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Details about Param Silvapulle

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Workplace:Department of Econometrics and Business Statistics, Monash Business School, Monash University, (more information at EDIRC)

Access statistics for papers by Param Silvapulle.

Last updated 2013-11-12. Update your information in the RePEc Author Service.

Short-id: psi262


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Working Papers

2009

  1. VARMA models for Malaysian Monetary Policy Analysis
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (1)

2007

  1. Estimating the Error Distribution in the Multivariate Heteroscedastic Time Series Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (3)
  2. Semiparametric estimation of the dependence parameter of the error terms in multivariate regression
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads

2006

  1. Assessing Dependence Changes in the Asian Financial Market Returns Using Plots Based on Nonparametric Measures
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (1)
  2. Half-Life Estimation based on the Bias-Corrected Bootstrap: A Highest Density Region Approach
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (4)
    See also Journal Article in Computational Statistics & Data Analysis (2007)

2004

  1. Exchange Rate Pass-Through to Manufactured Import Prices: The Case of Japan
    International Trade, EconWPA Downloads View citations (10)
  2. Nonlinear Modelling of Purchasing Power Parity in Indonesia
    Econometric Society 2004 Australasian Meetings, Econometric Society Downloads View citations (1)
  3. Robustness of a semiparametric estimator of a copula
    Econometric Society 2004 Australasian Meetings, Econometric Society Downloads View citations (1)
  4. Role of Exchange Rate Volatility in Exchange Rate Pass-Through to Import Prices: Some Evidence from Japan
    International Finance, EconWPA Downloads View citations (1)

1996

  1. Testing for Serial Correlation in the of Dynamic Heteroscedasticity
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)

1995

  1. A Score Test for Seasonal Fractional Integration and Cointegration
    Econometrics, EconWPA Downloads View citations (1)
    Also in Working Papers, University of Iowa, Department of Economics (1995)

    See also Journal Article in Econometric Reviews (2001)

Journal Articles

2008

  1. Multivariate conditional heteroscedasticity models with dynamic correlations for testing contagion
    Applied Financial Economics, 2008, 18, (4), 267-273 Downloads View citations (1)

2007

  1. Analysis of dependence in the G11 countries' financial markets: simulation and empirical evidence
    Applied Financial Economics Letters, 2007, 3, (4), 211-214 Downloads
  2. Assessing dependence changes using nonparametric methods
    Applied Financial Economics Letters, 2007, 3, (6), 397-401 Downloads View citations (1)
  3. Half-life estimation based on the bias-corrected bootstrap: A highest density region approach
    Computational Statistics & Data Analysis, 2007, 51, (7), 3418-3432 Downloads View citations (6)
    See also Working Paper (2006)

2004

  1. Asymmetry in Okun's law
    Canadian Journal of Economics, 2004, 37, (2), 353-374 Downloads View citations (41)

2003

  1. Testing for Temporal Asymmetry in the Price-Volume Relationship
    Bulletin of Economic Research, 2003, 55, (4), 373-389 Downloads View citations (9)

2001

  1. A SCORE TEST FOR SEASONAL FRACTIONAL INTEGRATION AND COINTEGRATION
    Econometric Reviews, 2001, 20, (1), 85-104 Downloads View citations (1)
    See also Working Paper (1995)
  2. Long-Term Memory in Stock Market Returns: International Evidence
    International Journal of Finance & Economics, 2001, 6, (1), 59-67 Downloads View citations (47)

2000

  1. The price-volume relationship in the crude oil futures market Some results based on linear and nonlinear causality testing
    International Review of Economics & Finance, 2000, 9, (1), 11-30 Downloads View citations (15)

1999

  1. Testing for Seasonal Stability in Unemployment Series: International Evidence
    Empirica, 1999, 26, (2), 123-139 Downloads View citations (1)
  2. Testing for linear and nonlinear granger causality in the stock price-volume relation: Korean evidence
    The Quarterly Review of Economics and Finance, 1999, 39, (1), 59-76 Downloads View citations (21)

1998

  1. Testing for serial correlation in the presence of dynamic heteroscedasticity
    Econometric Reviews, 1998, 17, (1), 31-55 Downloads View citations (3)

1994

  1. TESTING FOR PHILIPPINES RICE MARKET INTEGRATION: A MULTIPLE COINTEGRATION APPROACH
    Journal of Agricultural Economics, 1994, 45, (3), 369-380 Downloads View citations (26)

1993

  1. Nonnested testing for autocorrelation in the linear regression model
    Journal of Econometrics, 1993, 58, (3), 295-314 Downloads View citations (2)

1992

  1. Testing for AR(p) against IMA(1, q) disturbances in the linear regression model
    Economics Letters, 1992, 40, (3), 257-261 Downloads View citations (1)

1991

  1. Testing Moving Average against Autoregressive Disturbances in the Linear-Regression Model
    Journal of Business & Economic Statistics, 1991, 9, (3), 329-35 View citations (9)
 
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