Details about Ólan Thomas Henry

Access statistics for papers by Ólan Thomas Henry.

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Short-id: phe111

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

2010

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

2008

3. 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

2007

4. 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
5. The Determinnts of Short Selling in the Hong Kong Equities Market
   Department of Economics - Working Papers Series, The University of Melbourne View citations (1)

2006

6. Testing for Rate-Dependence and Asymmetry in Inflation Uncertainty:Evidence from the G7 Economies
   Department of Economics - Working Papers Series, The University of Melbourne
   Also in MRG Discussion Paper Series, School of Economics, University of Queensland, Australia View citations (12)
   See also Journal Article Testing for rate dependence and asymmetry in inflation uncertainty: Evidence from the G7 economies, Economics Letters, Elsevier (2007) View citations (12) (2007)

2005

7. Equity Return and Short-Term Interest Rate Volatility: Level Effects and Asymmetric Dynamics
   Department of Economics - Working Papers Series, The University of Melbourne View citations (2)
   Also in MRG Discussion Paper Series, School of Economics, University of Queensland, Australia View citations (4)
8. 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 View citations (2)

2004

9. 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
10. Testing for a Level Effect in Short-Term Interest Rates
    Department of Economics - Working Papers Series, The University of Melbourne View citations (6)
11. The Impact of Short Selling on the Price-Volume Relationship: Evidence from Hong Kong
    Working Papers, Hong Kong Institute for Monetary Research View citations (3)
    Also in Department of Economics - Working Papers Series, The University of Melbourne (2003) View citations (2)
    See also Journal Article The Impact of Short Selling on the Price-Volume Relationship: Evidence from Hong Kong, The Journal of Business, University of Chicago Press (2006) View citations (21) (2006)

2003

12. 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 View citations (2)
    See also Journal Article Do stock market returns predict changes to output? Evidence from a nonlinear panel data model, Empirical Economics, Springer (2004) View citations (36) (2004)
13. Measuring the Response of Macroeconomic Uncertainty to Shocks
    Department of Economics - Working Papers Series, The University of Melbourne View citations (5)
    See also Journal Article Measuring the Response of Macroeconomic Uncertainty to Shocks, The Review of Economics and Statistics, MIT Press (2005) View citations (32) (2005)
14. The Asymmetric Effects of Uncertainty on Inflation and Output Growth
    Royal Economic Society Annual Conference 2003, Royal Economic Society View citations (12)
    See also Journal Article The asymmetric effects of uncertainty on inflation and output growth, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2004) View citations (194) (2004)

2002

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

2001

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

2000

17. Australian Economic Growth: Non-Linearities and Internaitonal Influences
    Department of Economics - Working Papers Series, The University of Melbourne
    See also Journal Article Australian Economic Growth: Nonlinearities and International Influences, The Economic Record, The Economic Society of Australia (2000) View citations (5) (2000)
18. 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
19. The Effect of Recessions on the Relationship between Output Variability and Growth
    Department of Economics - Working Papers Series, The University of Melbourne View citations (12)
    See also Journal Article The Effect of Recessions on the Relationship between Output Variability and Growth, Southern Economic Journal, John Wiley & Sons (2002) View citations (6) (2002)
20. 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
    See also Journal Article The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock Market, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2002) View citations (13) (2002)

1999

21. A Comment on
    Department of Economics - Working Papers Series, The University of Melbourne View citations (2)
22. Are Private Sector Consumption Decisions Affected by Public Sector Consumption?
    Department of Economics - Working Papers Series, The University of Melbourne
    See also Journal Article Are Private Sector Consumption Decisions Affected by Public Sector Consumption?, The Economic Record, The Economic Society of Australia (2001) View citations (1) (2001)
23. Are Shocks to Inflation Infinitely Persistent?
    Department of Economics - Working Papers Series, The University of Melbourne
24. 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 Can portmanteau nonlinearity tests serve as general mis-specification tests?: Evidence from symmetric and asymmetric GARCH models, Economics Letters, Elsevier (2000) View citations (15) (2000)
25. 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)
26. 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 Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia, Economic Modelling, Elsevier (2000) View citations (28) (2000)
27. Optimal Hedging and the Value of News
    Department of Economics - Working Papers Series, The University of Melbourne View citations (4)
28. Rational Habit Modification: the Role of Credit
    Department of Economics - Working Papers Series, The University of Melbourne

1998

29. 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 Asymmetric Conditional Volatility and Firm Size: Evidence from Australian Equity Portfolios, Australian Economic Papers, Wiley Blackwell (1999) View citations (14) (1999)
30. Does the Australian Dollar Real Exchange Rate Really Display Mean Reversion?
    Department of Economics - Working Papers Series, The University of Melbourne
31. Identifying Currency Crisis Using Treshold Autoregressions: Australia and the East Asian "Meltdown"
    Department of Economics - Working Papers Series, The University of Melbourne
32. 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 The volatility of US term structure term premia 1952 - 1991, Applied Financial Economics, Taylor & Francis Journals (1999) View citations (2) (1999)

1995

33. A Variance Decomposition for the Excess Return on Australian Stocks
    Department of Economics - Working Papers Series, The University of Melbourne View citations (1)
34. GARCH Models of term Structure Term Premia: A Cautionary Note
    Department of Economics - Working Papers Series, The University of Melbourne
35. Modelling the Assymetry of Stock Market Volatility
    Department of Economics - Working Papers Series, The University of Melbourne
    See also Journal Article Modelling the asymmetry of stock market volatility, Applied Financial Economics, Taylor & Francis Journals (1998) View citations (15) (1998)

Journal Articles

2024

1. Can financial uncertainty forecast aggregate stock market returns?
   Financial Markets, Institutions & Instruments, 2024, 33, (2), 91-111
2. Energy Flux Method for Wave Energy Converters
   Energies, 2024, 17, (19), 1-15

2023

3. Can we forecast better in periods of low uncertainty? The role of technical indicators
   Journal of Empirical Finance, 2023, 71, (C), 1-12 View citations (1)

2013

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

2012

5. The determinants of short selling: evidence from the Hong Kong equity market
   Accounting and Finance, 2012, 52, 183-216 View citations (4)

2010

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

2009

8. 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 View citations (53)

2007

9. IDENTIFYING INTERDEPENDENCIES BETWEEN SOUTH‐EAST ASIAN STOCK MARKETS: A NON‐LINEAR APPROACH
   Australian Economic Papers, 2007, 46, (2), 122-135 View citations (7)
10. Testing for rate dependence and asymmetry in inflation uncertainty: Evidence from the G7 economies
    Economics Letters, 2007, 94, (3), 383-388 View citations (12)
    See also Working Paper Testing for Rate-Dependence and Asymmetry in Inflation Uncertainty:Evidence from the G7 Economies, Department of Economics - Working Papers Series (2006) (2006)

2006

11. The Impact of Short Selling on the Price-Volume Relationship: Evidence from Hong Kong
    The Journal of Business, 2006, 79, (2), 671-692 View citations (21)
    See also Working Paper The Impact of Short Selling on the Price-Volume Relationship: Evidence from Hong Kong, Working Papers (2004) View citations (3) (2004)

2005

12. Measuring the Response of Macroeconomic Uncertainty to Shocks
    The Review of Economics and Statistics, 2005, 87, (2), 362-370 View citations (32)
    See also Working Paper Measuring the Response of Macroeconomic Uncertainty to Shocks, Department of Economics - Working Papers Series (2003) View citations (5) (2003)

2004

13. Do stock market returns predict changes to output? Evidence from a nonlinear panel data model
    Empirical Economics, 2004, 29, (3), 527-540 View citations (36)
    See also Working Paper Do Stock Market Returns Predict Changes to Output? Evidence from a Nonlinear Panel Data Model, Department of Economics - Working Papers Series (2003) View citations (2) (2003)
14. Is there a unit root in inflation?
    Journal of Macroeconomics, 2004, 26, (3), 481-500 View citations (30)
15. The asymmetric effects of uncertainty on inflation and output growth
    Journal of Applied Econometrics, 2004, 19, (5), 551-565 View citations (194)
    See also Working Paper The Asymmetric Effects of Uncertainty on Inflation and Output Growth, Royal Economic Society Annual Conference 2003 (2003) View citations (12) (2003)

2002

16. Does the Australian dollar real exchange rate display mean reversion
    Journal of International Money and Finance, 2002, 21, (5), 651-666 View citations (28)
17. Long memory in stock returns: some international evidence
    Applied Financial Economics, 2002, 12, (10), 725-729 View citations (78)
18. Rational habit modification in consumption
    Economic Modelling, 2002, 19, (4), 665-678 View citations (6)
19. The Effect of Asymmetries on Optimal Hedge Ratios
    The Journal of Business, 2002, 75, (2), 333-352 View citations (103)
20. The Effect of Recessions on the Relationship between Output Variability and Growth
    Southern Economic Journal, 2002, 68, (3), 683-692 View citations (6)
    See also Working Paper The Effect of Recessions on the Relationship between Output Variability and Growth, Department of Economics - Working Papers Series (2000) View citations (12) (2000)
21. 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 View citations (13)
    See also Working Paper The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock Market, Department of Economics - Working Papers Series (2000) (2000)

2001

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

2000

24. Australian Economic Growth: Nonlinearities and International Influences
    The Economic Record, 2000, 76, (235), 365-373 View citations (5)
    See also Working Paper Australian Economic Growth: Non-Linearities and Internaitonal Influences, Department of Economics - Working Papers Series (2000) (2000)
25. Can portmanteau nonlinearity tests serve as general mis-specification tests?: Evidence from symmetric and asymmetric GARCH models
    Economics Letters, 2000, 67, (3), 245-251 View citations (15)
    See also Working Paper Can Portemanteau Nonlinearity Tests Serve as General Mis-Specification Tests? Evidence from Symmetric and Asymmetric GARCH Models, Department of Economics - Working Papers Series (1999) (1999)
26. Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia
    Economic Modelling, 2000, 17, (4), 497-513 View citations (28)
    See also Working Paper Linear and Non-Linear Transmission of Equity Return Volatility: Evidence From the US, Japan, and Australia, Department of Economics - Working Papers Series (1999) View citations (1) (1999)

1999

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

1998

30. Modelling the asymmetry of stock market volatility
    Applied Financial Economics, 1998, 8, (2), 145-153 View citations (15)
    See also Working Paper Modelling the Assymetry of Stock Market Volatility, Department of Economics - Working Papers Series (1995) (1995)
31. Web‐Based Resources for the Macroeconomist
    Australian Economic Review, 1998, 31, (4), 430-434

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