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Monash Econometrics and Business Statistics Working Papers

From Monash University, Department of Econometrics and Business Statistics
PO Box 11E, Monash University, Victoria 3800, Australia.
Contact information at EDIRC.

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