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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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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
16/02: The Economic Incidence of R&D and Promotion Investments in the Australian Beef Industry Downloads
Xueyan Zhao, J.D. Mullen, G.R. Griffith, R.R. Piggott and William Griffiths
15/02: Who Bears the Burden and Who Receives the Gain? - The Case of GWRDC R&D Investments in the Australian Grape and Wine Industry Downloads
Xueyan Zhao
14/02: Reconstructing the Kalman Filter for Stationary and Non Stationary Time Series Downloads
Ralph Snyder and Catherine Forbes
13/02: Nonsimultaneity and Futures Option Pricing: Simulation and Empirical Evidence Downloads
Robert E.J. Hibbard, Rob Brown and Keith McLaren
12/02: Cobb-Douglas Utility - Eventually! Downloads
Alan Powell, Keith McLaren, Ken Pearson and Maureen Rimmer
11/02: An Improved Method for Bandwidth Selection when Estimating ROC Curves Downloads
Peter Hall and Rob Hyndman
10/02: Local Linear Forecasts Using Cubic Smoothing Splines Downloads
Rob Hyndman, Maxwell King, Ivet Pitrun and Baki Billah
9/02: Statistical Inference on Changes in Income Inequality in Australia Downloads
George Athanasopoulos and Farshid Vahid
8/02: Model Selection Criteria for Segmented Time Series from a Bayesian Approach to Information Compression Downloads
Brian Hanlon and Catherine Forbes
7/02: The DOGEV Model Downloads
Tim Fry and Mark Harris
6/02: Regular and Estimable Inverse Demand Systems: A Distance Function Approach Downloads
Gary K.K. Wong and Keith McLaren
5/02: Non-linear Modelling of the Australian Business Cycle using a Leading Indicator Downloads
Roland G. Shami and Catherine Forbes
4/02: Pricing Currency Options in Tranquil Markets: Modelling Volatility Frowns Downloads
Guay Lim, G.M. Martin and V.L. Martin
3/02: Exponential Smoothing for Inventory Control: Means and Variances of Lead-Time Demand Downloads
Ralph Snyder, Anne B. Koehler, Rob Hyndman and Keith Ord
2/02: Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices Downloads
Catherine Forbes, Gael Martin and Jonathan Wright
1/02: Parametric Pricing of Higher Order Moments in S&P500 Options Downloads
Guay Lim, G.M. Martin and V.L. Martin
11/01: Prediction Intervals for Exponential Smoothing State Space Models Downloads
Rob Hyndman, A.B. Koehler, Keith Ord and Ralph Snyder
10/01: Using R to Teach Econometrics Downloads
Jeffrey Racine and Rob Hyndman
9/01: The Missing Link: Using the NBER Recession Indicator to Construct Coincident and Leading Indices of Economic Activity Downloads
João Issler and Farshid Vahid
8/01: Strategy Similarity and Coordination Downloads
Farshid Vahid and R. Sarin
7/01: Capturing the Shape of Business Cycles with Nonlinear Autoregressive Leading Indicator Models Downloads
George Athanasopoulos, Heather Anderson and Farshid Vahid
6/01: Statistical Methodological Issues in Studies of Air Pollution and Respiratory Disease Downloads
Rob Hyndman and B. Erbas
5/01: Unmasking the Theta Method Downloads
Rob Hyndman and B. Billah
4/01: On the Nature and Role of Hypothesis Tests Downloads
A. McLean
3/01: Market Architecture and Nonlinear Dynamics of Australian Stock and Future Indices Downloads
Heather Anderson and Farshid Vahid
2/01: The Importance Of Common Cyclical Features in VAR Analysis: A Monte-Carlo Study Downloads
Farshid Vahid and João Issler
1/01: Comparison of Non-Stationary Time Series in the Frequency Domain Downloads
Elizabeth Maharaj
11/00: Mixed Model-Based Hazard Estimation Downloads
T. Cai, Rob Hyndman and M.P. Wand
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