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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.
Series data maintained by Simone Grose ().

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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
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
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