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Heather M. Anderson

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Personal Details

First Name: Heather
Middle Name: M.
Last Name: Anderson
Suffix:

RePEc Short-ID: pan164

Email: [This author has chosen not to make the email address public]
Homepage: http://www.buseco.monash.edu.au/about/staff/profile.php?cn=heather-anderson
Postal Address:
Phone:

Affiliation

Department of Econometrics and Business Statistics
Monash Business School
Monash University
Location: Melbourne, Australia
Homepage: http://www.buseco.monash.edu.au/ebs/
Email:
Phone: 03 990 52372
Fax: 03 990 55474
Postal: Room 674, Menzies Building, Wellington Road, Clayton, Victoria, 3168
Handle: RePEc:edi:dxmonau (more details at EDIRC)

Works

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Working papers

  1. Taya Dumrongrittikul & Heather M. Anderson, 2013. "Do Policy-Related Shocks Affect Real Exchange Rates of Asian Developing Countries?," Monash Econometrics and Business Statistics Working Papers 12/13, Monash University, Department of Econometrics and Business Statistics.
  2. Heather M. Anderson & Farshid Vahid, 2013. "Common non-linearities in multiple series of stock market volatility," Monash Econometrics and Business Statistics Working Papers 1/13, Monash University, Department of Econometrics and Business Statistics.
  3. Yin Liao & Heather M. Anderson, 2011. "Testing for co-jumps in high-frequency financial data: an approach based on first-high-low-last prices," Monash Econometrics and Business Statistics Working Papers 9/11, Monash University, Department of Econometrics and Business Statistics.
  4. Jing Tian & Heather M. Anderson, 2011. "Forecasting Under Strucural Break Uncertainty," Monash Econometrics and Business Statistics Working Papers 8/11, Monash University, Department of Econometrics and Business Statistics.
  5. Heather M. Anderson & Mardi Dungey & Denise R Osborn & Farshid Vahid, 2010. "Financial Integration and the Construction of Historical Financial Data for the Euro Area," Centre for Growth and Business Cycle Research Discussion Paper Series 152, Economics, The Univeristy of Manchester.
  6. Heather M Anderson & Farshid Vahid, 2010. "VARs, Cointegration and Common Cycle Restrictions," Monash Econometrics and Business Statistics Working Papers 14/10, Monash University, Department of Econometrics and Business Statistics.
  7. Yin Liao & Heather M. Anderson & Farshid Vahid, 2010. "Do Jumps Matter? Forecasting Multivariate Realized Volatility allowing for Common Jumps," Monash Econometrics and Business Statistics Working Papers 11/10, Monash University, Department of Econometrics and Business Statistics.
  8. H.M. Anderson & H. Chan & R. Faff & Y.K. Ho, 2007. "Reported Earnings and Analyst Forecasts as Competing Sources of Information: A New Approach," ANU Working Papers in Economics and Econometrics 2007-488, Australian National University, College of Business and Economics, School of Economics.
  9. Heather Anderson & Mardi Dungey & Denise Osborn & Farshid Vahid, 2007. "Constructing Historical Euro Area Data," Money Macro and Finance (MMF) Research Group Conference 2006 99, Money Macro and Finance Research Group.
  10. Chin Nam Low & Heather Anderson & Ralph D. Snyder, 2006. "Beveridge-Nelson Decomposition with Markov Switching," Monash Econometrics and Business Statistics Working Papers 17/06, Monash University, Department of Econometrics and Business Statistics.
  11. Heather Anderson & Fashid Vahid, 2005. "Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help?," ANU Working Papers in Economics and Econometrics 2005-451, Australian National University, College of Business and Economics, School of Economics.
  12. Heather M. Anderson & Lucy D. Gunn, 2004. "A Model for Trade Frequency in the Presence of Announcements," Econometric Society 2004 Australasian Meetings 165, Econometric Society.
  13. Heather M. Anderson & Chin Nam Low, 2004. "Random Walk Smooth Transition Autoregressive Models," Monash Econometrics and Business Statistics Working Papers 22/04, Monash University, Department of Econometrics and Business Statistics, revised May 2005.
  14. Heather M. Anderson & Chin Nam Low & Ralph Snyder, 2004. "Single Source of Error State Space Approach to the Beveridge Nelson Decomposition," Monash Econometrics and Business Statistics Working Papers 21/04, Monash University, Department of Econometrics and Business Statistics.
  15. Heather Anderson & Farshid Vahid, 2003. "The Decline in Income Growth Volatility in the United States: Evidence from Regional Data," Monash Econometrics and Business Statistics Working Papers 21/03, Monash University, Department of Econometrics and Business Statistics.
  16. George Woodward & Heather Anderson, 2003. "Does Beta React to Market Conditions? Estimates of Bull and Bear Betas using a Nonlinear Market Model with an Endogenous Threshold Parameter," Monash Econometrics and Business Statistics Working Papers 9/03, Monash University, Department of Econometrics and Business Statistics.
  17. Heather M. Anderson & Farshid Vahid, 2003. "Nonlinear Correlograms and Partial Autocorrelograms," Monash Econometrics and Business Statistics Working Papers 19/03, Monash University, Department of Econometrics and Business Statistics.
  18. Heather M. Anderson & George Athanasopoulos & Farshid Vahid, 2002. "Nonlinear Autoregresssive Leading Indicator Models of Output in G-7 Countries," Monash Econometrics and Business Statistics Working Papers 20/02, Monash University, Department of Econometrics and Business Statistics.
  19. Heather M. Anderson, 2002. "Choosing Lag Lengths in Nonlinear Dynamic Models," Monash Econometrics and Business Statistics Working Papers 21/02, Monash University, Department of Econometrics and Business Statistics.
  20. Anderson, H.M. & Vahid, F., 2001. "Market Architecture and Nonlinear Dynamics of Australian Stock and Future Indices," Monash Econometrics and Business Statistics Working Papers 3/01, Monash University, Department of Econometrics and Business Statistics.
  21. Athanasopoulos, G. & Anderson, H.M. & Vahid, F., 2001. "Capturing the Shape of Business Cycles with Nonlinear Autoregressive Leading Indicator Models," Monash Econometrics and Business Statistics Working Papers 7/01, Monash University, Department of Econometrics and Business Statistics.
  22. Anderson, H.M. & Vahid, F., 2000. "Predicting the Probability of a Recession with Nonlinear Autoregressive Leading Indicator Models," Monash Econometrics and Business Statistics Working Papers 3/00, Monash University, Department of Econometrics and Business Statistics.
  23. Anderson, H.M. & Kwark, N.-S. & Vahid, F., 1999. "Does International Trade Synchronize Business Cycles?," Monash Econometrics and Business Statistics Working Papers 8/99, Monash University, Department of Econometrics and Business Statistics.
  24. Anderson, H.M. & Ramsey, J.B., 1999. "U.S. and Canadian Industrial Production Indices as Coupled Oscillators," Working Papers 99-01, C.V. Starr Center for Applied Economics, New York University.
  25. Anderson, H.M. & Granger, C.W.G. & Hall, A.D., 1990. "Treasury Bi;; Yield Curves And Cointegration," Papers 215, Australian National University - Department of Economics.

Articles

  1. Tian, Jing & Anderson, Heather M., 2014. "Forecast combinations under structural break uncertainty," International Journal of Forecasting, Elsevier, vol. 30(1), pages 161-175.
  2. Nowak, Sylwia & Anderson, Heather M., 2014. "How does public information affect the frequency of trading in airline stocks?," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 26-38.
  3. Heather Anderson & Howard Chan & Robert Faff & Yew Kee Ho, 2012. "Reported earnings and analyst forecasts as competing sources of information: A new approach," Australian Journal of Management, Australian School of Business, vol. 37(3), pages 333-359, December.
  4. Anderson, Heather M. & Dungey, Mardi & Osborn, Denise R. & Vahid, Farshid, 2011. "Financial integration and the construction of historical financial data for the Euro Area," Economic Modelling, Elsevier, vol. 28(4), pages 1498-1509, July.
  5. Heather M. Anderson, 2010. "Memoirs of "A Cointegration Analysis of Treasury Bill Yields"," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 8(2), pages 172-173, spring.
  6. George Woodward & Heather Anderson, 2009. "Does beta react to market conditions? Estimates of 'bull' and 'bear' betas using a nonlinear market model with an endogenous threshold parameter," Quantitative Finance, Taylor & Francis Journals, vol. 9(8), pages 913-924.
  7. Anderson, Heather M. & Vahid, Farshid, 2007. "Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help?," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 76-90, January.
  8. George Athanasopoulos & Heather M. Anderson & Farshid Vahid, 2007. "Nonlinear autoregressive leading indicator models of output in G-7 countries," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 63-87.
  9. Heather M. Anderson, 2007. "New Introduction to Multiple Time Series Analysis - by Helmut Lütkepohl," The Economic Record, The Economic Society of Australia, vol. 83(260), pages 109-110, 03.
  10. Anderson, Heather M. & Victor Issler, Joao & Vahid, Farshid, 2006. "Common features," Journal of Econometrics, Elsevier, vol. 132(1), pages 1-5, May.
  11. Anderson, Heather M. & Low, Chin Nam & Snyder, Ralph, 2006. "Single source of error state space approach to the Beveridge Nelson decomposition," Economics Letters, Elsevier, vol. 91(1), pages 104-109, April.
  12. Heather M. Anderson & Farshid Vahid, 2005. "Nonlinear Correlograms and Partial Autocorrelograms," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(s1), pages 957-982, December.
  13. Anderson, Heather M. & Ramsey, James B., 2002. "U.S. and Canadian industrial production indices as coupled oscillators," Journal of Economic Dynamics and Control, Elsevier, vol. 26(1), pages 33-67, January.
  14. Anderson, Heather M & Vahid, Farshid, 2001. "Market Architecture and Nonlinear Dynamics of Australian Stock and Futures Indices," Australian Economic Papers, Wiley Blackwell, vol. 40(4), pages 541-66, December.
  15. Anderson, Heather M. & Vahid, Farshid, 2001. "Predicting The Probability Of A Recession With Nonlinear Autoregressive Leading-Indicator Models," Macroeconomic Dynamics, Cambridge University Press, vol. 5(04), pages 482-505, September.
  16. Heather Anderson, 1999. "Explanations of an empirical puzzle: what can be learnt from a test of the rational expectations hypothesis?," Journal of Economic Methodology, Taylor & Francis Journals, vol. 6(1), pages 31-59.
  17. Anderson, Heather M. & Vahid, Farshid, 1998. "On the pooling of cross-sectional and time-series data in the presence of heteroskedasticity," Economics Letters, Elsevier, vol. 60(3), pages 291-296, September.
  18. Anderson, Heather M. & Vahid, Farshid, 1998. "Testing multiple equation systems for common nonlinear components," Journal of Econometrics, Elsevier, vol. 84(1), pages 1-36, May.
  19. Anderson, Heather M & Vahid, Farshid, 1997. "On the Correspondence between Individual and Aggregate Food Consumption Functions: Evidence from the USA and the Netherlands," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(5), pages 477-98, Sept.-Oct.
  20. Anderson, Heather M & Vahid, Farshid, 1997. "On the Correspondence between Individual and Aggregate Food Consumption Functions: Evidence from the USA and the Netherlands: Reply," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(5), pages 503-07, Sept.-Oct.
  21. Anderson, Heather M, 1997. "Transaction Costs and Non-linear Adjustment towards Equilibrium in the US Treasury Bill Market," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 59(4), pages 465-84, November.
  22. Hall, Anthony D & Anderson, Heather M & Granger, Clive W J, 1992. "A Cointegration Analysis of Treasury Bill Yields," The Review of Economics and Statistics, MIT Press, vol. 74(1), pages 116-26, February.
  23. Terasvirta, T & Anderson, H M, 1992. "Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S119-36, Suppl. De.

Chapters

  1. Heather M Anderson, 2010. "Discussion of Key Elements of Global Inflation," RBA Annual Conference Volume, in: Renée Fry & Callum Jones & Christopher Kent (ed.), Inflation in an Era of Relative Price Shocks Reserve Bank of Australia.
  2. Clive W. Granger & Timo Terasvirta & Heather M. Anderson, 1993. "Modeling Nonlinearity over the Business Cycle," NBER Chapters, in: Business Cycles, Indicators and Forecasting, pages 311-326 National Bureau of Economic Research, Inc.

Editor

  1. Empirical Economics, Springer.

NEP Fields

24 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ACC: Accounting & Auditing (1) 2008-01-26
  2. NEP-CBA: Central Banking (4) 2006-08-26 2007-04-09 2011-01-03 2011-08-09
  3. NEP-CFN: Corporate Finance (1) 2003-05-29
  4. NEP-ECM: Econometrics (15) 2002-04-25 2002-12-18 2002-12-18 2003-11-16 2004-12-02 2004-12-02 2006-07-15 2006-08-26 2007-04-09 2010-05-15 2010-05-22 2010-05-29 2011-08-09 2011-08-29 2013-02-16. Author is listed
  5. NEP-EEC: European Economics (2) 2007-04-09 2011-01-03
  6. NEP-ETS: Econometric Time Series (16) 2002-04-25 2002-04-25 2002-04-25 2002-12-17 2002-12-17 2003-05-29 2004-10-30 2004-12-02 2004-12-02 2006-07-15 2006-08-26 2010-05-15 2010-05-29 2011-08-09 2011-08-29 2013-02-16. Author is listed
  7. NEP-FIN: Finance (1) 2003-05-29
  8. NEP-FMK: Financial Markets (2) 2002-04-25 2013-02-16
  9. NEP-FOR: Forecasting (5) 2008-01-26 2010-05-15 2010-05-22 2010-05-29 2011-08-09. Author is listed
  10. NEP-HIS: Business, Economic & Financial History (1) 2007-04-09
  11. NEP-MAC: Macroeconomics (3) 2003-11-30 2006-07-15 2007-04-09
  12. NEP-MON: Monetary Economics (2) 2011-01-03 2013-06-24
  13. NEP-MST: Market Microstructure (2) 2010-05-15 2011-08-29
  14. NEP-OPM: Open Economy Macroeconomics (2) 2011-01-03 2013-06-24
  15. NEP-ORE: Operations Research (1) 2011-08-09
  16. NEP-RMG: Risk Management (2) 2003-05-29 2003-11-16
  17. NEP-SEA: South East Asia (1) 2013-06-24

Statistics

This author is among the top 5% authors according to these criteria:
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  2. Number of Registered Citing Authors
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  4. Betweenness measure in co-authorship network
  5. Wu-Index

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