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Details about Heather M. Anderson

Homepage:https://research.monash.edu/en/persons/heather-anderson
Workplace:Department of Econometrics and Business Statistics, Monash Business School, Monash University, (more information at EDIRC)

Access statistics for papers by Heather M. Anderson.

Last updated 2023-11-07. Update your information in the RePEc Author Service.

Short-id: pan164


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Working Papers

2023

  1. Does Climate Sensitivity Differ Across Regions?
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads

2022

  1. Estimating the Effect of an EU-ETS Type Scheme in Australia Using a Synthetic Treatment Approach
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
    See also Journal Article Estimating the effect of an EU-ETS type scheme in Australia using a synthetic treatment approach, Energy Economics, Elsevier (2023) Downloads View citations (2) (2023)

2020

  1. Sectoral Employment Dynamics in Australia
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (1)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2020) Downloads

2017

  1. Robust Bayesian exponentially tilted empirical likelihood method
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads

2015

  1. How do Shocks to Domestic Factors Affect Real Exchange Rates of Asian Developing Countries
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (4)
    See also Journal Article How do shocks to domestic factors affect real exchange rates of Asian developing countries?, Journal of Development Economics, Elsevier (2016) Downloads View citations (10) (2016)

2014

  1. The Effects of Productivity Gains in Asian Emerging Economies: A Global Perspective
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (3)

2013

  1. Common non-linearities in multiple series of stock market volatility
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
  2. Do Policy-Related Shocks Affect Real Exchange Rates of Asian Developing Countries?
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (3)

2011

  1. Forecasting Under Strucural Break Uncertainty
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (1)
  2. Testing for co-jumps in high-frequency financial data: an approach based on first-high-low-last prices
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (4)
    See also Journal Article Testing for cojumps in high-frequency financial data: An approach based on first-high-low-last prices, Journal of Banking & Finance, Elsevier (2019) Downloads (2019)

2010

  1. Do Jumps Matter? Forecasting Multivariate Realized Volatility Allowing for Common Jumps
    ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics Downloads View citations (11)
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2010) Downloads View citations (11)
  2. Financial Integration and the Construction of Historical Financial Data for the Euro Area
    Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester Downloads View citations (2)
    See also Journal Article Financial integration and the construction of historical financial data for the Euro Area, Economic Modelling, Elsevier (2011) Downloads View citations (9) (2011)
  3. VARs, Cointegration and Common Cycle Restrictions
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (5)

2007

  1. CONSTRUCTING HISTORICAL EURO AREA DATA
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (10)
    Also in Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group (2007) Downloads View citations (11)
  2. Reported Earnings and Analyst Forecasts as Competing Sources of Information: A New Approach
    ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics Downloads
    See also Journal Article Reported earnings and analyst forecasts as competing sources of information: A new approach, Australian Journal of Management, Australian School of Business (2012) Downloads View citations (2) (2012)

2006

  1. BEVERRIDGE NELSON DECOMPOSITION WITH MARKOV SWITCHING
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2006) Downloads View citations (1)
    Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne (2006) Downloads View citations (2)
  2. Nonlinear autoregressive leading indicator models of output in G-7 countries
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2002) Downloads

    See also Journal Article Nonlinear autoregressive leading indicator models of output in G-7 countries, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2007) Downloads View citations (14) (2007)

2005

  1. Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help?
    ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics Downloads View citations (4)
    See also Journal Article Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help?, Journal of Business & Economic Statistics, American Statistical Association (2007) Downloads View citations (40) (2007)
  2. Random Walk Smooth Transition Autoregressive Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (2)
    See also Chapter Random Walk Smooth Transition Autoregressive Models, Contributions to Economic Analysis, Emerald Group Publishing Limited (2006) Downloads (2006)
  3. Single source of error state space approach to the Beveridge Nelson decomposition
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads
    Also in Econometric Society 2004 Australasian Meetings, Econometric Society (2004) Downloads View citations (3)
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2004) Downloads View citations (4)

    See also Journal Article Single source of error state space approach to the Beveridge Nelson decomposition, Economics Letters, Elsevier (2006) Downloads View citations (27) (2006)

2004

  1. A Model for Trade Frequency in the Presence of Announcements
    Econometric Society 2004 Australasian Meetings, Econometric Society

2003

  1. Does Beta React to Market Conditions? Estimates of Bull and Bear Betas using a Nonlinear Market Model with an Endogenous Threshold Parameter
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (3)
    See also Journal Article Does beta react to market conditions? Estimates of 'bull' and 'bear' betas using a nonlinear market model with an endogenous threshold parameter, Quantitative Finance, Taylor & Francis Journals (2009) Downloads View citations (21) (2009)
  2. Nonlinear Correlograms and Partial Autocorrelograms
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
    See also Journal Article Nonlinear Correlograms and Partial Autocorrelograms*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2005) Downloads View citations (3) (2005)
  3. The Decline in Income Growth Volatility in the United States: Evidence from Regional Data
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (5)

2002

  1. Choosing Lag Lengths in Nonlinear Dynamic Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (2)

2001

  1. Capturing the Shape of Business Cycles with Nonlinear Autoregressive Leading Indicator Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (2)
  2. Market Architecture and Nonlinear Dynamics of Australian Stock and Future Indices
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (6)
    See also Journal Article Market Architecture and Nonlinear Dynamics of Australian Stock and Futures Indices, Australian Economic Papers, Wiley Blackwell (2001) Downloads View citations (6) (2001)

2000

  1. Predicting the Probability of a Recession with Nonlinear Autoregressive Leading Indicator Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (12)
    See also Journal Article PREDICTING THE PROBABILITY OF A RECESSION WITH NONLINEAR AUTOREGRESSIVE LEADING-INDICATOR MODELS, Macroeconomic Dynamics, Cambridge University Press (2001) Downloads View citations (42) (2001)

1999

  1. Does International Trade Synchronize Business Cycles?
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (22)

1990

  1. TREASURY BI;; YIELD CURVES AND COINTEGRATION
    Working Papers, Australian National University - Department of Economics View citations (12)

Journal Articles

2023

  1. Estimating the effect of an EU-ETS type scheme in Australia using a synthetic treatment approach
    Energy Economics, 2023, 125, (C) Downloads View citations (2)
    See also Working Paper Estimating the Effect of an EU-ETS Type Scheme in Australia Using a Synthetic Treatment Approach, Monash Econometrics and Business Statistics Working Papers (2022) Downloads (2022)

2020

  1. High-dimensional predictive regression in the presence of cointegration
    Journal of Econometrics, 2020, 219, (2), 456-477 Downloads View citations (17)
  2. Sectoral Employment Dynamics in Australia and the COVID‐19 Pandemic
    Australian Economic Review, 2020, 53, (3), 402-414 Downloads View citations (1)
  3. The effects of trade size and market depth on immediate price impact in a limit order book market
    Journal of Economic Dynamics and Control, 2020, 120, (C) Downloads View citations (2)

2019

  1. Testing for cojumps in high-frequency financial data: An approach based on first-high-low-last prices
    Journal of Banking & Finance, 2019, 99, (C), 252-274 Downloads
    See also Working Paper Testing for co-jumps in high-frequency financial data: an approach based on first-high-low-last prices, Monash Econometrics and Business Statistics Working Papers (2011) Downloads View citations (4) (2011)
  2. The global effects of productivity gains in Asian emerging economies
    Economic Modelling, 2019, 83, (C), 127-140 Downloads View citations (1)

2016

  1. How do shocks to domestic factors affect real exchange rates of Asian developing countries?
    Journal of Development Economics, 2016, 119, (C), 67-85 Downloads View citations (10)
    See also Working Paper How do Shocks to Domestic Factors Affect Real Exchange Rates of Asian Developing Countries, Monash Econometrics and Business Statistics Working Papers (2015) Downloads View citations (4) (2015)

2014

  1. Forecast combinations under structural break uncertainty
    International Journal of Forecasting, 2014, 30, (1), 161-175 Downloads View citations (23)
  2. How does public information affect the frequency of trading in airline stocks?
    Journal of Banking & Finance, 2014, 44, (C), 26-38 Downloads View citations (1)

2012

  1. Reported earnings and analyst forecasts as competing sources of information: A new approach
    Australian Journal of Management, 2012, 37, (3), 333-359 Downloads View citations (2)
    See also Working Paper Reported Earnings and Analyst Forecasts as Competing Sources of Information: A New Approach, ANU Working Papers in Economics and Econometrics (2007) Downloads (2007)

2011

  1. Financial integration and the construction of historical financial data for the Euro Area
    Economic Modelling, 2011, 28, (4), 1498-1509 Downloads View citations (9)
    See also Working Paper Financial Integration and the Construction of Historical Financial Data for the Euro Area, Centre for Growth and Business Cycle Research Discussion Paper Series (2010) Downloads View citations (2) (2010)

2010

  1. Memoirs of "A Cointegration Analysis of Treasury Bill Yields"
    Journal of Financial Econometrics, 2010, 8, (2), 172-173 Downloads

2009

  1. Does beta react to market conditions? Estimates of 'bull' and 'bear' betas using a nonlinear market model with an endogenous threshold parameter
    Quantitative Finance, 2009, 9, (8), 913-924 Downloads View citations (21)
    See also Working Paper Does Beta React to Market Conditions? Estimates of Bull and Bear Betas using a Nonlinear Market Model with an Endogenous Threshold Parameter, Monash Econometrics and Business Statistics Working Papers (2003) Downloads View citations (3) (2003)

2007

  1. Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help?
    Journal of Business & Economic Statistics, 2007, 25, 76-90 Downloads View citations (40)
    See also Working Paper Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help?, ANU Working Papers in Economics and Econometrics (2005) Downloads View citations (4) (2005)
  2. New Introduction to Multiple Time Series Analysis ‐ by Helmut Lütkepohl
    The Economic Record, 2007, 83, (260), 109-110 Downloads
  3. Nonlinear autoregressive leading indicator models of output in G-7 countries
    Journal of Applied Econometrics, 2007, 22, (1), 63-87 Downloads View citations (14)
    See also Working Paper Nonlinear autoregressive leading indicator models of output in G-7 countries, CAMA Working Papers (2006) Downloads (2006)

2006

  1. Common features
    Journal of Econometrics, 2006, 132, (1), 1-5 Downloads View citations (7)
  2. Single source of error state space approach to the Beveridge Nelson decomposition
    Economics Letters, 2006, 91, (1), 104-109 Downloads View citations (27)
    See also Working Paper Single source of error state space approach to the Beveridge Nelson decomposition, CAMA Working Papers (2005) Downloads (2005)

2005

  1. Nonlinear Correlograms and Partial Autocorrelograms*
    Oxford Bulletin of Economics and Statistics, 2005, 67, (s1), 957-982 Downloads View citations (3)
    See also Working Paper Nonlinear Correlograms and Partial Autocorrelograms, Monash Econometrics and Business Statistics Working Papers (2003) Downloads (2003)

2002

  1. U.S. and Canadian industrial production indices as coupled oscillators
    Journal of Economic Dynamics and Control, 2002, 26, (1), 33-67 Downloads View citations (12)

2001

  1. Market Architecture and Nonlinear Dynamics of Australian Stock and Futures Indices
    Australian Economic Papers, 2001, 40, (4), 541-566 Downloads View citations (6)
    See also Working Paper Market Architecture and Nonlinear Dynamics of Australian Stock and Future Indices, Monash Econometrics and Business Statistics Working Papers (2001) Downloads View citations (6) (2001)
  2. PREDICTING THE PROBABILITY OF A RECESSION WITH NONLINEAR AUTOREGRESSIVE LEADING-INDICATOR MODELS
    Macroeconomic Dynamics, 2001, 5, (4), 482-505 Downloads View citations (42)
    See also Working Paper Predicting the Probability of a Recession with Nonlinear Autoregressive Leading Indicator Models, Monash Econometrics and Business Statistics Working Papers (2000) Downloads View citations (12) (2000)

1999

  1. Explanations of an empirical puzzle: what can be learnt from a test of the rational expectations hypothesis?
    Journal of Economic Methodology, 1999, 6, (1), 31-59 Downloads View citations (1)

1998

  1. On the pooling of cross-sectional and time-series data in the presence of heteroskedasticity
    Economics Letters, 1998, 60, (3), 291-296 Downloads View citations (2)
  2. Testing multiple equation systems for common nonlinear components
    Journal of Econometrics, 1998, 84, (1), 1-36 Downloads View citations (95)

1997

  1. On the Correspondence between Individual and Aggregate Food Consumption Functions: Evidence from the USA and the Netherlands
    Journal of Applied Econometrics, 1997, 12, (5), 477-98 Downloads View citations (5)
  2. On the Correspondence between Individual and Aggregate Food Consumption Functions: Evidence from the USA and the Netherlands: Reply
    Journal of Applied Econometrics, 1997, 12, (5), 503-07 Downloads View citations (5)
  3. Transaction Costs and Non-linear Adjustment towards Equilibrium in the US Treasury Bill Market
    Oxford Bulletin of Economics and Statistics, 1997, 59, (4), 465-84 View citations (142)

1992

  1. A Cointegration Analysis of Treasury Bill Yields
    The Review of Economics and Statistics, 1992, 74, (1), 116-26 Downloads View citations (386)
  2. Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models
    Journal of Applied Econometrics, 1992, 7, (S), S119-36 Downloads View citations (593)

Chapters

2010

  1. Discussion of Key Elements of Global Inflation
    A chapter in Inflation in an Era of Relative Price Shocks, 2010 Downloads

2006

  1. Random Walk Smooth Transition Autoregressive Models
    A chapter in Nonlinear Time Series Analysis of Business Cycles, 2006, pp 247-281 Downloads
    See also Working Paper Random Walk Smooth Transition Autoregressive Models, Monash University, Department of Econometrics and Business Statistics (2005) Downloads View citations (2) (2005)

1993

  1. Modeling Nonlinearity over the Business Cycle
    A chapter in Business Cycles, Indicators, and Forecasting, 1993, pp 311-326 Downloads View citations (26)

Editor

  1. Empirical Economics
    Springer
  2. Studies in Empirical Economics
    Springer
 
Page updated 2024-11-09