Details about Heather M. Anderson

Access statistics for papers by Heather M. Anderson.

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

Short-id: pan164

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

2022

2. 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
   See also Journal Article in Energy Economics (2023)

2020

3. Sectoral Employment Dynamics in Australia
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
   Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2020)
   See also Journal Article in Australian Economic Review (2020)

2017

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

2015

5. 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 View citations (4)
   See also Journal Article in Journal of Development Economics (2016)

2014

6. 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 View citations (3)

2013

7. 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
8. 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 View citations (3)

2011

9. Forecasting Under Strucural Break Uncertainty
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
10. 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 View citations (4)
    See also Journal Article in Journal of Banking & Finance (2019)

2010

11. 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 View citations (11)
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2010) View citations (11)
12. 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 View citations (2)
    See also Journal Article in Economic Modelling (2011)
13. VARs, Cointegration and Common Cycle Restrictions
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (5)

2007

14. CONSTRUCTING HISTORICAL EURO AREA DATA
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (10)
    Also in Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group (2007) View citations (11)
15. 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
    See also Journal Article in Australian Journal of Management (2012)

2006

16. BEVERRIDGE NELSON DECOMPOSITION WITH MARKOV SWITCHING
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2006) View citations (1)
    Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne (2006) View citations (2)
17. 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
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2002)
    See also Journal Article in Journal of Applied Econometrics (2007)

2005

18. 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 View citations (4)
    See also Journal Article in Journal of Business & Economic Statistics (2007)
19. Random Walk Smooth Transition Autoregressive Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (2)
    See also Chapter (2006)
20. 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
    Also in Econometric Society 2004 Australasian Meetings, Econometric Society (2004) View citations (3)
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2004) View citations (4)
    See also Journal Article in Economics Letters (2006)

2004

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

2003

22. 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 View citations (4)
    See also Journal Article in Quantitative Finance (2009)
23. Nonlinear Correlograms and Partial Autocorrelograms
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2005)
24. 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 View citations (5)

2002

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

2001

26. 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 View citations (2)
27. 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 View citations (6)
    See also Journal Article in Australian Economic Papers (2001)

2000

28. 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 View citations (12)
    See also Journal Article in Macroeconomic Dynamics (2001)

1999

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

1990

30. 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)
   See also Working Paper (2022)

2020

2. High-dimensional predictive regression in the presence of cointegration
   Journal of Econometrics, 2020, 219, (2), 456-477 View citations (12)
3. Sectoral Employment Dynamics in Australia and the COVID‐19 Pandemic
   Australian Economic Review, 2020, 53, (3), 402-414
   See also Working Paper (2020)
4. 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) View citations (2)

2019

5. 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
   See also Working Paper (2011)
6. The global effects of productivity gains in Asian emerging economies
   Economic Modelling, 2019, 83, (C), 127-140 View citations (1)

2016

7. How do shocks to domestic factors affect real exchange rates of Asian developing countries?
   Journal of Development Economics, 2016, 119, (C), 67-85 View citations (9)
   See also Working Paper (2015)

2014

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

2012

10. Reported earnings and analyst forecasts as competing sources of information: A new approach
    Australian Journal of Management, 2012, 37, (3), 333-359 View citations (2)
    See also Working Paper (2007)

2011

11. Financial integration and the construction of historical financial data for the Euro Area
    Economic Modelling, 2011, 28, (4), 1498-1509 View citations (9)
    See also Working Paper (2010)

2010

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

2009

13. 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 View citations (22)
    See also Working Paper (2003)

2007

14. Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help?
    Journal of Business & Economic Statistics, 2007, 25, 76-90 View citations (38)
    See also Working Paper (2005)
15. New Introduction to Multiple Time Series Analysis ‐ by Helmut Lütkepohl
    The Economic Record, 2007, 83, (260), 109-110
16. Nonlinear autoregressive leading indicator models of output in G-7 countries
    Journal of Applied Econometrics, 2007, 22, (1), 63-87 View citations (14)
    See also Working Paper (2006)

2006

17. Common features
    Journal of Econometrics, 2006, 132, (1), 1-5 View citations (7)
18. Single source of error state space approach to the Beveridge Nelson decomposition
    Economics Letters, 2006, 91, (1), 104-109 View citations (25)
    See also Working Paper (2005)

2005

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

2002

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

2001

21. Market Architecture and Nonlinear Dynamics of Australian Stock and Futures Indices
    Australian Economic Papers, 2001, 40, (4), 541-566 View citations (6)
    See also Working Paper (2001)
22. PREDICTING THE PROBABILITY OF A RECESSION WITH NONLINEAR AUTOREGRESSIVE LEADING-INDICATOR MODELS
    Macroeconomic Dynamics, 2001, 5, (4), 482-505 View citations (42)
    See also Working Paper (2000)

1999

23. 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 View citations (1)

1998

24. On the pooling of cross-sectional and time-series data in the presence of heteroskedasticity
    Economics Letters, 1998, 60, (3), 291-296 View citations (1)
25. Testing multiple equation systems for common nonlinear components
    Journal of Econometrics, 1998, 84, (1), 1-36 View citations (94)

1997

26. 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 View citations (5)
27. 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 View citations (5)
28. 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 (141)

1992

29. A Cointegration Analysis of Treasury Bill Yields
    The Review of Economics and Statistics, 1992, 74, (1), 116-26 View citations (380)
30. Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models
    Journal of Applied Econometrics, 1992, 7, (S), S119-36 View citations (586)

Chapters

2010

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

2006

2. Random Walk Smooth Transition Autoregressive Models
   A chapter in Nonlinear Time Series Analysis of Business Cycles, 2006, pp 247-281
   See also Working Paper (2005)

1993

3. Modeling Nonlinearity over the Business Cycle
   A chapter in Business Cycles, Indicators, and Forecasting, 1993, pp 311-326 View citations (25)

Editor

1. Empirical Economics
   Springer
2. Studies in Empirical Economics
   Springer