Details about Stan Hurn

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Workplace:	National Centre for Econometric Research (NCER), (more information at EDIRC) School of Economics and Finance, Business School, Queensland University of Technology, (more information at EDIRC)

Access statistics for papers by Stan Hurn.

Last updated 2025-03-14. Update your information in the RePEc Author Service.

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Working Papers

2024

1. Teaching Financial Econometrics to Students Converting to Finance
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University

2021

2. A simple linear alternative to multiplicative error models with an application to trading volume
   Working Papers, University of Tasmania, Tasmanian School of Business and Economics
3. Testing for time-varying Granger causality
   Economics Virtual Symposium 2021, Stata Users Group
   See also Journal Article Testing for time-varying Granger causality, Stata Journal, StataCorp LLC (2022) View citations (11) (2022)

2020

4. The Bootstrap
   Post-Print, HAL

2019

5. Modeling directional (circular) time series
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (3)
6. Modelling and forecasting wind drought
   Working Paper Series, Department of Economics, Norwegian University of Science and Technology

2018

7. Transition from the Taylor rule to the zero lower bound
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
   See also Journal Article Transition from the Taylor rule to the zero lower bound, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2022) (2022)

2017

8. A semi-parametric point process model of the interactions between equity markets
   Working Papers, University of Tasmania, Tasmanian School of Business and Economics

2016

9. "Change Detection and the Causal Impact of the Yield Curve
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (9)
   Also in NCER Working Paper Series, National Centre for Econometric Research (2015) View citations (3)
   See also Journal Article Change Detection and the Causal Impact of the Yield Curve, Journal of Time Series Analysis, Wiley Blackwell (2018) View citations (105) (2018)
10. Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship
    NCER Working Paper Series, National Centre for Econometric Research View citations (11)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2016) View citations (9)

2015

11. Forecasting day-ahead electricity load using a multiple equation time series approach
    NCER Working Paper Series, National Centre for Econometric Research View citations (2)
    See also Journal Article Forecasting day-ahead electricity load using a multiple equation time series approach, European Journal of Operational Research, Elsevier (2016) View citations (38) (2016)

2014

12. A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
    Also in NCER Working Paper Series, National Centre for Econometric Research (2014) View citations (2)
    See also Journal Article A Smooth Transition Logit Model of The Effects of Deregulation in the Electricity Market, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2016) View citations (13) (2016)

2013

13. On the Efficacy of Fourier Series Approximations for Pricing European and Digital Options
    NCER Working Paper Series, National Centre for Econometric Research

2012

14. A Spatial Econometric Analysis of the Effect of Vertical Restraints and Branding on Retail Gasoline Pricing
    NCER Working Paper Series, National Centre for Econometric Research View citations (3)
15. Selecting forecasting models for portfolio allocation
    NCER Working Paper Series, National Centre for Econometric Research View citations (1)

2011

16. Asymmetric unemployment rate dynamics in Australia
    NCER Working Paper Series, National Centre for Econometric Research
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) View citations (4)
    Working Paper Series, Department of Economics, Norwegian University of Science and Technology (2010) View citations (3)
    See also Journal Article Asymmetric Unemployment Rate Dynamics in Australia, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2012) View citations (1) (2012)

2010

17. A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions
    NCER Working Paper Series, National Centre for Econometric Research
    See also Journal Article A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions, Journal of Econometrics, Elsevier (2013) View citations (8) (2013)

2009

18. Detecting Common Dynamics in Transitory Components
    NCER Working Paper Series, National Centre for Econometric Research
    See also Journal Article Detecting Common Dynamics in Transitory Components, Journal of Time Series Econometrics, De Gruyter (2011) View citations (4) (2011)
19. Evaluating multivariate volatility forecasts
    NCER Working Paper Series, National Centre for Econometric Research View citations (32)
20. Testing the Profitability of Technical Analysis as a Portfolio Selection Strategy
    NCER Working Paper Series, National Centre for Econometric Research View citations (3)

2008

21. Developing analytical distributions for temperature indices for the purposes of pricing temperature-based weather derivatives
    NCER Working Paper Series, National Centre for Econometric Research
22. Discrete time-series models when counts are unobservable
    NCER Working Paper Series, National Centre for Econometric Research
23. Estimating the Payoffs of Temperature-based Weather Derivatives
    NCER Working Paper Series, National Centre for Econometric Research View citations (4)
24. It never rains but it pours: Modelling the persistence of spikes in electricity prices
    NCER Working Paper Series, National Centre for Econometric Research
    See also Journal Article It Never Rains but it Pours: Modeling the Persistence of Spikes in Electricity Prices, The Energy Journal (2009) View citations (1) (2009)
25. Momentum in Australian Stock Returns: An Update
    NCER Working Paper Series, National Centre for Econometric Research View citations (27)
26. The Devil is in the Detail: Hints for Practical Optimisation
    NCER Working Paper Series, National Centre for Econometric Research View citations (7)
    See also Journal Article The Devil is in the Detail: Hints for Practical Optimisation, Economic Analysis and Policy, Elsevier (2008) View citations (7) (2008)

2007

27. Econometric Analysis of Structural Systems with Permanent and Transitory Shocks. Working paper #7
    NCER Working Paper Series, National Centre for Econometric Research View citations (4)
28. Teaching an Old Dog New Tricks: Improved Estimation of the Parameters of Stochastic Differential Equations by Numerical Solution of the Fokker-Planck Equation
    NCER Working Paper Series, National Centre for Econometric Research View citations (1)
29. Testing for nonlinearity in mean in the presence of heteroskedasticity. Working paper #8
    NCER Working Paper Series, National Centre for Econometric Research

2006

30. Estimating Stochastic Volatility Models Using a Discrete Non-linear Filter. Working paper #3
    NCER Working Paper Series, National Centre for Econometric Research View citations (2)
31. Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations. Working paper #2
    NCER Working Paper Series, National Centre for Econometric Research View citations (2)
32. Seeing the wood for the trees: A critical evaluation of methods to estimate the parameters of stochastic differential equations
    Stan Hurn Discussion Papers, School of Economics and Finance, Queensland University of Technology View citations (3)
    See also Journal Article Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations, Journal of Financial Econometrics, Oxford University Press View citations (32)
33. Teaching an old dog new tricks: Improved estimation of the parameters of SDEs by numerical solution of the Fokker-Planck equation
    Stan Hurn Discussion Papers, School of Economics and Finance, Queensland University of Technology View citations (6)
34. Testing for nonlinearity in mean in the presence of heteroskedasticity
    Stan Hurn Discussion Papers, School of Economics and Finance, Queensland University of Technology View citations (2)
    Also in Econometric Society 2004 Australasian Meetings, Econometric Society (2004) View citations (2)
    See also Journal Article Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity, Economic Analysis and Policy, Elsevier (2009) View citations (10) (2009)

2005

35. Modelling Wages and Prices in Australia
    Working Paper Series, Department of Economics, Norwegian University of Science and Technology View citations (6)
    See also Journal Article Modelling Wages and Prices in Australia, The Economic Record, The Economic Society of Australia (2007) View citations (6) (2007)

2004

36. Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility
    Econometric Society 2004 Australasian Meetings, Econometric Society View citations (6)

2003

37. A smooth-transition model of the Australian unemployment rate
    Working Paper Series, Department of Economics, Norwegian University of Science and Technology View citations (2)

2001

38. Modelling Structural Change in Money Demand Using a Fourier-Series Approximation
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (3)
39. Testing for Time Dependence in Parameters
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (12)

1999

40. The Generic Properties of Equilibrium Correction Mechanisms
    Working Paper Series, Department of Economics, Norwegian University of Science and Technology View citations (1)

1998

41. Distributional Preferences and the Extended Gini Measures of Inequality
    Department of Economics - Working Papers Series, The University of Melbourne View citations (1)

1996

42. Time Series Evidence of Global Warming
    Department of Economics - Working Papers Series, The University of Melbourne

1995

43. Estimating the Parameters of Stochastic Differential Equations by Monte Carlo Methods
    Department of Economics - Working Papers Series, The University of Melbourne View citations (3)
    See also Journal Article Estimating the parameters of stochastic differential equations by Monte Carlo methods, Mathematics and Computers in Simulation (MATCOM), Elsevier (1997) View citations (3) (1997)
44. Isolating Cyclical Patterns in Irregular Time Series Data
    Department of Economics - Working Papers Series, The University of Melbourne
    See also Journal Article Isolating cyclical patterns in irregular time-series data, Mathematics and Computers in Simulation (MATCOM), Elsevier (1997) (1997)
45. Modelling the Lifespan of Human T Lymphocyte Subsets
    Department of Economics - Working Papers Series, The University of Melbourne
46. The Empirical Size and Power of Some Tests for Detecting Autoregressive Conditional Heteroskedasticity in the Presence of Serial Correlation
    Department of Economics - Working Papers Series, The University of Melbourne

1994

47. Bank of England Intervention and the Structure of Interest Rates in the London Interbank Market
    Working Papers, Tasmania - Department of Economics

1993

48. Unobservable Cyclical Components in Term Premia of Fixed- Term Financial Instruments
    Working Papers, Tasmania - Department of Economics
    See also Journal Article Unobservable cyclical components in term premia of fixed-term financial instruments, Mathematics and Computers in Simulation (MATCOM), Elsevier (1995) (1995)

Undated

49. Modelling Stock Market Excess Returns by Markov Modulated Gaussian Noise
    Working Papers, Business School - Economics, University of Glasgow

Journal Articles

2025

1. The dynamics of U.S. industrial production: A time-varying Granger causality perspective
   Econometrics and Statistics, 2025, 33, (C), 13-22

2024

2. Modelling circular time series
   Journal of Econometrics, 2024, 239, (1)

2023

3. A Comparative Study of Likelihood Approximations for Univariate Diffusions*
   Journal of Financial Econometrics, 2023, 21, (3), 852-879
4. Estimating a Non-parametric Memory Kernel for Mutually Exciting Point Processes*
   Journal of Financial Econometrics, 2023, 21, (5), 1759-1790
5. Modeling Multi-horizon Electricity Demand Forecasts in Australia: A Term Structure Approach
   The Energy Journal, 2023, 44, (3), 251-266

2022

6. Housing networks and driving forces
   Journal of Banking & Finance, 2022, 134, (C) View citations (8)
7. Specification tests for univariate diffusions
   Econometric Reviews, 2022, 41, (6), 607-632
8. Testing for time-varying Granger causality
   Stata Journal, 2022, 22, (2), 355-378 View citations (11)
   See also Working Paper Testing for time-varying Granger causality, Economics Virtual Symposium 2021 (2021) (2021)
9. Transition from the Taylor rule to the zero lower bound
   Studies in Nonlinear Dynamics & Econometrics, 2022, 26, (5), 635-647
   See also Working Paper Transition from the Taylor rule to the zero lower bound, CREATES Research Papers (2018) View citations (1) (2018)

2021

10. Assessing the Informational Content of Official Australian Bureau of Meteorology Forecasts of Wind Speed
    The Economic Record, 2021, 97, (319), 525-547 View citations (1)
11. The BDS test of independence
    Stata Journal, 2021, 21, (2), 279-294 View citations (1)
12. “What good is a volatility model?” A reexamination after 20 years
    Stata Journal, 2021, 21, (2), 295-319

2020

13. Local Whittle estimation of the long-memory parameter
    Stata Journal, 2020, 20, (3), 565-583

2019

14. Information Flow in Times of Crisis: The Case of the European Banking and Sovereign Sectors
    Econometrics, 2019, 7, (1), 1-20 View citations (4)
15. Revisiting the numerical solution of stochastic differential equations
    China Finance Review International, 2019, 9, (3), 312-323

2018

16. Change Detection and the Causal Impact of the Yield Curve
    Journal of Time Series Analysis, 2018, 39, (6), 966-987 View citations (105)
    See also Working Paper "Change Detection and the Causal Impact of the Yield Curve, Cowles Foundation Discussion Papers (2016) View citations (9) (2016)

2017

17. An empirical investigation of herding in the U.S. stock market
    Economic Modelling, 2017, 67, (C), 184-192 View citations (24)
18. Forecasting quantiles of day-ahead electricity load
    Energy Economics, 2017, 67, (C), 60-71 View citations (14)
19. The Effect of Transmission Constraints on Electricity Prices
    The Energy Journal, 2017, Volume 38, (Number 4) View citations (7)
    Also in The Energy Journal, 2017, 38, (4), 145-163 (2017)

2016

20. A Smooth Transition Logit Model of The Effects of Deregulation in the Electricity Market
    Journal of Applied Econometrics, 2016, 31, (4), 707-733 View citations (13)
    See also Working Paper A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market, CREATES Research Papers (2014) View citations (2) (2014)
21. Common trends in global volatility
    Journal of International Money and Finance, 2016, 67, (C), 194-214 View citations (2)
22. Forecasting day-ahead electricity load using a multiple equation time series approach
    European Journal of Operational Research, 2016, 251, (2), 522-530 View citations (38)
    See also Working Paper Forecasting day-ahead electricity load using a multiple equation time series approach, NCER Working Paper Series (2015) View citations (2) (2015)
23. Strategic bidding and rebidding in electricity markets
    Energy Economics, 2016, 59, (C), 24-36 View citations (22)

2015

24. Estimating the Parameters of Stochastic Volatility Models Using Option Price Data
    Journal of Business & Economic Statistics, 2015, 33, (4), 579-594 View citations (10)
25. Modelling interregional links in electricity price spikes
    Energy Economics, 2015, 51, (C), 383-393 View citations (41)
26. Selecting volatility forecasting models for portfolio allocation purposes
    International Journal of Forecasting, 2015, 31, (3), 849-861 View citations (25)
27. Volatility transmission in global financial markets
    Journal of Empirical Finance, 2015, 32, (C), 3-18 View citations (24)

2013

28. A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions
    Journal of Econometrics, 2013, 172, (1), 106-126 View citations (8)
    See also Working Paper A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions, NCER Working Paper Series (2010) (2010)
29. Semi-parametric Forecasting of Spikes in Electricity Prices
    The Economic Record, 2013, 89, (287), 508-521 View citations (15)

2012

30. Asymmetric Unemployment Rate Dynamics in Australia
    Studies in Nonlinear Dynamics & Econometrics, 2012, 16, (1), 22 View citations (1)
    See also Working Paper Asymmetric unemployment rate dynamics in Australia, NCER Working Paper Series (2011) (2011)
31. Forecasting spikes in electricity prices
    International Journal of Forecasting, 2012, 28, (2), 400-411 View citations (65)

2011

32. Detecting Common Dynamics in Transitory Components
    Journal of Time Series Econometrics, 2011, 3, (1), 28 View citations (4)
    See also Working Paper Detecting Common Dynamics in Transitory Components, NCER Working Paper Series (2009) (2009)
33. Semi-Parametric Forecasting of Realized Volatility
    Studies in Nonlinear Dynamics & Econometrics, 2011, 15, (3), 23 View citations (8)

2009

34. It Never Rains but it Pours: Modeling the Persistence of Spikes in Electricity Prices
    The Energy Journal, 2009, 30, (1), 25-48 View citations (1)
    Also in The Energy Journal, 2009, Volume 30, (Number 1), 25-48 (2009) View citations (41)
    See also Working Paper It never rains but it pours: Modelling the persistence of spikes in electricity prices, NCER Working Paper Series (2008) (2008)
35. Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity
    Economic Analysis and Policy, 2009, 39, (2), 311-326 View citations (10)
    See also Working Paper Testing for nonlinearity in mean in the presence of heteroskedasticity, Stan Hurn Discussion Papers (2006) View citations (2) (2006)

2008

36. Practitioner's Corner: Introduction
    Economic Analysis and Policy, 2008, 38, (2), 343-343
37. The Devil is in the Detail: Hints for Practical Optimisation
    Economic Analysis and Policy, 2008, 38, (2), 345-368 View citations (7)
    See also Working Paper The Devil is in the Detail: Hints for Practical Optimisation, NCER Working Paper Series (2008) View citations (7) (2008)

2007

38. Identifying aggregate demand and supply shocks in a small open economy
    Oxford Economic Papers, 2007, 59, (3), 411-429 View citations (25)
39. Modelling Spikes in Electricity Prices
    The Economic Record, 2007, 83, (263), 371-382 View citations (38)
40. Modelling Wages and Prices in Australia
    The Economic Record, 2007, 83, (261), 143-158 View citations (6)
    See also Working Paper Modelling Wages and Prices in Australia, Working Paper Series (2005) View citations (6) (2005)

2006

41. Asset pricing puzzles in finance: Introduction
    The North American Journal of Economics and Finance, 2006, 17, (2), 103-105 View citations (1)
42. Mixture distribution‐based forecasting using stochastic volatility models
    Applied Stochastic Models in Business and Industry, 2006, 22, (5‐6), 547-557

2004

43. Linearizations and Equilibrium Correction Models
    Studies in Nonlinear Dynamics & Econometrics, 2004, 8, (4), 9 View citations (2)
44. Using discrete-time techniques to test continuous-time models for nonlinearity in drift
    Mathematics and Computers in Simulation (MATCOM), 2004, 64, (1), 121-131

2003

45. Dollar‐Deutschemark Polarisation: Comparing The Pound And Franc
    Scottish Journal of Political Economy, 2003, 50, (3), 217-231 View citations (3)
46. Mobius-Like Mappings and Their Use in Kernel Density Estimation
    Journal of the American Statistical Association, 2003, 98, 993-1000 View citations (7)
47. Momentum in Australian Stock Returns
    Australian Journal of Management, 2003, 28, (2), 141-155 View citations (43)
48. On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential Equations
    Journal of Time Series Analysis, 2003, 24, (1), 45-63 View citations (13)

2002

49. Asymmetric price adjustment and the Phillips curve
    Journal of Macroeconomics, 2002, 24, (3), 395-412 View citations (8)
50. On the Specification of the Drift and Diffusion Functions for Continuous‐time Models of the Spot Interest Rate
    Oxford Bulletin of Economics and Statistics, 2002, 64, (5), 547-564 View citations (2)

1999

51. Estimating the parameters of stochastic differential equations
    Mathematics and Computers in Simulation (MATCOM), 1999, 48, (4), 373-384 View citations (9)
52. Measuring Attitudes Towards Inequality
    Scandinavian Journal of Economics, 1999, 101, (1), 83-96 View citations (120)

1997

53. Common trends and generalized purchasing power parity
    Mathematics and Computers in Simulation (MATCOM), 1997, 43, (3), 437-443 View citations (11)
54. Estimating the parameters of stochastic differential equations by Monte Carlo methods
    Mathematics and Computers in Simulation (MATCOM), 1997, 43, (3), 495-501 View citations (3)
    See also Working Paper Estimating the Parameters of Stochastic Differential Equations by Monte Carlo Methods, Department of Economics - Working Papers Series (1995) View citations (3) (1995)
55. Isolating cyclical patterns in irregular time-series data
    Mathematics and Computers in Simulation (MATCOM), 1997, 43, (3), 405-412
    See also Working Paper Isolating Cyclical Patterns in Irregular Time Series Data, Department of Economics - Working Papers Series (1995) (1995)

1996

56. Modelling the Demand for M4 in the U.K
    The Manchester School of Economic & Social Studies, 1996, 64, (1), 70-78 View citations (2)

1995

57. In Search of Time-Varying Term Premia in the London Interbank Market
    Scottish Journal of Political Economy, 1995, 42, (2), 152-64 View citations (3)
58. The Term Structure of Interest Rates in the London Interbank Market
    Oxford Economic Papers, 1995, 47, (3), 419-36 View citations (34)
59. Unobservable cyclical components in term premia of fixed-term financial instruments
    Mathematics and Computers in Simulation (MATCOM), 1995, 39, (3), 403-409
    See also Working Paper Unobservable Cyclical Components in Term Premia of Fixed- Term Financial Instruments, Working Papers (1993) (1993)

1994

60. Geology or Economics? Testing Models of Irreversible Investment Using North Sea Oil Data
    Economic Journal, 1994, 104, (423), 363-71 View citations (45)
61. Theory and Tests of Generalized Purchasing-Power Parity: Common Trends and Real Exchange Rates in the Pacific Rim
    Review of International Economics, 1994, 2, (2), 179-90 View citations (51)

1993

62. Seasonality, Cointegration and Error Correction: An Illustration Using South African Monetary Data
    Scottish Journal of Political Economy, 1993, 40, (3), 311-22
63. The Money‐income Causality Debate in South Africa: Reply
    South African Journal of Economics, 1993, 61, (1), 58-60

1992

64. Cointegration and Dynamic Time Series Models
    Journal of Economic Surveys, 1992, 6, (1), 1-43 View citations (52)
65. Testing Superexogeneity: The Demand for Broad Money in the UK
    Oxford Bulletin of Economics and Statistics, 1992, 54, (4), 543-56 View citations (9)
66. The Long‐run Properties of the Demand for M3 in South Africa
    South African Journal of Economics, 1992, 60, (2), 93-101 View citations (3)

1991

67. Causality, Predictability and Monetary Targets in South Africa
    South African Journal of Economics, 1991, 59, (4), 229-241

Undated

68. Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations
    Journal of Financial Econometrics, 5, (3), 390-455 View citations (32)
    See also Working Paper Seeing the wood for the trees: A critical evaluation of methods to estimate the parameters of stochastic differential equations, Stan Hurn Discussion Papers (2006) View citations (3) (2006)

Books

2021

1. Environmental Econometrics Using Stata
   Stata Press books, StataCorp LLC View citations (4)

2013

2. Econometric Modelling with Time Series
   Cambridge Books, Cambridge University Press View citations (27)
   Also in Cambridge Books, Cambridge University Press (2013) View citations (27)

Edited books

2004

1. Contemporary Issues in Economics and Econometrics
   Books, Edward Elgar Publishing View citations (3)

Chapters

2006

1. Modeling Inflation and Money Demand Using a Fourier-Series Approximation
   A chapter in Nonlinear Time Series Analysis of Business Cycles, 2006, pp 221-246

Software Items

2024

1. TVGC: Stata module to perform Time-Varying Granger Causality tests
   Statistical Software Components, Boston College Department of Economics

2023

2. WHITTLE: Stata module to compute long-memory parameter via Whittle method
   Statistical Software Components, Boston College Department of Economics