Details about Kurt Brännäs

Access statistics for papers by Kurt Brännäs.

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Short-id: pbr21

Working Papers

2015

1. Mozambican Monetary Policy and the Yield Curve of Treasury Bills - An Empirical Study
   Umeå Economic Studies, Umeå University, Department of Economics View citations (1)
2. Time Series Modelling of Daily Metical/Rand Exchange Rate Returns, 1996-2014
   Umeå Economic Studies, Umeå University, Department of Economics

2014

3. Adaptations of Conventional Spatial Econometric Models to Count Data
   Umeå Economic Studies, Umeå University, Department of Economics
4. Simultaneity in the Multivariate Count Data Autoregressive Model
   Umeå Economic Studies, Umeå University, Department of Economics

2013

5. The Number of Shareholders - Time Series Modelling and Some Empirical Result
   Umeå Economic Studies, Umeå University, Department of Economics
6. The Number of Traded Shares: A Time Series Modelling Approach
   Umeå Economic Studies, Umeå University, Department of Economics

2012

7. The Asymmetric Count Data Moving Average Model
   Umeå Economic Studies, Umeå University, Department of Economics

2009

8. Value at Risk for Large Portfolios
   Umeå Economic Studies, Umeå University, Department of Economics

2007

9. Simultaneity and Asymmetry of Returns and Volatilities in the Emerging Baltic State Stock Exchanges
   Umeå Economic Studies, Umeå University, Department of Economics View citations (5)

2006

10. Effects of Explanatory Variables in Count Data Moving Average Models
    Umeå Economic Studies, Umeå University, Department of Economics
11. Influence of News in Moscow and New York on Returns and Risks on Baltic State Stock Indices
    Umeå Economic Studies, Umeå University, Department of Economics

2004

12. Integer-Valued Moving Average Modelling of the Number of Transactions in Stocks
    Umeå Economic Studies, Umeå University, Department of Economics View citations (6)
    See also Journal Article Integer-valued moving average modelling of the number of transactions in stocks, Applied Financial Economics, Taylor & Francis Journals (2010) View citations (13) (2010)

2003

13. Discretized Time and Conditional Duration Modelling for Stock Transaction Data
    Umeå Economic Studies, Umeå University, Department of Economics View citations (2)
    See also Journal Article Discretized time and conditional duration modelling for stock transaction data, Applied Financial Economics, Taylor & Francis Journals (2007) View citations (1) (2007)
14. Temporal Aggregation of the Returns of a Stock Index Series
    Umeå Economic Studies, Umeå University, Department of Economics

2002

15. Conditional Heteroskedasticity in Count Data Regression: Self-Feeding Activity in Fish
    Umeå Economic Studies, Umeå University, Department of Economics
16. Conditional Heteroskedasticity in some Common Count Data Models for Financial Time Series Data
    Umeå Economic Studies, Umeå University, Department of Economics
17. Extreme-Value Characteristics in Daily Time Series of Swedish Stock Returns
    Umeå Economic Studies, Umeå University, Department of Economics View citations (1)
18. Tourist Accommodation Effects of Festivals
    Umeå Economic Studies, Umeå University, Department of Economics View citations (5)
    See also Journal Article Tourist Accommodation Effects of Festivals, Tourism Economics (2006) View citations (3) (2006)

2001

19. An Alternative Conditional Asymmetry Specification for Stock Returns
    Umeå Economic Studies, Umeå University, Department of Economics View citations (3)
    Also in CESifo Working Paper Series, CESifo (2001) View citations (1)
    See also Journal Article An alternative conditional asymmetry specification for stock returns, Applied Financial Economics, Taylor & Francis Journals (2003) View citations (8) (2003)
20. Conditional Skewness Modelling for Stock Returns
    Umeå Economic Studies, Umeå University, Department of Economics View citations (1)
    See also Journal Article Conditional skewness modelling for stock returns, Applied Economics Letters, Taylor & Francis Journals (2003) View citations (25) (2003)
21. The Number of Occupied Hotel Rooms: A Time Series Model that Accounts for Constrained Capacity and Prices
    Umeå Economic Studies, Umeå University, Department of Economics

2000

22. A Bivariate Integer Valued Allocation Model for Guest Nights in Hotels and Cottages
    Umeå Economic Studies, Umeå University, Department of Economics View citations (1)
23. ASYMMETRIES IN CONDITIONAL MEAN AND VARIANCE: MODELLING STOCK RETURNS BY asMA-asQGARCH
    Umeå Economic Studies, Umeå University, Department of Economics View citations (7)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2000) View citations (3)
    See also Journal Article Asymmetries in conditional mean and variance: modelling stock returns by asMA-asQGARCH, Journal of Forecasting, John Wiley & Sons, Ltd. (2004) View citations (10) (2004)
24. Estimation in a Duration Model for Evaluating Educational Programs
    IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (7)
    Also in Umeå Economic Studies, Umeå University, Department of Economics (2000) View citations (7)

1999

25. A New Approach to Modelling and Forecasting Monthly Guest Nights in Hotels
    Umeå Economic Studies, Umeå University, Department of Economics
    See also Journal Article A new approach to modelling and forecasting monthly guest nights in hotels, International Journal of Forecasting, Elsevier (2002) View citations (23) (2002)
26. Generalized Integer-Valued Autoregression
    Umeå Economic Studies, Umeå University, Department of Economics View citations (3)
    See also Journal Article GENERALIZED INTEGER-VALUED AUTOREGRESSION, Econometric Reviews, Taylor & Francis Journals (2001) View citations (14) (2001)
27. Plants' Entry and Exit in Swedish Municipalities
    Umeå Economic Studies, Umeå University, Department of Economics View citations (3)
    See also Journal Article Plants' entry and exit in Swedish municipalities, The Annals of Regional Science, Springer (2001) View citations (23) (2001)

1998

28. Estimation in integer - valued moving average models
    Umeå Economic Studies, Umeå University, Department of Economics View citations (2)
    See also Journal Article Estimation in integer‐valued moving average models, Applied Stochastic Models in Business and Industry, John Wiley & Sons (2001) View citations (4) (2001)
29. Forecasting based on Very Small Samples and Additional Non-Sample Information
    Umeå Economic Studies, Umeå University, Department of Economics View citations (2)
30. Forecasting the Size Distribution of Financial Plants in Swedish Municipalities
    Umeå Economic Studies, Umeå University, Department of Economics

1997

31. Endogeneity in a Binomial Model
    Umeå Economic Studies, Umeå University, Department of Economics
32. Generalized Method of Moment and Indirect Estimation of the ARASMA Model
    Umeå Economic Studies, Umeå University, Department of Economics
33. Lest squares estimation of a zero-truncated count data regression model
    Umeå Economic Studies, Umeå University, Department of Economics
34. Testing Linearity against Nonlinear Moving Average Models
    Umeå Economic Studies, Umeå University, Department of Economics
    Also in SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (1996)

1995

35. Asymmetric Cycles and Temporal Aggregation
    Working Papers, Uppsala - Working Paper Series View citations (2)
    See also Journal Article Asymmetric Time Series and Temporal Aggregation, The Review of Economics and Statistics, MIT Press (1999) View citations (26) (1999)

1992

36. Nationalizations and Investment Flows: A Panel Study
    Working Paper Series, Research Institute of Industrial Economics

1991

37. Explaining Cross-Country Variation in Nationalization Frequencies
    Working Paper Series, Research Institute of Industrial Economics
38. Explaining the Termination of Nationalizations in the Late 1970s
    Working Paper Series, Research Institute of Industrial Economics View citations (2)

Journal Articles

2012

1. Simultaneity and Asymmetry of Returns and Volatilities: The Emerging Baltic States' Stock Exchanges
   Studies in Nonlinear Dynamics & Econometrics, 2012, 16, (1), 24 View citations (2)

2011

2. Influence of news from Moscow and New York on returns and risks of Baltic States’ stock markets
   Baltic Journal of Economics, 2011, 11, (1), 109-124 View citations (1)
3. Value at Risk and Expected Shortfall for large portfolios
   Finance Research Letters, 2011, 8, (2), 59-68 View citations (1)

2010

4. Integer-valued moving average modelling of the number of transactions in stocks
   Applied Financial Economics, 2010, 20, (18), 1429-1440 View citations (13)
   See also Working Paper Integer-Valued Moving Average Modelling of the Number of Transactions in Stocks, Umeå Economic Studies (2004) View citations (6) (2004)

2007

5. Discretized time and conditional duration modelling for stock transaction data
   Applied Financial Economics, 2007, 17, (8), 647-658 View citations (1)
   See also Working Paper Discretized Time and Conditional Duration Modelling for Stock Transaction Data, Umeå Economic Studies (2003) View citations (2) (2003)

2006

6. Tourist Accommodation Effects of Festivals
   Tourism Economics, 2006, 12, (2), 291-302 View citations (3)
   See also Working Paper Tourist Accommodation Effects of Festivals, Umeå Economic Studies (2002) View citations (5) (2002)

2004

7. An Integer-Valued Time Series Model for Hotels that Accounts for Constrained Capacity
   Studies in Nonlinear Dynamics & Econometrics, 2004, 8, (4), 11 View citations (3)
8. Asymmetries in conditional mean and variance: modelling stock returns by asMA-asQGARCH
   Journal of Forecasting, 2004, 23, (3), 155-171 View citations (10)
   See also Working Paper ASYMMETRIES IN CONDITIONAL MEAN AND VARIANCE: MODELLING STOCK RETURNS BY asMA-asQGARCH, Umeå Economic Studies (2000) View citations (7) (2000)

2003

9. An alternative conditional asymmetry specification for stock returns
   Applied Financial Economics, 2003, 13, (7), 537-541 View citations (8)
   See also Working Paper An Alternative Conditional Asymmetry Specification for Stock Returns, Umeå Economic Studies (2001) View citations (3) (2001)
10. Conditional skewness modelling for stock returns
    Applied Economics Letters, 2003, 10, (11), 725-728 View citations (25)
    See also Working Paper Conditional Skewness Modelling for Stock Returns, Umeå Economic Studies (2001) View citations (1) (2001)

2002

11. A new approach to modelling and forecasting monthly guest nights in hotels
    International Journal of Forecasting, 2002, 18, (1), 19-30 View citations (23)
    See also Working Paper A New Approach to Modelling and Forecasting Monthly Guest Nights in Hotels, Umeå Economic Studies (1999) (1999)

2001

12. Estimation in integer‐valued moving average models
    Applied Stochastic Models in Business and Industry, 2001, 17, (3), 277-291 View citations (4)
    See also Working Paper Estimation in integer - valued moving average models, Umeå Economic Studies (1998) View citations (2) (1998)
13. GENERALIZED INTEGER-VALUED AUTOREGRESSION
    Econometric Reviews, 2001, 20, (4), 425-443 View citations (14)
    See also Working Paper Generalized Integer-Valued Autoregression, Umeå Economic Studies (1999) View citations (3) (1999)
14. Plants' entry and exit in Swedish municipalities
    The Annals of Regional Science, 2001, 35, (3), 431-448 View citations (23)
    See also Working Paper Plants' Entry and Exit in Swedish Municipalities, Umeå Economic Studies (1999) View citations (3) (1999)

1999

15. Asymmetric Time Series and Temporal Aggregation
    The Review of Economics and Statistics, 1999, 81, (2), 341-344 View citations (26)
    See also Working Paper Asymmetric Cycles and Temporal Aggregation, Working Papers (1995) View citations (2) (1995)

1998

16. A household model for work absence
    Applied Economics, 1998, 30, (11), 1493-1503 View citations (13)

1996

17. Estimating the perceived tax scale within a labor supply model
    Economics Letters, 1996, 52, (1), 75-79 View citations (8)
18. Household Work Travel Time
    Regional Studies, 1996, 30, (6), 541-548 View citations (5)
19. Recreation Travel Time Conditional on Labour Supply, Work Travel Time and Income
    Tourism Economics, 1996, 2, (3), 265-272

1995

20. Prediction and control for a time-series count data model
    International Journal of Forecasting, 1995, 11, (2), 263-270 View citations (2)

1994

21. Semiparametric estimation of heterogeneous count data models
    European Journal of Operational Research, 1994, 76, (2), 247-258 View citations (14)

1992

22. On forecasting of innovations
    Quality & Quantity: International Journal of Methodology, 1992, 26, (1), 95-112

1986

23. Small sample properties in a heterogenous Weibull model
    Economics Letters, 1986, 21, (1), 17-20 View citations (1)

1984

24. Omitted variables in a weibull regression model
    Economics Letters, 1984, 16, (3-4), 279-283