Monash Econometrics and Business Statistics Working Papers

From Monash University, Department of Econometrics and Business Statistics
PO Box 11E, Monash University, Victoria 3800, Australia.
Contact information at EDIRC.
Bibliographic data for series maintained by Professor Xibin Zhang ().

Access Statistics for this working paper series.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

13/03: General Insurance Premiums When Tail Fatness Is Unknown: A Fat Premium Representation Theorem

Roger Gay

12/03: Non Parametric Confidence Intervals for Receiver Operating Characteristic Curves

Peter G. Hall, Rob Hyndman and Yanan Fan

11/03: Who are the Self-employed? A New Approach

Sarah Brown, Lisa Farrell and Mark Harris

10/03: Estimation of Asymmetric Box-Cox Stochastic Volatility Models Using MCMC Simulation

Xibin Zhang and Maxwell King

9/03: Does Beta React to Market Conditions? Estimates of Bull and Bear Betas using a Nonlinear Market Model with an Endogenous Threshold Parameter

George Woodward and Heather Anderson

8/03: Coherent Predictions of Low Count Time Series

Brendan McCabe and Gael Martin

7/03: A Monte Carlo Investigation of Some Tests for Stochastic Dominance

Y. K. Tse and Xibin Zhang

6/03: Pricing Australian S&P200 Options: A Bayesian Approach Based on Generalized Distributional Forms

David B. Flynn, Simone D. Grose, Gael Martin and Vance Martin

5/03: Implicit Bayesian Inference Using Option Prices

Gael Martin, Catherine Forbes and Vance Martin

4/03: Using Evolutionary Spectra to Forecast Time Series

Elizabeth Maharaj

3/03: Invertibility Conditions for Exponential Smoothing Models

Rob Hyndman, Muhammad Akram and Blyth Archibald

2/03: Empirical Information Criteria for Time Series Forecasting Model Selection

Md B. Billah, Rob Hyndman and A.B. Koehler

1/03: Stochastic models underlying Croston's method for intermittent demand forecasting

Lydia Shenstone and Rob Hyndman

21/02: Choosing Lag Lengths in Nonlinear Dynamic Models

Heather Anderson

20/02: Nonlinear Autoregresssive Leading Indicator Models of Output in G-7 Countries

Heather Anderson, George Athanasopoulos and Farshid Vahid

19/02: Influence Diagnostics in GARCH Processes

Xibin Zhang and Maxwell King

18/02: Estimation of Hyperbolic Diffusion Using MCMC Method

Y. K. Tse, Xibin Zhang and Jun Yu

17/02: A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options

Jun Yu, Zhenlin Yang and Xibin Zhang

16/02: The Economic Incidence of R&D and Promotion Investments in the Australian Beef Industry

Xueyan Zhao, J.D. Mullen, G.R. Griffith, R.R. Piggott and William Griffiths

15/02: Who Bears the Burden and Who Receives the Gain? - The Case of GWRDC R&D Investments in the Australian Grape and Wine Industry

Xueyan Zhao

14/02: Reconstructing the Kalman Filter for Stationary and Non Stationary Time Series

Ralph Snyder and Catherine Forbes

13/02: Nonsimultaneity and Futures Option Pricing: Simulation and Empirical Evidence

Robert E.J. Hibbard, Rob Brown and Keith McLaren

12/02: Cobb-Douglas Utility - Eventually!

Alan Powell, Keith McLaren, Ken Pearson and Maureen Rimmer

11/02: An Improved Method for Bandwidth Selection when Estimating ROC Curves

Peter Hall and Rob Hyndman

10/02: Local Linear Forecasts Using Cubic Smoothing Splines

Rob Hyndman, Maxwell King, Ivet Pitrun and Baki Billah

9/02: Statistical Inference on Changes in Income Inequality in Australia

George Athanasopoulos and Farshid Vahid

8/02: Model Selection Criteria for Segmented Time Series from a Bayesian Approach to Information Compression

Brian Hanlon and Catherine Forbes

7/02: The DOGEV Model

Tim Fry and Mark Harris

6/02: Regular and Estimable Inverse Demand Systems: A Distance Function Approach

Ka Wong and Keith McLaren

5/02: Non-linear Modelling of the Australian Business Cycle using a Leading Indicator

Roland G. Shami and Catherine Forbes

4/02: Pricing Currency Options in Tranquil Markets: Modelling Volatility Frowns

Guay Lim, G.M. Martin and V.L. Martin

3/02: Exponential Smoothing for Inventory Control: Means and Variances of Lead-Time Demand

Ralph Snyder, Anne B. Koehler, Rob Hyndman and John Ord

2/02: Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices

Catherine Forbes, Gael Martin and Jonathan Wright

1/02: Parametric Pricing of Higher Order Moments in S&P500 Options

Guay Lim, G.M. Martin and V.L. Martin

11/01: Prediction Intervals for Exponential Smoothing State Space Models

Rob Hyndman, A.B. Koehler, John Ord and Ralph Snyder

10/01: Using R to Teach Econometrics

Jeffrey Racine and Rob Hyndman

9/01: The Missing Link: Using the NBER Recession Indicator to Construct Coincident and Leading Indices of Economic Activity

João Issler and Farshid Vahid

8/01: Strategy Similarity and Coordination

Farshid Vahid and R. Sarin

7/01: Capturing the Shape of Business Cycles with Nonlinear Autoregressive Leading Indicator Models

George Athanasopoulos, Heather Anderson and Farshid Vahid

6/01: Statistical Methodological Issues in Studies of Air Pollution and Respiratory Disease

Rob Hyndman and B. Erbas

5/01: Unmasking the Theta Method

Rob Hyndman and B. Billah

4/01: On the Nature and Role of Hypothesis Tests

A. McLean

3/01: Market Architecture and Nonlinear Dynamics of Australian Stock and Future Indices

Heather Anderson and Farshid Vahid

2/01: The Importance Of Common Cyclical Features in VAR Analysis: A Monte-Carlo Study

Farshid Vahid and João Issler

1/01: Comparison of Non-Stationary Time Series in the Frequency Domain

Elizabeth Maharaj

11/00: Mixed Model-Based Hazard Estimation

T. Cai, Rob Hyndman and M.P. Wand

10/00: A structural Time Series Model with Markov Switching

R.G. Shami and Catherine Forbes

9/00: A State Space Framework for Automatic Forecasting Using Exponential Smoothing Methods

Rob Hyndman, A.B. Koehler, Ralph Snyder and S. Grose

8/00: Are Casual Jobs a Freeway to Permanent Employment?

J. Chalmers and Guyonne Kalb

7/00: Bayesian Exponential Smoothing

Catherine Forbes, Ralph Snyder and R.S. Shami