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Monash Econometrics and Business Statistics Working Papers
from Monash University, Department of Econometrics and Business Statistics EDIRC .
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16/05: Autoregressive Approximation in Nonstandard Situations: The Non-Invertible and Fractionally Integrated Cases
Donald Stephen Poskitt 15/05: Forecasting Accuracy and Estimation Uncertainty Using VAR Models with Short- and Long-Term Economic Restrictions: A Monte-Carlo Study
Osmani Teixeira de Carvalho Guillén , João Victor Issler and George Athanasopoulos 14/05: On the Bimodality of the Exact Distribution of the TSLS Estimator
Giovanni Forchini 13/05: Another Look at Measures of Forecast Accuracy
Rob J Hyndman and Anne B. Koehler 12/05: 25 Years of IIF Time Series Forecasting: A Selective Review
Jan G. De Gooijer and Rob J Hyndman 11/05: Is systematic downside beta risk really priced? Evidence in emerging market data
Don U. A. Galagedera and Robert D. Brooks 10/05: An Analysis of Watermove Water Markets
Robert Brooks and Edwyna Margaret Harris 9/05: Determinants of Sovereign Ratings: A Comparison of Case-Based Reasoning and Ordered Probit Approaches
Emawtee Bissoondoyal-Bheenick , Robert Brooks and Angela Y.N. Yip 8/05: Minimum Variance Unbiased Maximum Likelihood Estimation of the Extreme Value Index
Roger Gay 7/05: Time Series Forecasting: The Case for the Single Source of Error State Space
Keith Ord , Ralph David Snyder , Anne B Koehler , Rob J Hyndman and Mark Leeds 6/05: Exponential Smoothing Model Selection for Forecasting
Baki Billah , Maxwell Leslie King , Ralph David Snyder and Anne B Koehler 5/05: A Pedant's Approach to Exponential Smoothing
Ralph David Snyder 4/05: Small Concentration Asymptotics and Instrumental Variables Inference
Donald Stephen Poskitt and Christopher Lachlan Skeels 3/05: Forecasting age-specific breast cancer mortality using functional data models
Bircan Erbas , Rob J Hyndman and Dorota M. Gertig 2/05: Robust forecasting of mortality and fertility rates: a functional data approach
Rob J Hyndman and Md. Shahid Ullah 1/05: Rating Forecasts for Television Programs
Denny Meyer and Rob J Hyndman 29/04: Assessing the Magnitude of the Concentration Parameter in a Simultaneous Equations Model
Donald Stephen Poskitt and Christopher Lachlan Skeels 28/04: Forecasting Time-Series with Correlated Seasonality
Phillip Gould , Anne B. Koehler , Farshid Vahid , Ralph David Snyder , Keith Ord and Rob J Hyndman 27/04: Value of Expertise For Forecasting Decisions in Conflicts
Kesten Charles Green and J. Scott Armstrong 26/04: Box-Cox Stochastic Volatility Models with Heavy-Tails and Correlated Errors
Xibin Zhang and Maxwell Leslie King 25/04: Adaptive Premiums for Evolutionary Claims in Non-Life Insurance
Roger Gay 24/04: Inflation, Financial Development and Endogenous Growth
Max Gillman and Mark N. Harris 23/04: Inflation, Financial Development and Growth in Transition Countries
Max Gillman and Mark N. Harris 22/04: Random Walk Smooth Transition Autoregressive Models
Heather M. Anderson and Chin Nam Low 21/04: Single Source of Error State Space Approach to the Beveridge Nelson Decomposition
Heather M. Anderson , Chin Nam Low and Ralph David Snyder 20/04: On The Identification and Estimation of Partially Nonstationary ARMAX Systems
Donald Stephen Poskitt 19/04: Approximating the Distribution of the Instrumental Variables Estimator when the Concentration Parameter is Small
Donald Stephen Poskitt and Christopher Lachlan Skeels 18/04: Further evidence on game theory, simulated interaction, and unaided judgement for forecasting decisions in conflicts
Kesten Charles Green 17/04: Structured analogies for forecasting
Kesten Charles Green and J. Scott Armstrong 16/04: Wavelet timescales and conditional relationship between higher-order systematic co-moments and portfolio returns: evidence in Australian data
Don U. A. Galagedera and Elizabeth Ann Maharaj 15/04: Exponential Smoothing: A Prediction Error Decomposition Principle
Ralph David Snyder 14/04: Modelling Tobacco Consumption with a Zero-Inflated Ordered Probit Model
Mark N. Harris and Xueyan Zhao 13/04: Testing for Dependence in Non-Gaussian Time Series Data
Brendan McCabe , Gael Margaret Martin and R.K. Freeland 12/04: Some Results on the Identification and Estimation of Vector ARMAX Processes
Donald Stephen Poskitt 11/04: Bayesian Analysis of Continuous Time Models of the Australian Short Rate
Andrew D. Sanford and Gael Margaret Martin 10/04: Estimating Components in Finite Mixtures and Hidden Markov Models
Donald Stephen Poskitt and Jing Zhang 9/04: Bandwidth Selection for Multivariate Kernel Density Estimation Using MCMC
Xibin Zhang , Maxwell Leslie King and Rob J Hyndman 8/04: Modelling the Risk and Return Relation Conditional on Market Volatility and Market Conditions
Don U. A. Galagedera and Robert William Faff 7/04: Long term hedging of the Australian All Ordinaries Index using a bivariate error correction FIGARCH model
Jonathan Dark 6/04: Basis convergence and long memory in volatility when dynamic hedging with SPI futures
Jonathan Dark 5/04: Long memory in the volatility of the Australian All Ordinaries Index and the Share Price Index futures
Jonathan Dark 4/04: Bivariate error correction FIGARCH and FIAPARCH models on the Australian All Ordinaries Index and its SPI futures
Jonathan Dark 3/04: Economic growth and contraction and their impact on the poor
Brett Inder 2/04: Migration and Unemployment in South Africa: When Motivation Surpasses the Theory
Katy Cornwell and Brett Inder 1/04: The Power Principle and Tail-Fatness Uncertainty
Roger Gay 22/03: Averaging Lorenz Curves
Duangkamon Chotikapanich and William Edward Griffiths 21/03: The Decline in Income Growth Volatility in the United States: Evidence from Regional Data
Heather M. Anderson and Farshid Vahid 20/03: Association between Markov regime-switching market volatility and beta risk: Evidence from Dow Jones industrial securities
Don U. A. Galagedera and Roland Shami 19/03: Nonlinear Correlograms and Partial Autocorrelograms
Heather M. Anderson and Farshid Vahid 18/03: Diversification Meltdown or the Impact of Fat tails on Conditional Correlation?
Rachel Campbell , Catherine Scipione Forbes , Kees Koedijk and Paul Kofman
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