Economics at your fingertips  

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.

Series data maintained by Dr Xibin Zhang ().

Access Statistics for this working paper series.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.

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
14/03: Bayesian Analysis of the Stochastic Conditional Duration Model Downloads
Chris M. Strickland, Catherine Forbes and Gael Martin
13/03: General Insurance Premiums When Tail Fatness Is Unknown: A Fat Premium Representation Theorem Downloads
Roger Gay
12/03: Non Parametric Confidence Intervals for Receiver Operating Characteristic Curves Downloads
Peter G. Hall, Rob Hyndman and Yanan Fan
11/03: Who are the Self-employed? A New Approach Downloads
Sarah Brown, Lisa Farrell and Mark Harris
10/03: Estimation of Asymmetric Box-Cox Stochastic Volatility Models Using MCMC Simulation Downloads
Xibin Zhang and Maxwell King
9/03: Does Beta React to Market Conditions? Estimates of Bull and Bear Betas using a Nonlinear Market Model with an Endogenous Threshold Parameter Downloads
George Woodward and Heather Anderson
8/03: Coherent Predictions of Low Count Time Series Downloads
Brendan McCabe and Gael Martin
7/03: A Monte Carlo Investigation of Some Tests for Stochastic Dominance Downloads
Y. K. Tse and Xibin Zhang
6/03: Pricing Australian S&P200 Options: A Bayesian Approach Based on Generalized Distributional Forms Downloads
David B. Flynn, Simone D. Grose, Gael Martin and Vance Martin
5/03: Implicit Bayesian Inference Using Option Prices Downloads
Gael Martin, Catherine Forbes and Vance Martin
4/03: Using Evolutionary Spectra to Forecast Time Series Downloads
Elizabeth Maharaj
3/03: Invertibility Conditions for Exponential Smoothing Models Downloads
Rob Hyndman, Muhammad Akram and Blyth Archibald
2/03: Empirical Information Criteria for Time Series Forecasting Model Selection Downloads
Md B. Billah, Rob Hyndman and A.B. Koehler
1/03: Stochastic models underlying Croston's method for intermittent demand forecasting Downloads
Lydia Shenstone and Rob Hyndman
21/02: Choosing Lag Lengths in Nonlinear Dynamic Models Downloads
Heather Anderson
20/02: Nonlinear Autoregresssive Leading Indicator Models of Output in G-7 Countries Downloads
Heather Anderson, George Athanasopoulos and Farshid Vahid
19/02: Influence Diagnostics in GARCH Processes Downloads
Xibin Zhang and Maxwell King
18/02: Estimation of Hyperbolic Diffusion Using MCMC Method Downloads
Y. K. Tse, Xibin Zhang and Jun Yu
17/02: A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options Downloads
Jun Yu, Zhenlin Yang and Xibin Zhang
Page updated 2016-05-31
Sorted by number, 2d-year right