Monash Econometrics and Business Statistics Working Papers

from Monash University, Department of Econometrics and Business Statistics
PO Box 11E, Monash University, Victoria 3800, Australia.
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2003-17: Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices: Application of a Bivariate Kalman Filter

Catherine S. Forbes, Gael Margaret Martin and Jill Wright

2003-16: Persistence and Nonstationary Models

B.P.M. McCabe, Gael Margaret Martin and A.R. Tremayne

2003-15: Simulation-Based Bayesian Estimation of Affine Term Structure Models

Andrew D. Sanford and Gael Margaret Martin

2003-14: Bayesian Analysis of the Stochastic Conditional Duration Model

Chris M. Strickland, Catherine S. Forbes and Gael Margaret Martin

2003-13: General Insurance Premiums When Tail Fatness Is Unknown: A Fat Premium Representation Theorem

Roger Gay

2003-12: Non Parametric Confidence Intervals for Receiver Operating Characteristic Curves

Peter G. Hall, Rob Hyndman and Yanan Fan

2003-11: Who are the Self-employed? A New Approach

Sarah Brown, Lisa Farrell and Mark Harris

2003-10: Estimation of Asymmetric Box-Cox Stochastic Volatility Models Using MCMC Simulation

Xibin Zhang and Maxwell L. King

2003-9: Does Beta React to Market Conditions? Estimates of Bull and Bear Betas using a Nonlinear Market Model with an Endogenous Threshold Parameter

George Woodward and Heather M. Anderson

2003-8: Coherent Predictions of Low Count Time Series

B.P.M. McCabe and Gael Margaret Martin

2003-7: A Monte Carlo Investigation of Some Tests for Stochastic Dominance

Y. K. Tse and Xibin Zhang

2003-6: Pricing Australian S&P200 Options: A Bayesian Approach Based on Generalized Distributional Forms

David B. Flynn, Simone D. Grose, Gael Margaret Martin and Vance Lindsay Martin

2003-5: Implicit Bayesian Inference Using Option Prices

Gael Margaret Martin, Catherine S. Forbes and Vance Lindsay Martin

2003-4: Using Evolutionary Spectra to Forecast Time Series

Elizabeth Ann Maharaj

2003-3: Invertibility Conditions for Exponential Smoothing Models

Rob Hyndman, Muhammad Akram and Blyth Archibald

2003-2: Empirical Information Criteria for Time Series Forecasting Model Selection

Md B. Billah, Rob Hyndman and A.B. Koehler

2003-1: Stochastic models underlying Croston's method for intermittent demand forecasting

Lydia Shenstone and Rob Hyndman

2002-21: Choosing Lag Lengths in Nonlinear Dynamic Models

Heather M. Anderson

2002-20: Nonlinear Autoregresssive Leading Indicator Models of Output in G-7 Countries

Heather M. Anderson, George Athanasopoulos and Farshid Vahid

2002-19: Influence Diagnostics in GARCH Processes

Xibin Zhang and Maxwell L. King

2002-18: Estimation of Hyperbolic Diffusion Using MCMC Method

Y. K. Tse, Xibin Zhang and Jun Yu

2002-17: A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options

Jun Yu, Zhenlin Yang and Xibin Zhang

2002-16: The Economic Incidence of R&D and Promotion Investments in the Australian Beef Industry

Xueyan Zhao, J.D. Mullen, G.R. Griffith, R.R. Piggott and William Edward Griffiths

2002-15: Who Bears the Burden and Who Receives the Gain? - The Case of GWRDC R&D Investments in the Australian Grape and Wine Industry

Xueyan Zhao

2002-14: Reconstructing the Kalman Filter for Stationary and Non Stationary Time Series

Ralph David Snyder and Catherine S. Forbes

2002-13: Nonsimultaneity and Futures Option Pricing: Simulation and Empirical Evidence

Robert E.J. Hibbard, Rob Brown and Keith Robert McLaren

2002-12: Cobb-Douglas Utility - Eventually!

Alan Anthony Leslie Powell, Keith Robert McLaren, Ken Robert Pearson and Maureen Therese Rimmer

2002-11: An Improved Method for Bandwidth Selection when Estimating ROC Curves

Peter Hall and Rob Hyndman

2002-10: Local Linear Forecasts Using Cubic Smoothing Splines

Rob Hyndman, Maxwell L. King, Ivet Pitrun and Baki Billah

2002-9: Statistical Inference on Changes in Income Inequality in Australia

George Athanasopoulos and Farshid Vahid

2002-8: Model Selection Criteria for Segmented Time Series from a Bayesian Approach to Information Compression

Brian Hanlon and Catherine Forbes

2002-7: The DOGEV Model

Tim R.L. Fry and Mark Harris

2002-6: Regular and Estimable Inverse Demand Systems: A Distance Function Approach

Gary K.K. Wong and Keith Robert McLaren

2002-5: Non-linear Modelling of the Australian Business Cycle using a Leading Indicator

Roland G. Shami and Catherine S. Forbes

2002-4: Pricing Currency Options in Tranquil Markets: Modelling Volatility Frowns

Guay C. Lim, G.M. Martin and V.L. Martin (Vance Lindsay Martin and Gael Margaret Martin)

2002-3: Exponential Smoothing for Inventory Control: Means and Variances of Lead-Time Demand

Ralph David Snyder, Anne B. Koehler, Rob Hyndman and J. Keith Ord

2002-2: Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices

C.S. Forbes, Gael Margaret Martin and J. Wright

2002-1: Parametric Pricing of Higher Order Moments in S&P500 Options

Guay C. Lim, G.M. Martin and V.L. Martin (Vance Lindsay Martin and Gael Margaret Martin)

2001-11: Prediction Intervals for Exponential Smoothing State Space Models

Rob Hyndman, A.B. Koehler, J.K. Ord and Ralph David Snyder

2001-10: Using R to Teach Econometrics

Jeffrey Scott Racine and Rob Hyndman

2001-9: The Missing Link: Using the NBER Recession Indicator to Construct Coincident and Leading Indices of Economic Activity

João Victor Issler and Farshid Vahid

2001-8: Strategy Similarity and Coordination

Farshid Vahid and R. Sarin

2001-7: Capturing the Shape of Business Cycles with Nonlinear Autoregressive Leading Indicator Models

George Athanasopoulos, Heather M. Anderson and Farshid Vahid

2001-6: Statistical Methodological Issues in Studies of Air Pollution and Respiratory Disease

Rob Hyndman and B. Erbas

2001-5: Unmasking the Theta Method

Rob Hyndman and B. Billah

2001-4: On the Nature and Role of Hypothesis Tests

A. McLean

2001-3: Market Architecture and Nonlinear Dynamics of Australian Stock and Future Indices

Heather M. Anderson and Farshid Vahid

2001-2: The Importance Of Common Cyclical Features in VAR Analysis: A Monte-Carlo Study

Farshid Vahid and João Victor Issler

2001-1: Comparison of Non-Stationary Time Series in the Frequency Domain

E.A. Maharaj

2000-11: Mixed Model-Based Hazard Estimation

T. Cai, Rob Hyndman and M.P. Wand