Details about Elizabeth Ann Maharaj

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Short-id: pma1840

Working Papers

2005

1. On the comparison of time series using subsampling
   DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
   See also Journal Article Comparison of time series using subsampling, Computational Statistics & Data Analysis, Elsevier (2006) View citations (10) (2006)

2004

2. Wavelet timescales and conditional relationship between higher- order systematic co-moments and portfolio returns: evidence in Australian data
   Finance, University Library of Munich, Germany
   Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2004)

2003

3. Using Evolutionary Spectra to Forecast Time Series
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics

2001

4. Comparison of Non-Stationary Time Series in the Frequency Domain
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (5)
   See also Journal Article Comparison of non-stationary time series in the frequency domain, Computational Statistics & Data Analysis, Elsevier (2002) View citations (18) (2002)

1999

5. A Test for the Difference Parameter of the ARFIMA Model Using the Moving Blocks Bootstrap
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics

1995

6. Homogeneity of Variance Test for the Comparison of Two or More Spectra
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics

1994

7. A Significance Test for Classifying ARMA Models
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (27)

Journal Articles

2013

1. A hypothesis test using bias-adjusted AR estimators for classifying time series in small samples
   Computational Statistics & Data Analysis, 2013, 60, (C), 32-49 View citations (4)

2012

2. A wavelet based investigation of long memory in stock returns
   Physica A: Statistical Mechanics and its Applications, 2012, 391, (7), 2330-2341 View citations (14)
3. The impact of a new term auction facility on Libor–OIS spreads and volatility transmission between money and mortgage markets during the subprime crisis
   Journal of International Money and Finance, 2012, 31, (5), 1106-1125 View citations (9)

2010

4. A coherence-based approach for the pattern recognition of time series
   Physica A: Statistical Mechanics and its Applications, 2010, 389, (17), 3516-3537 View citations (11)
5. Impact of capital control measures on the Malaysian stock market
   International Journal of Managerial Finance, 2010, 6, (2), 116-127 View citations (3)
6. Wavelet-based Fuzzy Clustering of Time Series
   Journal of Classification, 2010, 27, (2), 231-275 View citations (12)

2008

7. Relationship between downside risk and return: new evidence through a multiscaling approach
   Applied Financial Economics, 2008, 18, (20), 1623-1633 View citations (2)
8. Wavelet Estimation of Asymmetric Hedge Ratios: Does Econometric Sophistication Boost Hedging Effectiveness?
   International Journal of Business and Economics, 2008, 7, (3), 213-230 View citations (2)
9. Wavelet timescales and conditional relationship between higher-order systematic co-moments and portfolio returns
   Quantitative Finance, 2008, 8, (2), 201-215 View citations (20)

2007

10. Discrimination of locally stationary time series using wavelets
    Computational Statistics & Data Analysis, 2007, 52, (2), 879-895 View citations (11)

2006

11. Comparison of time series using subsampling
    Computational Statistics & Data Analysis, 2006, 50, (10), 2589-2599 View citations (10)
    See also Working Paper On the comparison of time series using subsampling, DES - Working Papers. Statistics and Econometrics. WS (2005) (2005)

2002

12. Comparison of non-stationary time series in the frequency domain
    Computational Statistics & Data Analysis, 2002, 40, (1), 131-141 View citations (18)
    See also Working Paper Comparison of Non-Stationary Time Series in the Frequency Domain, Monash Econometrics and Business Statistics Working Papers (2001) View citations (5) (2001)