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Stan Hurn

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First Name: Stan
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Last Name: Hurn
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RePEc Short-ID: phu111

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Affiliation

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Works

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Working papers

  1. A S Hurn & Kenenth A Lindsay & Andrew McClelland, 2013. "On the Efficacy of Fourier Series Approximations for Pricing European and Digital Options," NCER Working Paper Series 90, National Centre for Econometric Research.
  2. Adam E Clements & Mark Doolan & Stan Hurn & Ralf Becker, 2012. "Selecting forecasting models for portfolio allocation," NCER Working Paper Series 85, National Centre for Econometric Research.
  3. Stephen Hogg & Stan Hurn & Stuart McDonald & Alicia Rambaldi, 2012. "A Spatial Econometric Analysis of the Effect of Vertical Restraints and Branding on Retail Gasoline Pricing," NCER Working Paper Series 86, National Centre for Econometric Research.
  4. Stan Hurn & Andrew McClelland & Kenneth Lindsay, 2010. "A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions," NCER Working Paper Series 65, National Centre for Econometric Research.
  5. Gunnar Bårdsen & Stan Hurn & Zoë McHugh, 2010. "Asymmetric unemployment rate dynamics in Australia," CREATES Research Papers 2010-02, School of Economics and Management, University of Aarhus.
  6. Vlad Pavlov & Stan Hurn, 2009. "Testing the Profitability of Technical Analysis as a Portfolio Selection Strategy," NCER Working Paper Series 52, National Centre for Econometric Research.
  7. Tim M Christensen & Stan Hurn & Adrian Pagan, 2009. "Detecting Common Dynamics in Transitory Components," NCER Working Paper Series 49, National Centre for Econometric Research.
  8. Adam Clements & Mark Doolan & Stan Hurn & Ralf Becker, 2009. "Evaluating multivariate volatility forecasts," NCER Working Paper Series 41, National Centre for Econometric Research, revised 25 Nov 2009.
  9. Adam Clements & A S Hurn & K A Lindsay, 2008. "Estimating the Payoffs of Temperature-based Weather Derivatives," NCER Working Paper Series 33, National Centre for Econometric Research.
  10. T M Christensen & A S Hurn & K A Lindsay, 2008. "The Devil is in the Detail: Hints for Practical Optimisation," NCER Working Paper Series 32, National Centre for Econometric Research.
  11. Adam Clements & A S Hurn & K A Lindsay, 2008. "Developing analytical distributions for temperature indices for the purposes of pricing temperature-based weather derivatives," NCER Working Paper Series 34, National Centre for Econometric Research.
  12. T M Christensen & A S Hurn & K A Lindsay, 2008. "It never rains but it pours: Modelling the persistence of spikes in electricity prices," NCER Working Paper Series 25, National Centre for Econometric Research.
  13. A. S. Hurn & V.Pavlov, 2008. "Momentum in Australian Stock Returns: An Update," NCER Working Paper Series 23, National Centre for Econometric Research, revised 26 Feb 2008.
  14. T M Christensen & A. S. Hurn & K A Lindsay, 2008. "Discrete time-series models when counts are unobservable," NCER Working Paper Series 35, National Centre for Econometric Research.
  15. Adrian Pagan & Hashem Pesaran, 2007. "Econometric Analysis of Structural Systems with Permanent and Transitory Shocks. Working paper #7," NCER Working Paper Series 7, National Centre for Econometric Research.
  16. A. Hurn & J. Jeisman & K. Lindsay, 2007. "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 9, National Centre for Econometric Research.
  17. Stan Hurn & Ralf Becker, 2007. "Testing for nonlinearity in mean in the presence of heteroskedasticity. Working paper #8," NCER Working Paper Series 8, National Centre for Econometric Research.
  18. Adam Clements & Stan Hurn & Scott White, 2006. "Estimating Stochastic Volatility Models Using a Discrete Non-linear Filter. Working paper #3," NCER Working Paper Series 3, National Centre for Econometric Research.
  19. Stan Hurn & J.Jeisman & K.A. Lindsay, 2006. "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 2006-01, School of Economics and Finance, Queensland University of Technology.
  20. Stan Hurn & J.Jeisman & K.A. Lindsay, 2006. "Seeing the wood for the trees: A critical evaluation of methods to estimate the parameters of stochastic differential equations," Stan Hurn Discussion Papers 2006, School of Economics and Finance, Queensland University of Technology.
  21. Stan Hurn & J.Jeisman & K.A. Lindsay, 2006. "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 2, National Centre for Econometric Research.
  22. Stan Hurn, 2004. "Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity," Econometric Society 2004 Australasian Meetings 348, Econometric Society.
  23. Scott I. White & Adam E. Clements & Stan Hurn, 2004. "Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility," Econometric Society 2004 Australasian Meetings 46, Econometric Society.
  24. Gunnar Bårdsen & Stan Hurn & Zoë McHugh, 2002. "A smooth-transition model of the Australian unemployment rate," Working Paper Series 1002, Department of Economics, Norwegian University of Science and Technology, revised 01 Jul 2003.
  25. Gunnar Bårdsen & Stan Hurn & Zoë McHugh, 2001. "Modelling Wages and Prices in Australia," Working Paper Series 1202, Department of Economics, Norwegian University of Science and Technology, revised 30 Sep 2005.
  26. Ralf Becker & Walter Enders & A. Stan Hurn, 2001. "Testing for Time Dependence in Parameters," Research Paper Series 58, Quantitative Finance Research Centre, University of Technology, Sydney.
  27. R. Becker & W. Enders & S. Hurn, 2001. "Modelling Structural Change in Money Demand Using a Fourier-Series Approximation," Research Paper Series 67, Quantitative Finance Research Centre, University of Technology, Sydney.
  28. Gunnar Bårdsen & Stan Hurn & Kenneth Lindsay, 1999. "The Generic Properties of Equilibrium Correction Mechanisms," Working Paper Series 0402, Department of Economics, Norwegian University of Science and Technology.
  29. Creedy, J. & Hurn, S., 1998. "Distributional Preferences and the Extended Gini Measures of Inequality," Department of Economics - Working Papers Series 619, The University of Melbourne.
  30. Hurn, A.S. & Lindsay, K.A., 1996. "Time Series Evidence of Global Warming," Department of Economics - Working Papers Series 502, The University of Melbourne.
  31. Hurn, A.S. & McDonald, A.D., 1995. "Isolating Cyclical Patterns in Irregular Time Series Data," Department of Economics - Working Papers Series 473, The University of Melbourne.
  32. Hurn, A.S. & Lindsay, K.A., 1995. "Estimating the Parameters of Stochastic Differential Equations by Monte Carlo Methods," Department of Economics - Working Papers Series 472, The University of Melbourne.
  33. Hurn, A.S., 1995. "Modelling the Lifespan of Human T Lymphocyte Subsets," Department of Economics - Working Papers Series 496, The University of Melbourne.
  34. Hurn, A.S., 1995. "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 471, The University of Melbourne.
  35. Hurn, A.S. & McDonald, A.D., 1994. "Bank of England Intervention and the Structure of Interest Rates in the London Interbank Market," Papers 1994-11, Tasmania - Department of Economics.
  36. McDonald, A.D. & Hurn, A.S., 1993. "Unobservable Cyclical Components in Term Premia of Fixed- Term Financial Instruments," Papers 1993-10, Tasmania - Department of Economics.
  37. Jonathan Manton & Anton Muscatelli & Vikram Krishnamurthy & Stan Hurn, . "Modelling Stock Market Excess Returns by Markov Modulated Gaussian Noise," Working Papers 9806, Business School - Economics, University of Glasgow.

Articles

  1. Adam Clements & Joanne Fuller & Stan Hurn, 2013. "Semi-parametric Forecasting of Spikes in Electricity Prices," The Economic Record, The Economic Society of Australia, vol. 89(287), pages 508-521, December.
  2. Hurn, A.S. & Lindsay, K.A. & McClelland, A.J., 2013. "A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions," Journal of Econometrics, Elsevier, vol. 172(1), pages 106-126.
  3. Bårdsen Gunnar & Hurn Stanley & McHugh Zöe, 2012. "Asymmetric Unemployment Rate Dynamics in Australia," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(1), pages 1-22, January.
  4. Christensen, T.M. & Hurn, A.S. & Lindsay, K.A., 2012. "Forecasting spikes in electricity prices," International Journal of Forecasting, Elsevier, vol. 28(2), pages 400-411.
  5. Becker Ralf & Clements Adam E & Hurn Stan, 2011. "Semi-Parametric Forecasting of Realized Volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(3), pages 1-23, May.
  6. Christensen Timothy & Hurn Stan & Pagan Adrian, 2011. "Detecting Common Dynamics in Transitory Components," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-28, February.
  7. Stan Hurn & Ralf Becker, 2009. "Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity," Economic Analysis and Policy (EAP), Queensland University of Technology (QUT), School of Economics and Finance, vol. 39(2), pages 311-326, September.
  8. Timothy Christensen & Stan Hurn & Kenneth Lindsay, 2009. "It Never Rains but it Pours: Modeling the Persistence of Spikes in Electricity Prices," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1), pages 25-48.
  9. Christensen, T.M. & Hurn, A.S. & Lindsay, K.A., 2008. "The Devil is in the Detail: Hints for Practical Optimisation," Economic Analysis and Policy (EAP), Queensland University of Technology (QUT), School of Economics and Finance, vol. 38(2), pages 345-368, September.
  10. Hurn, Stan & Lindsay, kenneth, 2008. "Practitioner's Corner: Introduction," Economic Analysis and Policy (EAP), Queensland University of Technology (QUT), School of Economics and Finance, vol. 38(2), pages 343-343, September.
  11. Walter Enders & Stan Hurn, 2007. "Identifying aggregate demand and supply shocks in a small open economy," Oxford Economic Papers, Oxford University Press, vol. 59(3), pages 411-429, July.
  12. Ralf Becker & Stan Hurn & Vlad Pavlov, 2007. "Modelling Spikes in Electricity Prices," The Economic Record, The Economic Society of Australia, vol. 83(263), pages 371-382, December.
  13. Gunnar B�Rdsen & Stan Hurn & Zo� Mchugh, 2007. "Modelling Wages and Prices in Australia," The Economic Record, The Economic Society of Australia, vol. 83(261), pages 143-158, 06.
  14. Hurn, Stan & Siklos, Pierre L., 2006. "Asset pricing puzzles in finance: Introduction," The North American Journal of Economics and Finance, Elsevier, vol. 17(2), pages 103-105, August.
  15. Bårdsen Gunnar & Hurn Stan & Lindsay Kenneth A., 2004. "Linearizations and Equilibrium Correction Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(4), pages 1-9, December.
  16. Becker, R. & Hurn, A.S., 2004. "Using discrete-time techniques to test continuous-time models for nonlinearity in drift," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 64(1), pages 121-131.
  17. Clements A. & Hurn S. & Lindsay K., 2003. "Mobius-Like Mappings and Their Use in Kernel Density Estimation," Journal of the American Statistical Association, American Statistical Association, vol. 98, pages 993-1000, January.
  18. A. S. Hurn & K. A. Lindsay & V. L. Martin, 2003. "On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential Equations," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(1), pages 45-63, 01.
  19. James Forder & Stan Hurn, 2003. "Dollar-Deutschemark Polarisation: Comparing The Pound And Franc," Scottish Journal of Political Economy, Scottish Economic Society, vol. 50(3), pages 217-231, 08.
  20. Enders, Walter & Hurn, Stan, 2002. "Asymmetric price adjustment and the Phillips curve," Journal of Macroeconomics, Elsevier, vol. 24(3), pages 395-412, September.
  21. Hurn, A S & Lindsay, K A, 2002. " On the Specification of the Drift and Diffusion Functions for Continuous-Time Models of the Spot Interest Rate," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 64(5), pages 547-64, December.
  22. Hurn, A.S. & Lindsay, K.A., 1999. "Estimating the parameters of stochastic differential equations," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 48(4), pages 373-384.
  23. Amiel, Yoram & Creedy, John & Hurn, Stan, 1999. " Measuring Attitudes towards Inequality," Scandinavian Journal of Economics, Wiley Blackwell, vol. 101(1), pages 83-96, March.
  24. Enders, Walter & Hurn, Stan, 1997. "Common trends and generalized purchasing power parity," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 43(3), pages 437-443.
  25. Stan Hurn, A. & Lindsay, K.A., 1997. "Estimating the parameters of stochastic differential equations by Monte Carlo methods," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 43(3), pages 495-501.
  26. Hurn, A.S. & McDonald, A.D., 1997. "Isolating cyclical patterns in irregular time-series data," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 43(3), pages 405-412.
  27. Hurn, A S & Muscatelli, V A, 1996. "Modelling the Demand for M4 in the U.K," The Manchester School of Economic & Social Studies, University of Manchester, vol. 64(1), pages 70-78, March.
  28. Hurn, A Stan & Moody, Terry & Muscatelli, V Anton, 1995. "The Term Structure of Interest Rates in the London Interbank Market," Oxford Economic Papers, Oxford University Press, vol. 47(3), pages 419-36, July.
  29. McDonald, A.David & Hurn, A.Stan, 1995. "Unobservable cyclical components in term premia of fixed-term financial instruments," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 39(3), pages 403-409.
  30. Hurn, A S & McDonald, A D & Moody, T, 1995. "In Search of Time-Varying Term Premia in the London Interbank Market," Scottish Journal of Political Economy, Scottish Economic Society, vol. 42(2), pages 152-64, May.
  31. Enders, Walter & Hurn, Stan, 1994. "Theory and Tests of Generalized Purchasing-Power Parity: Common Trends and Real Exchange Rates in the Pacific Rim," Review of International Economics, Wiley Blackwell, vol. 2(2), pages 179-90, June.
  32. Hurn, A S & Wright, Robert E, 1994. "Geology or Economics? Testing Models of Irreversible Investment Using North Sea Oil Data," Economic Journal, Royal Economic Society, vol. 104(423), pages 363-71, March.
  33. Hurn, A S, 1993. "Seasonality, Cointegration and Error Correction: An Illustration Using South African Monetary Data," Scottish Journal of Political Economy, Scottish Economic Society, vol. 40(3), pages 311-22, August.
  34. A.S. Hurn, 1993. "The Money-income Causality Debate in South Africa: Reply," South African Journal of Economics, Economic Society of South Africa, vol. 61(1), pages 58-60, 03.
  35. A.S. Hurn & V.A. Muscatelli, 1992. "The Long-run Properties of the Demand for M3 in South Africa," South African Journal of Economics, Economic Society of South Africa, vol. 60(2), pages 93-101, 06.
  36. Muscatelli, Vito Antonio & Hurn, A Stan, 1992. " Cointegration and Dynamic Time Series Models," Journal of Economic Surveys, Wiley Blackwell, vol. 6(1), pages 1-43.
  37. Hurn, A S & Muscatelli, V A, 1992. "Testing Superexogeneity: The Demand for Broad Money in the UK," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(4), pages 543-56, November.
  38. A.S. Hurn, 1991. "Causality, Predictability and Monetary Targets in South Africa," South African Journal of Economics, Economic Society of South Africa, vol. 59(4), pages 229-241, December.
  39. A. S. Hurn & J. I. Jeisman & K. A. Lindsay, 0. "Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 5(3), pages 390-455.

Books

  1. Martin,Vance & Hurn,Stan & Harris,David, 2013. "Econometric Modelling with Time Series," Cambridge Books, Cambridge University Press, number 9780521139816, October.

NEP Fields

29 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BEC: Business Economics (1) 2012-09-09
  2. NEP-CBA: Central Banking (1) 2007-01-28
  3. NEP-CFN: Corporate Finance (2) 1999-02-08 2008-08-21
  4. NEP-CMP: Computational Economics (1) 2013-09-24
  5. NEP-COM: Industrial Competition (1) 2012-09-09
  6. NEP-ECM: Econometrics (15) 1999-02-08 2004-10-30 2004-10-30 2006-04-01 2006-04-01 2007-01-28 2007-01-28 2007-01-28 2007-01-28 2008-08-31 2008-10-13 2009-03-22 2009-12-19 2010-11-20 2012-08-23. Author is listed
  7. NEP-ENE: Energy Economics (1) 2012-09-09
  8. NEP-ETS: Econometric Time Series (8) 2004-10-30 2004-10-30 2006-04-01 2007-01-28 2007-01-28 2008-10-13 2009-03-22 2009-12-19. Author is listed
  9. NEP-FIN: Finance (2) 2004-10-30 2004-10-30
  10. NEP-FMK: Financial Markets (1) 2008-08-21
  11. NEP-FOR: Forecasting (2) 2009-03-22 2012-08-23
  12. NEP-GEO: Economic Geography (1) 2012-09-09
  13. NEP-HME: Heterodox Microeconomics (1) 2012-09-09
  14. NEP-HRM: Human Capital & Human Resource Management (1) 2006-04-01
  15. NEP-LAB: Labour Economics (5) 2002-10-08 2002-10-08 2010-01-16 2011-02-05 2011-03-12. Author is listed
  16. NEP-MAC: Macroeconomics (1) 2007-01-28
  17. NEP-MKT: Marketing (1) 2012-09-09
  18. NEP-ORE: Operations Research (1) 2010-11-20
  19. NEP-RMG: Risk Management (1) 2008-08-21
  20. NEP-URE: Urban & Real Estate Economics (1) 2012-09-09

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