Details about Heather M. Anderson
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Last updated 2023-11-07. Update your information in the RePEc Author Service.
Short-id: pan164
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Working Papers
2023
- Does Climate Sensitivity Differ Across Regions?
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
2022
- 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 Estimating the effect of an EU-ETS type scheme in Australia using a synthetic treatment approach, Energy Economics, Elsevier (2023) View citations (2) (2023)
2020
- Sectoral Employment Dynamics in Australia
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2020)
2017
- Robust Bayesian exponentially tilted empirical likelihood method
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
2015
- 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 How do shocks to domestic factors affect real exchange rates of Asian developing countries?, Journal of Development Economics, Elsevier (2016) View citations (10) (2016)
2014
- 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
- 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
- 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
- Forecasting Under Strucural Break Uncertainty
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
- 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 Testing for cojumps in high-frequency financial data: An approach based on first-high-low-last prices, Journal of Banking & Finance, Elsevier (2019) (2019)
2010
- 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)
- 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 Financial integration and the construction of historical financial data for the Euro Area, Economic Modelling, Elsevier (2011) View citations (9) (2011)
- 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
- 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)
- 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 Reported earnings and analyst forecasts as competing sources of information: A new approach, Australian Journal of Management, Australian School of Business (2012) View citations (2) (2012)
2006
- 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)
- 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 Nonlinear autoregressive leading indicator models of output in G-7 countries, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2007) View citations (14) (2007)
2005
- 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 Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help?, Journal of Business & Economic Statistics, American Statistical Association (2007) View citations (40) (2007)
- 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 Random Walk Smooth Transition Autoregressive Models, Contributions to Economic Analysis, Emerald Group Publishing Limited (2006) (2006)
- 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 Single source of error state space approach to the Beveridge Nelson decomposition, Economics Letters, Elsevier (2006) View citations (27) (2006)
2004
- A Model for Trade Frequency in the Presence of Announcements
Econometric Society 2004 Australasian Meetings, Econometric Society
2003
- 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 (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) View citations (21) (2009)
- Nonlinear Correlograms and Partial Autocorrelograms
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
See also Journal Article Nonlinear Correlograms and Partial Autocorrelograms*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2005) View citations (3) (2005)
- 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
- 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
- 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)
- 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 Market Architecture and Nonlinear Dynamics of Australian Stock and Futures Indices, Australian Economic Papers, Wiley Blackwell (2001) View citations (6) (2001)
2000
- 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 PREDICTING THE PROBABILITY OF A RECESSION WITH NONLINEAR AUTOREGRESSIVE LEADING-INDICATOR MODELS, Macroeconomic Dynamics, Cambridge University Press (2001) View citations (42) (2001)
1999
- 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
- TREASURY BI;; YIELD CURVES AND COINTEGRATION
Working Papers, Australian National University - Department of Economics View citations (12)
Journal Articles
2023
- Estimating the effect of an EU-ETS type scheme in Australia using a synthetic treatment approach
Energy Economics, 2023, 125, (C) 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) (2022)
2020
- High-dimensional predictive regression in the presence of cointegration
Journal of Econometrics, 2020, 219, (2), 456-477 View citations (17)
- Sectoral Employment Dynamics in Australia and the COVID‐19 Pandemic
Australian Economic Review, 2020, 53, (3), 402-414 View citations (1)
- 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
- 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 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) View citations (4) (2011)
- The global effects of productivity gains in Asian emerging economies
Economic Modelling, 2019, 83, (C), 127-140 View citations (1)
2016
- 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 (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) View citations (4) (2015)
2014
- Forecast combinations under structural break uncertainty
International Journal of Forecasting, 2014, 30, (1), 161-175 View citations (23)
- 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
- 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 Reported Earnings and Analyst Forecasts as Competing Sources of Information: A New Approach, ANU Working Papers in Economics and Econometrics (2007) (2007)
2011
- 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 Financial Integration and the Construction of Historical Financial Data for the Euro Area, Centre for Growth and Business Cycle Research Discussion Paper Series (2010) View citations (2) (2010)
2010
- Memoirs of "A Cointegration Analysis of Treasury Bill Yields"
Journal of Financial Econometrics, 2010, 8, (2), 172-173
2009
- 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 (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) View citations (3) (2003)
2007
- Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help?
Journal of Business & Economic Statistics, 2007, 25, 76-90 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) View citations (4) (2005)
- New Introduction to Multiple Time Series Analysis ‐ by Helmut Lütkepohl
The Economic Record, 2007, 83, (260), 109-110
- 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 Nonlinear autoregressive leading indicator models of output in G-7 countries, CAMA Working Papers (2006) (2006)
2006
- Common features
Journal of Econometrics, 2006, 132, (1), 1-5 View citations (7)
- Single source of error state space approach to the Beveridge Nelson decomposition
Economics Letters, 2006, 91, (1), 104-109 View citations (27)
See also Working Paper Single source of error state space approach to the Beveridge Nelson decomposition, CAMA Working Papers (2005) (2005)
2005
- Nonlinear Correlograms and Partial Autocorrelograms*
Oxford Bulletin of Economics and Statistics, 2005, 67, (s1), 957-982 View citations (3)
See also Working Paper Nonlinear Correlograms and Partial Autocorrelograms, Monash Econometrics and Business Statistics Working Papers (2003) (2003)
2002
- 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
- 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 Market Architecture and Nonlinear Dynamics of Australian Stock and Future Indices, Monash Econometrics and Business Statistics Working Papers (2001) View citations (6) (2001)
- 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 Predicting the Probability of a Recession with Nonlinear Autoregressive Leading Indicator Models, Monash Econometrics and Business Statistics Working Papers (2000) View citations (12) (2000)
1999
- 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
- On the pooling of cross-sectional and time-series data in the presence of heteroskedasticity
Economics Letters, 1998, 60, (3), 291-296 View citations (2)
- Testing multiple equation systems for common nonlinear components
Journal of Econometrics, 1998, 84, (1), 1-36 View citations (95)
1997
- 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)
- 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)
- 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
- A Cointegration Analysis of Treasury Bill Yields
The Review of Economics and Statistics, 1992, 74, (1), 116-26 View citations (386)
- Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models
Journal of Applied Econometrics, 1992, 7, (S), S119-36 View citations (593)
Chapters
2010
- Discussion of Key Elements of Global Inflation
A chapter in Inflation in an Era of Relative Price Shocks, 2010
2006
- Random Walk Smooth Transition Autoregressive Models
A chapter in Nonlinear Time Series Analysis of Business Cycles, 2006, pp 247-281
See also Working Paper Random Walk Smooth Transition Autoregressive Models, Monash University, Department of Econometrics and Business Statistics (2005) View citations (2) (2005)
1993
- Modeling Nonlinearity over the Business Cycle
A chapter in Business Cycles, Indicators, and Forecasting, 1993, pp 311-326 View citations (26)
Editor
- Empirical Economics
Springer
- Studies in Empirical Economics
Springer
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