Details about Anthony David Hall

Access statistics for papers by Anthony David Hall.

Last updated 2024-06-09. Update your information in the RePEc Author Service.

Short-id: pha174

Working Papers

2021

1. Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)

2013

2. Macro-Econometric System Modelling @75
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (3)
   Also in NCER Working Paper Series, National Centre for Econometric Research View citations (4)
3. The anatomy of portfolio skewness and kurtosis
   Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (4)
   See also Journal Article The anatomy of portfolio skewness and kurtosis, Journal of Asset Management, Palgrave Macmillan (2013) View citations (3) (2013)

2008

4. Modelling Adverse Selection on Electronic Order-Driven Markets
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (2)

2007

5. A Hybrid Artificial Neural Network-Numerical Model for Ground Water Problems
   Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (1)

2004

6. A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (12)
   Also in FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit (2004) View citations (11)
   Discussion Papers, University of Copenhagen. Department of Economics (2004) View citations (11)
7. Order Aggressiveness and Order Book Dynamics
   FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit View citations (6)
   See also Journal Article Order aggressiveness and order book dynamics, Empirical Economics, Springer (2006) View citations (54) (2006)
   Chapter Order aggressiveness and order book dynamics, Studies in Empirical Economics, Springer (2008) (2008)

2003

8. A Survival Analysis of Australian Equity Mutual Funds
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (8)
   See also Journal Article A Survival Analysis of Australian Equity Mutual Funds, Australian Journal of Management, Australian School of Business (2003) View citations (8) (2003)

2001

9. Migration of Price Discovery With Constrained Futures Markets
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (2)
10. The prediction of earnings movements using accounting data: An update and extension of Ou and Penman
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (9)

2000

11. A Bayesian Approach to Variable Selection in Logistic Regression with Application to Predicting Earnings Direction from Accounting Information
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (4)
12. Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return Models
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (9)
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations (1)
    See also Journal Article Using Bayesian variable selection methods to choose style factors in global stock return models, Journal of Banking & Finance, Elsevier (2002) View citations (14) (2002)

1998

13. A nonlinear time series model of El Niño
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (24)
14. Limits to Linear Price Behaviour: Target Zones for Futures Prices Regulated By Limits
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (6)

1995

15. Modelling the Term Structure
    Working Papers, Australian National University - Department of Economics View citations (63)

1990

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

1983

17. Diagnostic tests as residual analysis
    Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (269)

Journal Articles

2025

1. Investigating Some Issues Relating to Regime Matching
   Econometrics, 2025, 13, (1), 1-13

2023

2. Building Multivariate Time-Varying Smooth Transition Correlation GARCH Models, with an Application to the Four Largest Australian Banks
   Econometrics, 2023, 11, (1), 1-37 View citations (1)

2015

3. Evaluating the impact of inequality constraints and parameter uncertainty on optimal portfolio choice
   Applied Economics, 2015, 47, (45), 4801-4813
4. Resiliency of the limit order book
   Journal of Economic Dynamics and Control, 2015, 61, (C), 222-244 View citations (17)

2013

5. The anatomy of portfolio skewness and kurtosis
   Journal of Asset Management, 2013, 14, (4), 228-235 View citations (3)
   See also Working Paper The anatomy of portfolio skewness and kurtosis, Published Paper Series (2013) View citations (4) (2013)

2007

6. Modelling the buy and sell intensity in a limit order book market
   Journal of Financial Markets, 2007, 10, (3), 249-286 View citations (44)
7. What Corporate Social Responsibility Activities are Valued by the Market?
   Journal of Business Ethics, 2007, 76, (2), 189-206 View citations (206)

2006

8. Migration of price discovery in semiregulated derivatives markets
   Journal of Futures Markets, 2006, 26, (3), 209-241 View citations (2)
9. Order aggressiveness and order book dynamics
   Empirical Economics, 2006, 30, (4), 973-1005 View citations (54)
   See also Working Paper Order Aggressiveness and Order Book Dynamics, FRU Working Papers (2004) View citations (6) (2004)
   Chapter Order aggressiveness and order book dynamics, Studies in Empirical Economics, 2008, 133-165 (2008) (2008)

2004

10. Some notes on a dynamic model of international fishing
    Pure Mathematics and Applications, 2004, 15, (1), 45-54

2003

11. A Survival Analysis of Australian Equity Mutual Funds
    Australian Journal of Management, 2003, 28, (2), 209-226 View citations (8)
    See also Working Paper A Survival Analysis of Australian Equity Mutual Funds, Research Paper Series (2003) View citations (8) (2003)

2002

12. Using Bayesian variable selection methods to choose style factors in global stock return models
    Journal of Banking & Finance, 2002, 26, (12), 2301-2325 View citations (14)
    See also Working Paper Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return Models, Research Paper Series (2000) View citations (9) (2000)

2001

13. Limits to linear price behavior: futures prices regulated by limits
    Journal of Futures Markets, 2001, 21, (5), 463-488 View citations (13)
14. Regulatory Tools and Price Changes in Futures Markets
    Australian Economic Papers, 2001, 40, (4), 520-540 View citations (2)

1999

15. Parametric forecasts of Australian yield curves
    Mathematics and Computers in Simulation (MATCOM), 1999, 48, (4), 541-549

1995

16. The Wage-Hours Profile for Young Australians: How Meaningful Are Labour Supply Functions Estimated from Micro Data?
    Australian Economic Papers, 1995, 34, (64), 50-61 View citations (1)

1992

17. A Cointegration Analysis of Treasury Bill Yields
    The Review of Economics and Statistics, 1992, 74, (1), 116-26 View citations (387)
18. A study of various score test statistics for heteroscedasticity in the general linear model
    Mathematics and Computers in Simulation (MATCOM), 1992, 33, (5), 563-568 View citations (1)

1990

19. Worldwide Rankings of Research Activity in Econometrics: An Update: 1980–1988
    Econometric Theory, 1990, 6, (1), 1-16 View citations (15)

1989

20. A Monte Carlo Study of Some Tests of Model Adequacy in Time Series Analysis
    Journal of Business & Economic Statistics, 1989, 7, (1), 95-106 View citations (20)

1988

21. TESTING SEPARATE TIME SERIES MODELS
    Journal of Time Series Analysis, 1988, 9, (2), 169-189 View citations (8)
22. Tests of non-nested linear regression models subject to linear restrictions
    Economics Letters, 1988, 27, (4), 341-348 View citations (10)

1987

23. Worldwide Rankings of Research Activity in Econometrics: 1980–1985
    Econometric Theory, 1987, 3, (2), 171-194 View citations (18)

1983

24. Assessing the Variability of Inflation
    The Review of Economic Studies, 1983, 50, (4), 585-596 View citations (67)
25. Confidence contours for two test statistics for non-nested regression models
    Journal of Econometrics, 1983, 21, (1), 155-160 View citations (3)

1981

26. The LIML and Related Estimators of an Equation with Moving Average Disturbances
    International Economic Review, 1981, 22, (3), 719-30 View citations (5)

Chapters

2008

1. Order aggressiveness and order book dynamics
   Springer
   See also Working Paper Order Aggressiveness and Order Book Dynamics, University of Copenhagen. Department of Economics. Finance Research Unit (2004) View citations (6) (2004)
   Journal Article Order aggressiveness and order book dynamics, Springer (2006) View citations (54) (2006)