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Abdulnasser Hatemi-J

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Personal Details

First Name: Abdulnasser
Middle Name:
Last Name: Hatemi-J
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RePEc Short-ID: pha24

Email:
Homepage: http://www.fbe.uaeu.ac.ae/econ/faculty/hatemi.shtml
Postal Address: Department of Economics and Finance,
Phone: +46 500 44 87 31

Affiliation

(in no particular order)

Lists

This author is featured on the following reading lists, publication compilations or Wikipedia entries:
  1. MENA Economists

Works


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Working papers

  1. Abdulnasser, Hatemi-J, 2011. "Hidden panel cointegration," MPRA Paper 31604, University Library of Munich, Germany.
  2. El-Khatib, Youssef & Abdulnasser, Hatemi-J, 2011. "On the calculation of price sensitivities with jump-diffusion structure," MPRA Paper 30596, University Library of Munich, Germany.
  3. Hatemi-J, Abdulnasser, 2011. "Asymmetric generalized impulse responses and variance decompositions with an application," MPRA Paper 31700, University Library of Munich, Germany.
  4. Abdulnasser Hatemi-J & Eduardo Roca, 2011. "Are Real Estate Markets Integrated with the World Market?," Discussion Papers in Finance finance:201111, Griffith University, Department of Accounting, Finance and Economics.
  5. Abdulnasser Hatemi-J & Eduardo Roca, 2010. "Estimating Optimal Hedge Ratio with Unknown Structural Breaks," Discussion Papers in Finance finance:201010, Griffith University, Department of Accounting, Finance and Economics.
  6. Hacker, Scott & Hatemi-J, Abdulnasser, 2010. "The Properties of Procedures Dealing with Uncertainty about Intercept and Deterministic Trend in Unit Root Testing," Working Paper Series in Economics and Institutions of Innovation 214, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies.
  7. Abdulnasser Hatemi-J & Eduardo Roca, 2010. "The Impact of the US Real Estate Market on Other Major Markets During Normal and Crisis Periods," Discussion Papers in Finance finance:201003, Griffith University, Department of Accounting, Finance and Economics.
  8. Hacker, R. Scott & Hatemi-J, Abdulnasser, 2010. "A Bootstrap Test for Causality with Endogenous Lag Length Choice - theory and application in finance," Working Paper Series in Economics and Institutions of Innovation 223, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies.
  9. Hatemi-J, Abdulnasser & El-Khatib, Youssef, 2010. "Stochastic optimal hedge ratio: Theory and evidence," MPRA Paper 26153, University Library of Munich, Germany.
  10. Eduardo D. Roca & Abdulnasser Hatemi-J, 2004. "The Causal Links Between Equity Market Prices: The Case of Australia and Its Major Trading Partners," Econometric Society 2004 Australasian Meetings 99, Econometric Society.
  11. Abdulnasser , Hatemi-J & Manuchehr, Irandoust, 2004. "Evidence on the Direction of Causation in the Money-Income Relationship: An Alternative Methodology," Working Papers 2004:1, Örebro University, Swedish Business School.
  12. Hatemi-J, Abdulnasser, 1999. "Fiscal Policy in Sweden: Effects of EMU Criteria Convergence," Working Papers 1999:5, Lund University, Department of Economics, revised Nov 1999.

Articles

  1. Abdulnasser Hatemi-J & Fernando Zanella, 2013. "Testing for the government's intertemporal budget restriction in Brazil during 1823--1889," Applied Economics, Taylor and Francis Journals, vol. 45(12), pages 1533-1540, April.
  2. Abdulnasser Hatemi-J & Eduardo Roca, 2012. "A re-examination of the unbiased forward rate hypothesis in the presence of multiple unknown structural breaks," Applied Economics, Taylor and Francis Journals, vol. 44(11), pages 1443-1448, April.
  3. Abdulnasser Hatemi-J & Youssef El-Khatib, 2012. "Stochastic optimal hedge ratio: theory and evidence," Applied Economics Letters, Taylor and Francis Journals, vol. 19(8), pages 699-703, May.
  4. A. Hatemi-J, 2011. "A re-examination of the Fisher effect using an alternative approach," Applied Economics Letters, Taylor and Francis Journals, vol. 18(9), pages 855-858.
  5. Hatemi-J, Abdulnasser & Irandoust, Manuchehr, 2011. "The dynamic interaction between volatility and returns in the US stock market using leveraged bootstrap simulations," Research in International Business and Finance, Elsevier, vol. 25(3), pages 329-334, September.
  6. Al Janabi, Mazin A.M. & Hatemi-J, Abdulnasser & Irandoust, Manuchehr, 2010. "An empirical investigation of the informational efficiency of the GCC equity markets: Evidence from bootstrap simulation," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 47-54, January.
  7. Hatemi-J, Abdulnasser, 2010. "Did the Austrian Financial Market Become more Integrated with the German Market after EU Accession? - Il mercato finanziario austriaco si è integrato maggiormente con quello tedesco dopo l’adesione," Economia Internazionale / International Economics, Camera di Commercio di Genova, vol. 63(3), pages 297-304.
  8. Mazin A. M. Al Janabi & Abdulnasser Hatemi-J & Manuchehr Irandoust, 2010. "Modeling Time-Varying Volatility and Expected Returns: Evidence from the GCC and MENA Regions," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 46(5), pages 39-47, September.
  9. Abdulnasser Hatemi-J & Bryan Morgan, 2009. "An empirical analysis of the informational efficiency of Australian equity markets," Journal of Economic Studies, Emerald Group Publishing, vol. 36(5), pages 437-445, October.
  10. A. Hatemi-J & R. S. Hacker, 2009. "Can the LR test be helpful in choosing the optimal lag order in the VAR model when information criteria suggest different lag orders?," Applied Economics, Taylor and Francis Journals, vol. 41(9), pages 1121-1125.
  11. Abdulnasser Hatemi-J & Eduardo Roca, 2008. "Estimating banks' equity duration: a panel cointegration approach," Applied Financial Economics, Taylor and Francis Journals, vol. 18(14), pages 1173-1180.
  12. R. Scott Hacker & Abdulnasser Hatemi-J, 2008. "Optimal lag-length choice in stable and unstable VAR models under situations of homoscedasticity and ARCH," Journal of Applied Statistics, Taylor and Francis Journals, vol. 35(6), pages 601-615.
  13. Abdulnasser Hatemi-J & Manuchehr Irandoust, 2008. "The Fisher effect: a Kalman filter approach to detecting structural change," Applied Economics Letters, Taylor and Francis Journals, vol. 15(8), pages 619-624.
  14. Abdulnasser Hatemi-J, 2008. "Tests for cointegration with two unknown regime shifts with an application to financial market integration," Empirical Economics, Springer, vol. 35(3), pages 497-505, November.
  15. Hatemi-J, Abdulnasser & Maneschiöld, Per-Ola & Roca, Eduardo, 2008. "Is the Swedish Stock Market Becoming more Integrated with those of Germany and France?," Economia Internazionale / International Economics, Camera di Commercio di Genova, vol. 61(4), pages 665-685.
  16. Abdulnasser Hatemi-J & Eduardo D. Roca, 2007. "Equity market price interdependence based on bootstrap causality tests: evidence from Australia and its major trading partners," Applied Financial Economics, Taylor and Francis Journals, vol. 17(10), pages 827-835.
  17. Abdulnasser Hatemi-J & Bryan Morgan, 2007. "Liberalized emerging markets and the world economy: testing for increased integration with time-varying volatility," Applied Financial Economics, Taylor and Francis Journals, vol. 17(15), pages 1245-1250.
  18. Abdulnasser Hatemi-J & R. Scott Hacker, 2007. "Capital mobility in Sweden: a time-varying parameter approach," Applied Economics Letters, Taylor and Francis Journals, vol. 14(15), pages 1115-1118.
  19. Abdulnasser Hatemi-J, 2007. "Forecasting properties of a new method to determine optimal lag order in stable and unstable VAR models," Applied Economics Letters, Taylor and Francis Journals, vol. 15(4), pages 239-243.
  20. Hatemi-J, Abdulnasser & Roca, Eduardo, 2006. "A re-examination of international portfolio diversification based on evidence from leveraged bootstrap methods," Economic Modelling, Elsevier, vol. 23(6), pages 993-1007, December.
  21. R. Scott Hacker & Abdulnasser Hatemi-J, 2006. "Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application," Applied Economics, Taylor and Francis Journals, vol. 38(13), pages 1489-1500.
  22. Hatemi-J, Abdulnasser & Roca, Eduardo & Qiu, Jia Qiu, 2006. "Does it Pay for Australian Investors to Diversify into their Country's Major Trading Partners?," Economia Internazionale / International Economics, Camera di Commercio di Genova, vol. 59(3), pages 295-316.
  23. Abdulnasser Hatemi-J & Manuchehr Irandoust, 2006. "The response of industry employment to exchange rate shocks: evidence from panel cointegration," Applied Economics, Taylor and Francis Journals, vol. 38(4), pages 415-421.
  24. Abdulnasser Hatemi-J & Eduardo Roca, 2006. "Calculating the optimal hedge ratio: constant, time varying and the Kalman Filter approach," Applied Economics Letters, Taylor and Francis Journals, vol. 13(5), pages 293-299.
  25. Abdulnasser Hatemi-J & Manuchehr Irandoust, 2006. "A bootstrap-corrected causality test: another look at the money–income relationship," Empirical Economics, Springer, vol. 31(1), pages 207-216, March.
  26. Hatemi-J , Abdulnasser & Roca, Eduardo & Tang, Fang, 2005. "US Equity Market Spili-Over and Contagion Effects on Selected Asian Markets Vis-à-vis September 11," Economia Internazionale / International Economics, Camera di Commercio di Genova, vol. 58(4), pages 449-470.
  27. Abdulnasser Hatemi-J & Manuchehr Irandoust, 2005. "Foreign Aid And Economic Growth: New Evidence From Panel Cointegration," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 30(1), pages 71-80, June.
  28. Abdulnasser Hatemi-J & Eduardo Roca, 2005. "Exchange rates and stock prices interaction during good and bad times: evidence from the ASEAN4 countries," Applied Financial Economics, Taylor and Francis Journals, vol. 15(8), pages 539-546.
  29. Lokman Gunduz & Abdulnasser Hatemi-J, 2005. "Is the tourism-led growth hypothesis valid for Turkey?," Applied Economics Letters, Taylor and Francis Journals, vol. 12(8), pages 499-504.
  30. Lokman Gündüz & Abdulnasser Hatemi-J, 2005. "Stock Price and Volume Relation in Emerging Markets," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 41(1), pages 29-44, January.
  31. Hatemi, A. & Irandoust, M., 2005. "Energy Consumption and Economic Growth in Sweden: A Leveraged Bootstrap Approach, 1965-2000," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 2(4), pages 87-98.
  32. R. Scott Hacker & Abdulnasser Hatemi-J, 2005. "The effect of regime shifts on the long-run relationships for Swedish money demand," Applied Economics, Taylor and Francis Journals, vol. 37(15), pages 1731-1736.
  33. Abdulnasser Hatemi-J & R. Scott Hacker, 2005. "An alternative method to test for contagion with an application to the Asian financial crisis," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 1(6), pages 343-347, November.
  34. R. Scott Hacker & Abdulnasser Hatemi-J, 2005. "A test for multivariate ARCH effects," Applied Economics Letters, Taylor and Francis Journals, vol. 12(7), pages 411-417.
  35. Hacker, R. Scott & Hatemi-J, Abdulnasser, 2005. "Time-Varying Estimates for the Natural Rate of Unemployment and the Phillips Curve in the US Using the Kalman Filter," Economia Internazionale / International Economics, Camera di Commercio di Genova, vol. 58(3), pages 327-336.
  36. Hatemi-J, Abdulnasser & Maneschiöld , Per-Ola, 2004. "The Risk-Adjusted Interest Rate Parity: Panel Data Evidence," Economia Internazionale / International Economics, Camera di Commercio di Genova, vol. 57(1), pages 1-10.
  37. Abdulnasser Hatemi-J & Eduardo Roca, 2004. "An examination of the equity market price linkage between Australia and the European Union using leveraged bootstrap method," European Journal of Finance, Taylor and Francis Journals, vol. 10(6), pages 475-488.
  38. Hatemi-J, Abdulnasser, 2004. "Is the Equity Market Informationally Efficient in Japan? Evidence from Leveraged Bootstrap Analysis," Economia Internazionale / International Economics, Camera di Commercio di Genova, vol. 57(4), pages 461-473.
  39. Hatemi-J, Abdulnasser & Roca, Eduardo D., 2004. "Do birds of the same feather flock together?: The case of the Chinese states equity markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(3), pages 281-294, July.
  40. Abdulnasser Hatemi-J & Manuchehr Irandoust, 2004. "Is Pricing to Market Behavior a Long-Run Phenomenon? A Non-Stationary Panel Analysis," Empirica, Springer, vol. 31(1), pages 55-67, March.
  41. R. Scott Hacker & Abdulnasser Hatemi-J, 2004. "The effect of exchange rate changes on trade balances in the short and long run," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 12(4), pages 777-799, December.
  42. Hatemi-J, Abdulnasser, 2004. "Multivariate tests for autocorrelation in the stable and unstable VAR models," Economic Modelling, Elsevier, vol. 21(4), pages 661-683, July.
  43. R. Scott Hacker & Abdulnasser Hatemi-J, 2003. "How productivity and domestic output are related to exports and foreign output in the case of Sweden," Empirical Economics, Springer, vol. 28(4), pages 767-782, November.
  44. A. Hatemi-J, 2003. "A new method to choose optimal lag order in stable and unstable VAR models," Applied Economics Letters, Taylor and Francis Journals, vol. 10(3), pages 135-137.
  45. R. Hacker & Abdulnasser Hatemi-J, 2003. "Is the J-Curve Effect Observable for Small North European Economies?," Open Economies Review, Springer, vol. 14(2), pages 119-134, April.
  46. Hatemi-J, Abdulnasser & Irandoust, Manucherhr, 2002. "Investigating Causal Relations between Fixed Investment and Economic Growth," Economia Internazionale / International Economics, Camera di Commercio di Genova, vol. 55(1), pages 25-35.
  47. Hatemi-J, Abdulnasser, 2002. "Export performance and economic growth nexus in Japan: a bootstrap approach," Japan and the World Economy, Elsevier, vol. 14(1), pages 25-33, January.
  48. Abdulnasser Hatemi-J & Ghazi Shukur, 2002. "Multivariate-based causality tests of twin deficits in the US," Journal of Applied Statistics, Taylor and Francis Journals, vol. 29(6), pages 817-824.
  49. Hatemi-J, Abdulnasser & Irandoust, Manuchehr, 2002. "On the Causality between Exchange Rates and Stock Prices: A Note," Bulletin of Economic Research, Wiley Blackwell, vol. 54(2), pages 197-203, April.
  50. Hatemi-J, Abdulnasser, 2002. "Fiscal policy in Sweden: effects of EMU criteria convergence," Economic Modelling, Elsevier, vol. 19(1), pages 121-136, January.
  51. Abdulnasser Hatemi-J, 2002. "Is the Government's intertemporal budget constraint fulfilled in Sweden? An application of the Kalman filter," Applied Economics Letters, Taylor and Francis Journals, vol. 9(7), pages 433-439.
  52. Hatemi-J, Abdulnasser, 2002. "Money Supply and the Informational Efficiency of the Stock Market in Korea: Evidence from an Alternative Methodology," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 17, pages 517-526.
  53. Abdulnasser Hatemi-J & Manuchehr Irandoust, 2001. "Time-series evidence for Balassa's export-led growth hypothesis," Journal of International Trade & Economic Development, Taylor and Francis Journals, vol. 9(3), pages 355-365.
  54. Hatemi-J, Abdulnasser & Irandoust, Manucherhr, 2001. "Does Any Long-Run Relation Exist Between the Terms of Trade and the Trade Balance?," Economia Internazionale / International Economics, Camera di Commercio di Genova, vol. 54(2), pages 177-185.
  55. Abdulnasser Hatemi-J & Manuchehr Irandoust, 2001. "Productivity Performance and Export Performance: A Time-Series Perspective," Eastern Economic Journal, Eastern Economic Association, vol. 27(2), pages 149-164, Spring.
  56. Abdulnasser Hatemi-J & Manuchehr Irandoust, 2000. "Export performance and economic growth causality: An empirical analysis," Atlantic Economic Journal, International Atlantic Economic Society, vol. 28(4), pages 412-426, December.
  57. Abdulnasser Hatemi-J & Ghazi Shukur, 1999. "The causal nexus of government spending and revenue in Finland: a bootstrap approach," Applied Economics Letters, Taylor and Francis Journals, vol. 6(10), pages 641-644.

Software components

  1. Abdulnasser Hatemi-J, 2011. "ACTEST: GAUSS module to Apply Asymmetric Causality Tests," Statistical Software Components G00012, Boston College Department of Economics.
  2. Scott Hacker & Abdulnasser Hatemi-J, 2010. "LRAPP: GAUSS module to calculate multivariate IC with the LR test used in conflict to determine the optimal lag order in a VAR model," Statistical Software Components G00010, Boston College Department of Economics.
  3. Scott Hacker & Abdulnasser Hatemi-J, 2010. "MV-AR: GAUSS module to calculate three multivariate tests for autocorrelation in VAR model," Statistical Software Components G00011, Boston College Department of Economics.
  4. Scott Hacker & Abdulnasser Hatemi-J, 2010. "HHcte: GAUSS module to Apply a Bootstrap Test for Causality with Endogenous Lag Order," Statistical Software Components G00012, Boston College Department of Economics.
  5. Abdulnasser Hatemi-J, 2009. "CItest2b: GAUSS module to implement tests for cointegration with two unknown structural breaks," Statistical Software Components G00006, Boston College Department of Economics.
  6. Scott Hacker & Abdulnasser Hatemi-J, 2009. "MV-ARCH: GAUSS module to implement the multivariate ARCH test," Statistical Software Components G00009, Boston College Department of Economics.
  7. Scott Hacker & Abdulnasser Hatemi-J, 2009. "ContagT: GAUSS module to implement a pairwise bootstrap test for contagion," Statistical Software Components G00007, Boston College Department of Economics.
  8. Scott Hacker & Abdulnasser Hatemi-J, 2009. "LagOrder: GAUSS module to determine the optimal lag order in the VAR model based on Information Criteria," Statistical Software Components G00008, Boston College Department of Economics.
  9. Scott Hacker & Abdulnasser Hatemi-J, 2009. "HHtest: GAUSS module to implement bootstrap test for causality with leverage adjustments," Statistical Software Components G00005, Boston College Department of Economics.

NEP Fields

9 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (4) 2010-04-17 2010-04-17 2011-06-25 2011-06-25 Author is listed
  2. NEP-ETS: Econometric Time Series (2) 2010-04-17 2011-06-25
  3. NEP-HIS: Business, Economic & Financial History (1) 2000-01-24
  4. NEP-RMG: Risk Management (1) 2010-11-06
  5. NEP-URE: Urban & Real Estate Economics (1) 2011-11-07

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