Details about Stan Hurn
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Working Papers
2024
- Teaching Financial Econometrics to Students Converting to Finance
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
2021
- 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
- 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
- The Bootstrap
Post-Print, HAL
2019
- Modeling directional (circular) time series
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (3)
- Modelling and forecasting wind drought
Working Paper Series, Department of Economics, Norwegian University of Science and Technology
2018
- 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
- A semi-parametric point process model of the interactions between equity markets
Working Papers, University of Tasmania, Tasmanian School of Business and Economics
2016
- "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 (101) (2018)
- Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship
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 (2016) View citations (11)
2015
- 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
- A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market
NCER Working Paper Series, National Centre for Econometric Research View citations (2)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (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
- On the Efficacy of Fourier Series Approximations for Pricing European and Digital Options
NCER Working Paper Series, National Centre for Econometric Research
2012
- 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)
- Selecting forecasting models for portfolio allocation
NCER Working Paper Series, National Centre for Econometric Research View citations (1)
2011
- Asymmetric unemployment rate dynamics in Australia
NCER Working Paper Series, National Centre for Econometric Research 
Also in Working Paper Series, Department of Economics, Norwegian University of Science and Technology (2010) View citations (3) CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) View citations (4)
See also Journal Article Asymmetric Unemployment Rate Dynamics in Australia, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2012) View citations (1) (2012)
2010
- 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
- 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)
- Evaluating multivariate volatility forecasts
NCER Working Paper Series, National Centre for Econometric Research View citations (32)
- Testing the Profitability of Technical Analysis as a Portfolio Selection Strategy
NCER Working Paper Series, National Centre for Econometric Research View citations (3)
2008
- Developing analytical distributions for temperature indices for the purposes of pricing temperature-based weather derivatives
NCER Working Paper Series, National Centre for Econometric Research
- Discrete time-series models when counts are unobservable
NCER Working Paper Series, National Centre for Econometric Research
- Estimating the Payoffs of Temperature-based Weather Derivatives
NCER Working Paper Series, National Centre for Econometric Research View citations (4)
- 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, International Association for Energy Economics (2009) View citations (41) (2009)
- Momentum in Australian Stock Returns: An Update
NCER Working Paper Series, National Centre for Econometric Research View citations (27)
- 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
- 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)
- 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)
- Testing for nonlinearity in mean in the presence of heteroskedasticity. Working paper #8
NCER Working Paper Series, National Centre for Econometric Research
2006
- 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)
- 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)
- 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)
- 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)
- 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
- 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
- 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
- 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
- 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)
- Testing for Time Dependence in Parameters
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (12)
1999
- The Generic Properties of Equilibrium Correction Mechanisms
Working Paper Series, Department of Economics, Norwegian University of Science and Technology View citations (1)
1998
- Distributional Preferences and the Extended Gini Measures of Inequality
Department of Economics - Working Papers Series, The University of Melbourne View citations (1)
1996
- Time Series Evidence of Global Warming
Department of Economics - Working Papers Series, The University of Melbourne
1995
- 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)
- 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)
- Modelling the Lifespan of Human T Lymphocyte Subsets
Department of Economics - Working Papers Series, The University of Melbourne
- 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
- Bank of England Intervention and the Structure of Interest Rates in the London Interbank Market
Working Papers, Tasmania - Department of Economics
1993
- 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
- Modelling Stock Market Excess Returns by Markov Modulated Gaussian Noise
Working Papers, Business School - Economics, University of Glasgow
Journal Articles
2025
- The dynamics of U.S. industrial production: A time-varying Granger causality perspective
Econometrics and Statistics, 2025, 33, (C), 13-22
2024
- Modelling circular time series
Journal of Econometrics, 2024, 239, (1)
2023
- A Comparative Study of Likelihood Approximations for Univariate Diffusions*
Journal of Financial Econometrics, 2023, 21, (3), 852-879
- Estimating a Non-parametric Memory Kernel for Mutually Exciting Point Processes*
Journal of Financial Econometrics, 2023, 21, (5), 1759-1790
- Modeling Multi-horizon Electricity Demand Forecasts in Australia: A Term Structure Approach
The Energy Journal, 2023, 44, (3), 251-266
2022
- Housing networks and driving forces
Journal of Banking & Finance, 2022, 134, (C) View citations (7)
- Specification tests for univariate diffusions
Econometric Reviews, 2022, 41, (6), 607-632
- 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)
- 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
- 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)
- The BDS test of independence
Stata Journal, 2021, 21, (2), 279-294 View citations (1)
- “What good is a volatility model?” A reexamination after 20 years
Stata Journal, 2021, 21, (2), 295-319
2020
- Local Whittle estimation of the long-memory parameter
Stata Journal, 2020, 20, (3), 565-583
2019
- Information Flow in Times of Crisis: The Case of the European Banking and Sovereign Sectors
Econometrics, 2019, 7, (1), 1-20 View citations (4)
- Revisiting the numerical solution of stochastic differential equations
China Finance Review International, 2019, 9, (3), 312-323
2018
- Change Detection and the Causal Impact of the Yield Curve
Journal of Time Series Analysis, 2018, 39, (6), 966-987 View citations (101)
See also Working Paper "Change Detection and the Causal Impact of the Yield Curve, Cowles Foundation Discussion Papers (2016) View citations (9) (2016)
2017
- An empirical investigation of herding in the U.S. stock market
Economic Modelling, 2017, 67, (C), 184-192 View citations (24)
- Forecasting quantiles of day-ahead electricity load
Energy Economics, 2017, 67, (C), 60-71 View citations (14)
- The Effect of Transmission Constraints on Electricity Prices
The Energy Journal, 2017, 38, (4), 145-163 
Also in The Energy Journal, 2017, Volume 38, (Number 4) (2017) View citations (7)
2016
- 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, NCER Working Paper Series (2014) View citations (2) (2014)
- Common trends in global volatility
Journal of International Money and Finance, 2016, 67, (C), 194-214 View citations (2)
- 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)
- Strategic bidding and rebidding in electricity markets
Energy Economics, 2016, 59, (C), 24-36 View citations (22)
2015
- Estimating the Parameters of Stochastic Volatility Models Using Option Price Data
Journal of Business & Economic Statistics, 2015, 33, (4), 579-594 View citations (10)
- Modelling interregional links in electricity price spikes
Energy Economics, 2015, 51, (C), 383-393 View citations (40)
- Selecting volatility forecasting models for portfolio allocation purposes
International Journal of Forecasting, 2015, 31, (3), 849-861 View citations (25)
- Volatility transmission in global financial markets
Journal of Empirical Finance, 2015, 32, (C), 3-18 View citations (23)
2013
- 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)
- Semi-parametric Forecasting of Spikes in Electricity Prices
The Economic Record, 2013, 89, (287), 508-521 View citations (15)
2012
- 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)
- Forecasting spikes in electricity prices
International Journal of Forecasting, 2012, 28, (2), 400-411 View citations (65)
2011
- 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)
- Semi-Parametric Forecasting of Realized Volatility
Studies in Nonlinear Dynamics & Econometrics, 2011, 15, (3), 23 View citations (8)
2009
- It Never Rains but it Pours: Modeling the Persistence of Spikes in Electricity Prices
The Energy Journal, 2009, Volume 30, (Number 1), 25-48 View citations (41)
Also in The Energy Journal, 2009, 30, (1), 25-48 (2009) View citations (1)
See also Working Paper It never rains but it pours: Modelling the persistence of spikes in electricity prices, NCER Working Paper Series (2008) (2008)
- 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
- Practitioner's Corner: Introduction
Economic Analysis and Policy, 2008, 38, (2), 343-343
- 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
- Identifying aggregate demand and supply shocks in a small open economy
Oxford Economic Papers, 2007, 59, (3), 411-429 View citations (25)
- Modelling Spikes in Electricity Prices
The Economic Record, 2007, 83, (263), 371-382 View citations (38)
- 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
- Asset pricing puzzles in finance: Introduction
The North American Journal of Economics and Finance, 2006, 17, (2), 103-105 View citations (1)
- Mixture distribution‐based forecasting using stochastic volatility models
Applied Stochastic Models in Business and Industry, 2006, 22, (5‐6), 547-557
2004
- Linearizations and Equilibrium Correction Models
Studies in Nonlinear Dynamics & Econometrics, 2004, 8, (4), 9 View citations (2)
- 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
- Dollar‐Deutschemark Polarisation: Comparing The Pound And Franc
Scottish Journal of Political Economy, 2003, 50, (3), 217-231 View citations (3)
- Mobius-Like Mappings and Their Use in Kernel Density Estimation
Journal of the American Statistical Association, 2003, 98, 993-1000 View citations (7)
- Momentum in Australian Stock Returns
Australian Journal of Management, 2003, 28, (2), 141-155 View citations (43)
- 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
- Asymmetric price adjustment and the Phillips curve
Journal of Macroeconomics, 2002, 24, (3), 395-412 View citations (8)
- 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
- Estimating the parameters of stochastic differential equations
Mathematics and Computers in Simulation (MATCOM), 1999, 48, (4), 373-384 View citations (9)
- Measuring Attitudes Towards Inequality
Scandinavian Journal of Economics, 1999, 101, (1), 83-96 View citations (120)
1997
- Common trends and generalized purchasing power parity
Mathematics and Computers in Simulation (MATCOM), 1997, 43, (3), 437-443 View citations (11)
- 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)
- 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
- 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
- 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)
- The Term Structure of Interest Rates in the London Interbank Market
Oxford Economic Papers, 1995, 47, (3), 419-36 View citations (34)
- 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
- Geology or Economics? Testing Models of Irreversible Investment Using North Sea Oil Data
Economic Journal, 1994, 104, (423), 363-71 View citations (45)
- 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
- Seasonality, Cointegration and Error Correction: An Illustration Using South African Monetary Data
Scottish Journal of Political Economy, 1993, 40, (3), 311-22
- The Money‐income Causality Debate in South Africa: Reply
South African Journal of Economics, 1993, 61, (1), 58-60
1992
- Cointegration and Dynamic Time Series Models
Journal of Economic Surveys, 1992, 6, (1), 1-43 View citations (52)
- Testing Superexogeneity: The Demand for Broad Money in the UK
Oxford Bulletin of Economics and Statistics, 1992, 54, (4), 543-56 View citations (9)
- 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
- Causality, Predictability and Monetary Targets in South Africa
South African Journal of Economics, 1991, 59, (4), 229-241
Undated
- 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
- Environmental Econometrics Using Stata
Stata Press books, StataCorp LLC View citations (4)
2013
- 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
- Contemporary Issues in Economics and Econometrics
Books, Edward Elgar Publishing View citations (3)
Chapters
2006
- 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
- TVGC: Stata module to perform Time-Varying Granger Causality tests
Statistical Software Components, Boston College Department of Economics
2023
- WHITTLE: Stata module to compute long-memory parameter via Whittle method
Statistical Software Components, Boston College Department of Economics
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