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Details about Ólan Thomas Henry

E-mail:
Homepage:http://melbecon.unimelb.edu.au/staffprofile/ohenry/home.html
Phone:+ 613 8344 5312
Postal address:Department of Economics The University of Melbourne Vic 3010 Australia
Workplace:Management School, University of Liverpool, (more information at EDIRC)

Access statistics for papers by Ólan Thomas Henry.

Last updated 2023-01-26. Update your information in the RePEc Author Service.

Short-id: phe111


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Working Papers

2013

  1. The impact of jumps and thin trading on realized hedge ratios
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics Downloads

2010

  1. From Trade-to-Trade in US Treasuries
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics Downloads View citations (3)

2008

  1. Economic Activity and the Stock Market: The Asymmetric Impact of Fundamental and Non-Fundamental News
    Department of Economics - Working Papers Series, The University of Melbourne Downloads

2007

  1. Between The Rock and a Hard Place: Regime Switching in the RelationshipBetween Short-Term Interest Rates and Equity Returns in the UK
    Department of Economics - Working Papers Series, The University of Melbourne Downloads
  2. The Determinnts of Short Selling in the Hong Kong Equities Market
    Department of Economics - Working Papers Series, The University of Melbourne Downloads View citations (1)

2006

  1. Testing for Rate-Dependence and Asymmetry in Inflation Uncertainty:Evidence from the G7 Economies
    Department of Economics - Working Papers Series, The University of Melbourne Downloads
    Also in MRG Discussion Paper Series, School of Economics, University of Queensland, Australia Downloads View citations (12)

    See also Journal Article in Economics Letters (2007)

2005

  1. Equity Return and Short-Term Interest Rate Volatility: Level Effects and Asymmetric Dynamics
    Department of Economics - Working Papers Series, The University of Melbourne Downloads View citations (2)
    Also in MRG Discussion Paper Series, School of Economics, University of Queensland, Australia Downloads View citations (4)
  2. TESTING FOR ASYMMETRY IN INTEREST RATE VOLATILITY IN THE PRESENCE OF A NEGLECTED LEVEL EFFECT
    Department of Economics - Working Papers Series, The University of Melbourne Downloads View citations (2)

2004

  1. TIME VARIATION AND ASYMMETRY IN THE WORLD PRICE OF COVARIANCE RISK: THE IMPLICATIONS FOR INTERNATIONAL DIVERSIFICATION
    Department of Economics - Working Papers Series, The University of Melbourne Downloads
  2. Testing for a Level Effect in Short-Term Interest Rates
    Department of Economics - Working Papers Series, The University of Melbourne Downloads View citations (6)
  3. The Impact of Short Selling on the Price-Volume Relationship: Evidence from Hong Kong
    Working Papers, Hong Kong Institute for Monetary Research Downloads View citations (3)
    Also in Department of Economics - Working Papers Series, The University of Melbourne (2003) Downloads View citations (1)

    See also Journal Article in The Journal of Business (2006)

2003

  1. Do Stock Market Returns Predict Changes to Output? Evidence from a Nonlinear Panel Data Model
    Department of Economics - Working Papers Series, The University of Melbourne Downloads View citations (2)
    See also Journal Article in Empirical Economics (2004)
  2. Measuring the Response of Macroeconomic Uncertainty to Shocks
    Department of Economics - Working Papers Series, The University of Melbourne Downloads View citations (5)
    See also Journal Article in The Review of Economics and Statistics (2005)
  3. The Asymmetric Effects of Uncertainty on Inflation and Output Growth
    Royal Economic Society Annual Conference 2003, Royal Economic Society Downloads View citations (12)
    See also Journal Article in Journal of Applied Econometrics (2004)

2002

  1. Non-linear Co-Movements in Output Growth: Evidence from the United States and Australia
    Department of Economics - Working Papers Series, The University of Melbourne Downloads View citations (1)

2001

  1. The Effects of Uncertainty on Macroeconomic Performance: The Importance of the Conditional Covariance Model
    Department of Economics - Working Papers Series, The University of Melbourne Downloads

2000

  1. Australian Economic Growth: Non-Linearities and Internaitonal Influences
    Department of Economics - Working Papers Series, The University of Melbourne Downloads
    See also Journal Article in The Economic Record (2000)
  2. The Displacement Hypothesis and Government Spending in the United Kingdom: some new Long-Run Evidence
    Department of Economics - Working Papers Series, The University of Melbourne Downloads
  3. The Effect of Recessions on the Relationship between Output Variability and Growth
    Department of Economics - Working Papers Series, The University of Melbourne Downloads View citations (12)
    See also Journal Article in Southern Economic Journal (2002)
  4. The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock Market
    Department of Economics - Working Papers Series, The University of Melbourne Downloads
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2002)

1999

  1. A Comment on
    Department of Economics - Working Papers Series, The University of Melbourne Downloads View citations (2)
  2. Are Private Sector Consumption Decisions Affected by Public Sector Consumption?
    Department of Economics - Working Papers Series, The University of Melbourne
    See also Journal Article in The Economic Record (2001)
  3. Are Shocks to Inflation Infinitely Persistent?
    Department of Economics - Working Papers Series, The University of Melbourne
  4. Can Portemanteau Nonlinearity Tests Serve as General Mis-Specification Tests? Evidence from Symmetric and Asymmetric GARCH Models
    Department of Economics - Working Papers Series, The University of Melbourne
    See also Journal Article in Economics Letters (2000)
  5. Changes in Regime and the Long Run Fisher Effect: a Threshold Cointegration Analysis
    Department of Economics - Working Papers Series, The University of Melbourne View citations (1)
  6. Linear and Non-Linear Transmission of Equity Return Volatility: Evidence From the US, Japan, and Australia
    Department of Economics - Working Papers Series, The University of Melbourne View citations (1)
    See also Journal Article in Economic Modelling (2000)
  7. Optimal Hedging and the Value of News
    Department of Economics - Working Papers Series, The University of Melbourne View citations (4)
  8. Rational Habit Modification: the Role of Credit
    Department of Economics - Working Papers Series, The University of Melbourne Downloads

1998

  1. Asymmetric Conditional Volatility and Firm Size: Evidence from Australian Equity Portfolios
    Department of Economics - Working Papers Series, The University of Melbourne
    See also Journal Article in Australian Economic Papers (1999)
  2. Does the Australian Dollar Real Exchange Rate Really Display Mean Reversion?
    Department of Economics - Working Papers Series, The University of Melbourne
  3. Identifying Currency Crisis Using Treshold Autoregressions: Australia and the East Asian "Meltdown"
    Department of Economics - Working Papers Series, The University of Melbourne
  4. The Volatility of U.S. Term Structure Term Premia 1952-1991
    Department of Economics - Working Papers Series, The University of Melbourne
    See also Journal Article in Applied Financial Economics (1999)

1995

  1. A Variance Decomposition for the Excess Return on Australian Stocks
    Department of Economics - Working Papers Series, The University of Melbourne View citations (1)
  2. GARCH Models of term Structure Term Premia: A Cautionary Note
    Department of Economics - Working Papers Series, The University of Melbourne
  3. Modelling the Assymetry of Stock Market Volatility
    Department of Economics - Working Papers Series, The University of Melbourne View citations (1)
    See also Journal Article in Applied Financial Economics (1998)

Journal Articles

2013

  1. Modeling trade duration in U.S. Treasury markets
    Quantitative Finance, 2013, 13, (9), 1431-1442 Downloads View citations (6)

2012

  1. The determinants of short selling: evidence from the Hong Kong equity market
    Accounting and Finance, 2012, 52, 183-216 Downloads View citations (2)

2010

  1. Peacock and Wiseman's displacement hypothesis: some new long-run evidence for the UK
    Applied Economics, 2010, 42, (11), 1455-1460 Downloads View citations (3)
  2. Sign and phase asymmetry: News, economic activity and the stock market
    Journal of Macroeconomics, 2010, 32, (4), 1083-1100 Downloads View citations (8)

2009

  1. Regime switching in the relationship between equity returns and short-term interest rates in the UK
    Journal of Banking & Finance, 2009, 33, (2), 405-414 Downloads View citations (50)

2007

  1. IDENTIFYING INTERDEPENDENCIES BETWEEN SOUTH‐EAST ASIAN STOCK MARKETS: A NON‐LINEAR APPROACH
    Australian Economic Papers, 2007, 46, (2), 122-135 Downloads View citations (5)
  2. Testing for rate dependence and asymmetry in inflation uncertainty: Evidence from the G7 economies
    Economics Letters, 2007, 94, (3), 383-388 Downloads View citations (11)
    See also Working Paper (2006)

2006

  1. The Impact of Short Selling on the Price-Volume Relationship: Evidence from Hong Kong
    The Journal of Business, 2006, 79, (2), 671-692 Downloads View citations (18)
    See also Working Paper (2004)

2005

  1. Measuring the Response of Macroeconomic Uncertainty to Shocks
    The Review of Economics and Statistics, 2005, 87, (2), 362-370 Downloads View citations (29)
    See also Working Paper (2003)

2004

  1. Do stock market returns predict changes to output? Evidence from a nonlinear panel data model
    Empirical Economics, 2004, 29, (3), 527-540 Downloads View citations (32)
    See also Working Paper (2003)
  2. Is there a unit root in inflation?
    Journal of Macroeconomics, 2004, 26, (3), 481-500 Downloads View citations (30)
  3. The asymmetric effects of uncertainty on inflation and output growth
    Journal of Applied Econometrics, 2004, 19, (5), 551-565 Downloads View citations (177)
    See also Working Paper (2003)

2002

  1. Does the Australian dollar real exchange rate display mean reversion
    Journal of International Money and Finance, 2002, 21, (5), 651-666 Downloads View citations (28)
  2. Long memory in stock returns: some international evidence
    Applied Financial Economics, 2002, 12, (10), 725-729 Downloads View citations (74)
  3. Rational habit modification in consumption
    Economic Modelling, 2002, 19, (4), 665-678 Downloads View citations (6)
  4. The Effect of Asymmetries on Optimal Hedge Ratios
    The Journal of Business, 2002, 75, (2), 333-352 Downloads View citations (94)
  5. The Effect of Recessions on the Relationship between Output Variability and Growth
    Southern Economic Journal, 2002, 68, (3), 683-692 Downloads View citations (2)
    See also Working Paper (2000)
  6. The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock Market
    Oxford Bulletin of Economics and Statistics, 2002, 64, (5), 487-507 Downloads View citations (12)
    See also Working Paper (2000)

2001

  1. Are Private Sector Consumption Decisions Affected by Public Sector Consumption?
    The Economic Record, 2001, 77, (239), 361-373 Downloads
    See also Working Paper (1999)
  2. Exchange Rate Instability: A Threshold Autoregressive Approach
    The Economic Record, 2001, 77, (237), 160-166 Downloads View citations (10)

2000

  1. Australian Economic Growth: Nonlinearities and International Influences
    The Economic Record, 2000, 76, (235), 365-373 Downloads View citations (5)
    See also Working Paper (2000)
  2. Can portmanteau nonlinearity tests serve as general mis-specification tests?: Evidence from symmetric and asymmetric GARCH models
    Economics Letters, 2000, 67, (3), 245-251 Downloads View citations (15)
    See also Working Paper (1999)
  3. Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia
    Economic Modelling, 2000, 17, (4), 497-513 Downloads View citations (27)
    See also Working Paper (1999)

1999

  1. Asymmetric Conditional Volatility and Firm Size: Evidence from Australian Equity Portfolios
    Australian Economic Papers, 1999, 38, (4), 393-406 Downloads View citations (14)
    See also Working Paper (1998)
  2. The Volatility of Real Exchange Rates: The Australian Case
    Australian Economic Papers, 1999, 38, (2), 79-90 Downloads View citations (1)
  3. The volatility of US term structure term premia 1952 - 1991
    Applied Financial Economics, 1999, 9, (3), 263-271 Downloads View citations (2)
    See also Working Paper (1998)

1998

  1. Modelling the asymmetry of stock market volatility
    Applied Financial Economics, 1998, 8, (2), 145-153 Downloads View citations (14)
    See also Working Paper (1995)
  2. Web‐Based Resources for the Macroeconomist
    Australian Economic Review, 1998, 31, (4), 430-434 Downloads

Chapters

2013

  1. Quantifying time variation and asymmetry in measures of covariance risk: a simulation approach
    Chapter 18 in Handbook of Research Methods and Applications in Empirical Finance, 2013, pp 457-476 Downloads
 
Page updated 2023-02-03