. Modelling Spikes in Electricity Prices
    The Economic Record, 2007, 83, (263), 371-382 Downloads View citations (28)
  3. Modelling Wages and Prices in Australia
    The Economic Record, 2007, 83, (261), 143-158 Downloads View citations (3)
    See also Working Paper (2005)

2006

  1. Asset pricing puzzles in finance: Introduction
    The North American Journal of Economics and Finance, 2006, 17, (2), 103-105 Downloads View citations (1)

2004

  1. Linearizations and Equilibrium Correction Models
    Studies in Nonlinear Dynamics & Econometrics, 2004, 8, (4), 1-9 Downloads View citations (2)
  2. Using discrete-time techniques to test continuous-time models for nonlinearity in drift
    Mathematics and Computers in Simulation (MATCOM), 2004, 64, (1), 121-131 Downloads

2003

  1. Dollar-Deutschemark Polarisation: Comparing The Pound And Franc
    Scottish Journal of Political Economy, 2003, 50, (3), 217-231 Downloads
  2. Mobius-Like Mappings and Their Use in Kernel Density Estimation
    Journal of the American Statistical Association, 2003, 98, 993-1000 Downloads View citations (6)
  3. Momentum in Australian Stock Returns
    Australian Journal of Management, 2003, 28, (2), 141-155 Downloads View citations (15)
  4. On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential Equations*
    Journal of Time Series Analysis, 2003, 24, (1), 45-63 Downloads View citations (11)

2002

  1. Asymmetric price adjustment and the Phillips curve
    Journal of Macroeconomics, 2002, 24, (3), 395-412 Downloads View citations (5)
  2. On the Specification of the Drift and Diffusion Functions for Continuous-Time Models of the Spot Interest Rate
    Oxford Bulletin of Economics and Statistics, 2002, 64, (5), 547-64 Downloads View citations (2)

1999

  1. Estimating the parameters of stochastic differential equations
    Mathematics and Computers in Simulation (MATCOM), 1999, 48, (4), 373-384 Downloads View citations (4)
  2. Measuring Attitudes towards Inequality
    Scandinavian Journal of Economics, 1999, 101, (1), 83-96 Downloads View citations (70)

1997

  1. Common trends and generalized purchasing power parity
    Mathematics and Computers in Simulation (MATCOM), 1997, 43, (3), 437-443 Downloads View citations (7)
  2. Estimating the parameters of stochastic differential equations by Monte Carlo methods
    Mathematics and Computers in Simulation (MATCOM), 1997, 43, (3), 495-501 Downloads View citations (3)
    See also Working Paper (1995)
  3. Isolating cyclical patterns in irregular time-series data
    Mathematics and Computers in Simulation (MATCOM), 1997, 43, (3), 405-412 Downloads
    See also Working Paper (1995)

1996

  1. Modelling the Demand for M4 in the U.K
    The Manchester School of Economic & Social Studies, 1996, 64, (1), 70-78 View citations (1)

1995

  1. In Search of Time-Varying Term Premia in the London Interbank Market
    Scottish Journal of Political Economy, 1995, 42, (2), 152-64 View citations (2)
  2. The Term Structure of Interest Rates in the London Interbank Market
    Oxford Economic Papers, 1995, 47, (3), 419-36 View citations (25)
  3. Unobservable cyclical components in term premia of fixed-term financial instruments
    Mathematics and Computers in Simulation (MATCOM), 1995, 39, (3), 403-409 Downloads
    See also Working Paper (1993)

1994

  1. Geology or Economics? Testing Models of Irreversible Investment Using North Sea Oil Data
    Economic Journal, 1994, 104, (423), 363-71 Downloads View citations (21)
  2. Theory and Tests of Generalized Purchasing-Power Parity: Common Trends and Real Exchange Rates in the Pacific Rim
    Review of International Economics, 1994, 2, (2), 179-90 View citations (30)

1993

  1. Seasonality, Cointegration and Error Correction: An Illustration Using South African Monetary Data
    Scottish Journal of Political Economy, 1993, 40, (3), 311-22
  2. The Money-income Causality Debate in South Africa: Reply
    South African Journal of Economics, 1993, 61, (1), 58-60 Downloads

1992

  1. Cointegration and Dynamic Time Series Models
    Journal of Economic Surveys, 1992, 6, (1), 1-43 View citations (44)
  2. Testing Superexogeneity: The Demand for Broad Money in the UK
    Oxford Bulletin of Economics and Statistics, 1992, 54, (4), 543-56 View citations (9)
  3. The Long-run Properties of the Demand for M3 in South Africa
    South African Journal of Economics, 1992, 60, (2), 93-101 Downloads View citations (3)

1991

  1. Causality, Predictability and Monetary Targets in South Africa
    South African Journal of Economics, 1991, 59, (4), 229-241 Downloads

Undated

  1. Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations
    Journal of Financial Econometrics, 5, (3), 390-455 Downloads
    See also Working Paper (2006)

Books

2013

  1. Econometric Modelling with Time Series
    Cambridge Books, Cambridge University Press View citations (1)
    Also in Cambridge Books, Cambridge University Press (2013) View citations (1)
 
Page updated 2017-05-22