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Farshid Vahid

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Personal Details

First Name: Farshid
Middle Name:
Last Name: Vahid
Suffix:

RePEc Short-ID: pva160

Email:
Homepage: http://www.buseco.monash.edu.au/about/staff/profile.php?cn=farshid-vahid
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. 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.
  2. 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.
  3. Yin Liao & Heather Anderson & Farshid Vahid, 2010. "Do Jumps Matter? Forecasting Multivariate Realized Volatility Allowing for Common Jumps," ANU Working Papers in Economics and Econometrics 2010-520, Australian National University, College of Business and Economics, School of Economics.
  4. Chai Cheng, T; & Vahid, F;, 2010. "Demand for hospital care and private health insurance in a mixed publicprivate system: empirical evidence using a simultaneous equation modeling approach," Health, Econometrics and Data Group (HEDG) Working Papers 10/25, HEDG, c/o Department of Economics, University of York.
  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. Athanasopoulos, George & Guillén, Osmani Teixeira de Carvalho & Issler, João Victor & Athanasopoulos, George, 2009. "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," Economics Working Papers (Ensaios Economicos da EPGE) 688, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  7. Trevor Breusch & Farshid Vahid, 2008. "Global Temperature Trends," ANU Working Papers in Economics and Econometrics 2008-495, Australian National University, College of Business and Economics, School of Economics.
  8. 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.
  9. George Athanasopoulos & D.S. Poskitt & Farshid Vahid, 2007. "Two canonical VARMA forms: Scalar component models vis-à-vis the Echelon form," Monash Econometrics and Business Statistics Working Papers 10/07, Monash University, Department of Econometrics and Business Statistics, revised May 2009.
  10. George Athanasopoulos & Farshid Vahid, 2006. "A Complete VARMA Modelling Methodology Based on Scalar Components," Monash Econometrics and Business Statistics Working Papers 2/06, Monash University, Department of Econometrics and Business Statistics.
  11. George Athanasopoulos & Farshid Vahid, 2006. "VARMA versus VAR for Macroeconomic Forecasting," Monash Econometrics and Business Statistics Working Papers 4/06, Monash University, Department of Econometrics and Business Statistics.
  12. Farshid Vahid & Pushkar Maitra, 2005. "The Effect of Household Characteristics on Living Standards in South Africa 1993 - 98: A Quantile Regression Analysis with Sample Attrition," ANU Working Papers in Economics and Econometrics 2005-452, Australian National University, College of Business and Economics, School of Economics.
  13. 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.
  14. Farshid Vahid & George Athanasopoulos, 2004. "Are VAR Models Good Enough?," Econometric Society 2004 Australasian Meetings 244, Econometric Society.
  15. Phillip Gould & Anne B. Koehler & Farshid Vahid-Araghi & Ralph D. Snyder & J. Keith Ord & Rob J. Hyndman, 2004. "Forecasting Time-Series with Correlated Seasonality," Monash Econometrics and Business Statistics Working Papers 28/04, Monash University, Department of Econometrics and Business Statistics, revised Oct 2005.
  16. Farshid Vahid & Lin Luo, 2004. "Forecasting Australian GDP Growth Using Coefficients Constrained by A Term Structure Model," Econometric Society 2004 Australasian Meetings 232, Econometric Society.
  17. Issler, João Victor & Vahid, Farshid, 2003. "The missing link: Using the NBER recession indicator to construct coincident and leading indices of economic activity," Economics Working Papers (Ensaios Economicos da EPGE) 492, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  18. 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.
  19. 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.
  20. George Athanasopoulos & Farshid Vahid, 2002. "Statistical Inference on Changes in Income Inequality in Australia," Monash Econometrics and Business Statistics Working Papers 9/02, Monash University, Department of Econometrics and Business Statistics.
  21. 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.
  22. Vahid, F. & Sarin, R., 2001. "Strategy Similarity and Coordination," Monash Econometrics and Business Statistics Working Papers 8/01, Monash University, Department of Econometrics and Business Statistics.
  23. Vahid, Farshid & Issler, João Victor, 2001. "The Importance of Common Cyclical Features in VAR Analysis: A Monte-Carlo Study," Economics Working Papers (Ensaios Economicos da EPGE) 417, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  24. 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.
  25. 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.
  26. 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.
  27. Farshid Vahid, 2000. "Clustering Regression Functions in a Panel," Econometric Society World Congress 2000 Contributed Papers 0251, Econometric Society.
  28. Vahid, Farshid & Issler, João Victor, 1999. "The Importance of Common-Cyclical Features in VAR Analysis: A Monte-Carlo Study (Preliminary Version)," Economics Working Papers (Ensaios Economicos da EPGE) 352, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  29. Sarin, R. & Vahid, F., 1999. "Predicting how People Play Games: a Simple Dynamic Model of Choice," Monash Econometrics and Business Statistics Working Papers 12/99, Monash University, Department of Econometrics and Business Statistics.
  30. 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.
  31. Vahid, Farshid & Issler, João Victor, 1998. "Common Cycles and the Importance of Transitory Shocks to Macroeconomic Aggregates (Revised Version)," Economics Working Papers (Ensaios Economicos da EPGE) 335, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  32. Vahid, Farshid & Issler, João Victor, 1995. "Common Cycles in Macroeconomic Aggregates (Revised Version)," Economics Working Papers (Ensaios Economicos da EPGE) 257, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  33. Vahid, Farshid & Issler, João Victor, 1994. "Common Cycles in Macroeconomic Aggregates," Economics Working Papers (Ensaios Economicos da EPGE) 233, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).

Articles

  1. Choe, Kwang-il & Choi, Pilsun & Nam, Kiseok & Vahid, Farshid, 2012. "Testing financial contagion on heteroskedastic asset returns in time-varying conditional correlation," Pacific-Basin Finance Journal, Elsevier, vol. 20(2), pages 271-291.
  2. Athanasopoulos, George & de Carvalho Guillén, Osmani Teixeira & Issler, João Victor & Vahid, Farshid, 2011. "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," Journal of Econometrics, Elsevier, vol. 164(1), pages 116-129, September.
  3. 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.
  4. Masha F. Somi & James R. G. Butler & Farshid Vahid & Joseph D. Njau & Salim Abdulla, 2009. "Household responses to health risks and shocks: A study from rural Tanzania raises some methodological issues," Journal of International Development, John Wiley & Sons, Ltd., vol. 21(2), pages 200-211.
  5. Gould, Phillip G. & Koehler, Anne B. & Ord, J. Keith & Snyder, Ralph D. & Hyndman, Rob J. & Vahid-Araghi, Farshid, 2008. "Forecasting time series with multiple seasonal patterns," European Journal of Operational Research, Elsevier, vol. 191(1), pages 207-222, November.
  6. George Athanasopoulos & Farshid Vahid, 2008. "A complete VARMA modelling methodology based on scalar components," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(3), pages 533-554, 05.
  7. Athanasopoulos, George & Vahid, Farshid, 2008. "VARMA versus VAR for Macroeconomic Forecasting," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 237-252, April.
  8. 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.
  9. 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.
  10. Choe, Kwang-Il & Nam, Kiseok & Vahid, Farshid, 2007. "Necessity of negative serial correlation for mean-reversion of stock prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(4), pages 576-583, September.
  11. Issler, Joao Victor & Vahid, Farshid, 2006. "The missing link: using the NBER recession indicator to construct coincident and leading indices of economic activity," Journal of Econometrics, Elsevier, vol. 132(1), pages 281-303, May.
  12. Farshid Vahid & Pushkar Maitra, 2006. "The effect of household characteristics on living standards in South Africa 1993-1998: a quantile regression analysis with sample attrition," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(7), pages 999-1018.
  13. Anderson, Heather M. & Victor Issler, Joao & Vahid, Farshid, 2006. "Common features," Journal of Econometrics, Elsevier, vol. 132(1), pages 1-5, May.
  14. 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.
  15. Rajiv Sarin & Farshid Vahid, 2004. "Strategy Similarity and Coordination," Economic Journal, Royal Economic Society, vol. 114(497), pages 506-527, 07.
  16. George Athanasopoulos & Farshid Vahid, 2003. "Statistical Inference and Changes in Income Inequality in Australia," The Economic Record, The Economic Society of Australia, vol. 79(247), pages 412-424, December.
  17. Vahid, Farshid & Issler, Joao Victor, 2002. "The importance of common cyclical features in VAR analysis: a Monte-Carlo study," Journal of Econometrics, Elsevier, vol. 109(2), pages 341-363, August.
  18. 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.
  19. 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.
  20. Issler, Joao Victor & Vahid, Farshid, 2001. "Common cycles and the importance of transitory shocks to macroeconomic aggregates," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 449-475, June.
  21. Sarin, Rajiv & Vahid, Farshid, 2001. "Predicting How People Play Games: A Simple Dynamic Model of Choice," Games and Economic Behavior, Elsevier, vol. 34(1), pages 104-122, January.
  22. Sarin, Rajiv & Vahid, Farshid, 1999. "Payoff Assessments without Probabilities: A Simple Dynamic Model of Choice," Games and Economic Behavior, Elsevier, vol. 28(2), pages 294-309, August.
  23. 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.
  24. 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.
  25. 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.
  26. Vahid, Farshid & Engle, Robert F., 1997. "Codependent cycles," Journal of Econometrics, Elsevier, vol. 80(2), pages 199-221, October.
  27. 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.
  28. Ramanathan, Ramu & Engle, Robert & Granger, Clive W. J. & Vahid-Araghi, Farshid & Brace, Casey, 1997. "Shorte-run forecasts of electricity loads and peaks," International Journal of Forecasting, Elsevier, vol. 13(2), pages 161-174, June.
  29. Vahid, Farshid, 1996. "Aitken Generalization of the Gauss-Markov Theorem without Calculus," Econometric Theory, Cambridge University Press, vol. 12(03), pages 592-593, August.
  30. Vahid, Farshid & Alvarez, Luis J. & Dolado, Juan J. & Paruolo, Paolo & Zheng, John Xu, 1994. "Deriving Restricted Least Squares without a Lagrangean," Econometric Theory, Cambridge University Press, vol. 10(02), pages 443-448, June.
  31. Vahid, F & Engle, Robert F, 1993. "Common Trends and Common Cycles," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(4), pages 341-60, Oct.-Dec..

NEP Fields

33 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (3) 2007-04-09 2010-05-02 2011-01-03
  2. NEP-ECM: Econometrics (18) 2002-04-25 2002-04-25 2002-04-25 2002-12-18 2003-11-16 2004-12-20 2006-01-24 2006-01-24 2007-04-09 2007-08-08 2009-03-22 2010-04-17 2010-05-02 2010-05-15 2010-05-22 2010-05-29 2010-09-25 2013-02-16. Author is listed
  3. NEP-EEC: European Economics (2) 2007-04-09 2011-01-03
  4. NEP-ENE: Energy Economics (1) 2011-03-26
  5. NEP-ENV: Environmental Economics (2) 2008-07-20 2009-02-22
  6. NEP-ETS: Econometric Time Series (16) 2002-04-25 2002-04-25 2002-04-25 2002-04-25 2002-12-17 2004-10-30 2004-12-20 2006-01-24 2007-08-08 2009-03-22 2010-04-17 2010-05-15 2010-05-29 2010-09-25 2011-08-02 2013-02-16. Author is listed
  7. NEP-EXP: Experimental Economics (2) 2002-04-25 2002-04-25
  8. NEP-FMK: Financial Markets (2) 2002-04-25 2013-02-16
  9. NEP-FOR: Forecasting (12) 2006-01-24 2007-08-08 2008-07-20 2009-03-22 2010-04-17 2010-05-02 2010-05-15 2010-05-22 2010-05-29 2010-09-25 2011-03-26 2011-08-02. Author is listed
  10. NEP-GTH: Game Theory (2) 2002-05-01 2002-05-01
  11. NEP-HEA: Health Economics (2) 2011-01-03 2011-10-01
  12. NEP-HIS: Business, Economic & Financial History (1) 2007-04-09
  13. NEP-IAS: Insurance Economics (2) 2011-01-03 2011-10-01
  14. NEP-MAC: Macroeconomics (4) 2003-11-30 2004-10-30 2006-01-24 2007-04-09
  15. NEP-MIC: Microeconomics (1) 2010-05-02
  16. NEP-MON: Monetary Economics (1) 2011-01-03
  17. NEP-MST: Market Microstructure (1) 2010-05-15
  18. NEP-OPM: Open Economy Macroeconomics (1) 2011-01-03
  19. NEP-PKE: Post Keynesian Economics (1) 2011-03-26
  20. NEP-RMG: Risk Management (1) 2003-11-16
  21. NEP-TUR: Tourism Economics (1) 2009-02-22

Statistics

This author is among the top 5% authors according to these criteria:
  1. Number of Citations
  2. h-index
  3. Number of Journal Pages, Weighted by Simple Impact Factor
  4. Number of Journal Pages, Weighted by Recursive Impact Factor
  5. Closeness measure in co-authorship network
  6. Betweenness measure in co-authorship network
  7. Wu-Index

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