Citations of
Param Silvapulle

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Working papers

1. Jae Kim & Param Silvapulle & Rob J. Hyndman, 2006. "Half-Life Estimation based on the Bias-Corrected Bootstrap: A Highest Density Region Approach," Monash Econometrics and Business Statistics Working Papers 11/06, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
   Published as:
   • Kim, Jae H. & Silvapulle, Param & Hyndman, Rob J., 2007. "Half-life estimation based on the bias-corrected bootstrap: A highest density region approach," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3418-3432, April. [Downloadable!] (restricted)

   Cited by:

   1. Qian Chen & David E. Giles, 2007. "A Saddlepoint Approximation to the Distribution of the Half-Life Estimator in an Autoregressive Model: New Insights Into the PPP Puzzle," Econometrics Working Papers 0703, Department of Economics, University of Victoria. [Downloadable!]
   2. Jayasuriya, Sisira & Kim, Jae & Kumar, Parmod, 2007. "International and Internal Market Integration in Indian agriculture: A study of the Indian Rice Market," 106th Seminar, October 25-27, 2007, Montpellier, France 7935, European Association of Agricultural Economists. [Downloadable!]

2. Guneratne Banda Wickremasinghe & Param Silvapulle, 2004. "Role of Exchange Rate Volatility in Exchange Rate Pass-Through to Import Prices: Some Evidence from Japan," International Finance 0406006, EconWPA. [Downloadable!]

   Cited by:

   1. Federico Marongiu, 2004. "Devaluación e Inflacion en Argentina despues de la Convertibilidad," Macroeconomics 0404013, EconWPA. [Downloadable!]

3. Guneratne Banda Wickremasinghe & Param Silvapulle, 2004. "Exchange Rate Pass-Through to Manufactured Import Prices: The Case of Japan," International Trade 0406006, EconWPA. [Downloadable!]

   Cited by:

   1. Guneratne Banda Wickremasinghe & Param Silvapulle, 2004. "Role of Exchange Rate Volatility in Exchange Rate Pass-Through to Import Prices: Some Evidence from Japan," International Finance 0406006, EconWPA. [Downloadable!]
   2. Tokhir Mirzoev, 2004. "A Dynamic Model of Endogenous Exchange Rate Pass-Through," International Finance 0409002, EconWPA. [Downloadable!]

4. Banik, S. & Silvapulle, P., 1997. "Testing For Seasonal Stability in Unemployment Series: International Evidence," Papers 97.17, La Trobe - Department of Economics.
   Published as:
   • Shipra Banik & Param Silvapulle, 1999. "Testing for Seasonal Stability in Unemployment Series: International Evidence," Empirica, Springer, vol. 26(2), pages 123-139, June. [Downloadable!] (restricted)

   Cited by:

   1. Evren Erdoğan Coşar, 2006. "Seasonal behaviour of the consumer price index of Turkey," Applied Economics Letters, Taylor and Francis Journals, vol. 13(7), pages 449-455, June. [Downloadable!] (restricted)

5. Silvapulle, P. & Silvapulle, M.J., 1997. "Business Cycle Asymmetry and the Stock Market," Papers 97.22, La Trobe - Department of Economics.
   Published as:
   • Silvapulle, Paramsothy & Silvapulle, Mervyn Joseph, 1999. "Business Cycle Asymmetry and the Stock Market," Applied Financial Economics, Taylor and Francis Journals, vol. 9(1), pages 109-15, February. [Downloadable!] (restricted)

   Cited by:

   1. Jason S. Seligman & Jeffrey B. Wenger, 2005. "Asynchronous Risk: Unemployment, Equity Markets, and Retirement Savings," Staff Working Papers 05-114, W.E. Upjohn Institute for Employment Research. [Downloadable!] (restricted)
   2. Christopher Bajada, 2005. "Unemployment and the underground economy in Australia," Applied Economics, Taylor and Francis Journals, vol. 37(2), pages 177-189, February. [Downloadable!] (restricted)

6. Silvapulle, P. & Choi, J.-S., 1997. "Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation: Korean Evidence," Papers 97.21, La Trobe - Department of Economics.
   Published as:
   • Silvapulle, Param & Choi, Jong-Seo, 1999. "Testing for linear and nonlinear granger causality in the stock price-volume relation: Korean evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 39(1), pages 59-76. [Downloadable!] (restricted)

   Cited by:

   1. Anirut Pisedtasalasai & Abeyratna Gunasekarage, 2007. "Causal and Dynamic Relationships among Stock Returns, Return Volatility and Trading Volume: Evidence from Emerging markets in South-East Asia," Asia-Pacific Financial Markets, Springer, vol. 14(4), pages 277-297, December. [Downloadable!] (restricted)
   2. Rodrigo Aranda & Patricio Jaramillo, 2008. "Nonlinear Dynamic in the Chilean Stock Market: Evidence from Returns and Trading Volume," Working Papers Central Bank of Chile 463, Central Bank of Chile. [Downloadable!]
   3. J. Kim & A. Kartsaklas & M. Karanasos, 2005. "The volume–volatility relationship and the opening of the Korean stock market to foreign investors after the financial turmoil in 1997," Asia-Pacific Financial Markets, Springer, vol. 12(3), pages 245-271, September. [Downloadable!] (restricted)
   4. Nevin Yörük & Cumhur Erdem & Meziyet Sema Erdem, 2006. "Testing for linear and nonlinear Granger Causality in the stock price--volume relation: Turkish banking firms’ evidence," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(3), pages 165-171, May. [Downloadable!] (restricted)
   5. Theophano Patra & Sunil Poshakwale, 2006. "Economic variables and stock market returns: evidence from the Athens stock exchange," Applied Financial Economics, Taylor and Francis Journals, vol. 16(13), pages 993-1005, September. [Downloadable!] (restricted)

7. Silvapulle, P. & Padivinsky, J.M., 1995. "The Effect of Non-normal Disturbances and Conditional Heterskedasticity on Multiple Cointegration Tests," Papers 95.30, La Trobe - Department of Economics.

   Cited by:

   1. Nikolaus A. Siegfried, 2002. "An information-theoretic extension to structural VAR modelling," Econometrics 0203005, EconWPA. [Downloadable!]
      Other versions:
      • Nikolaus A. Siegfried, 2002. "An information-theoretic extension to structural VAR modelling," Quantitative Macroeconomics Working Papers 20203, Hamburg University, Department of Economics. [Downloadable!]

8. Param Silvapulle, 1995. "A Score Test for Seasonal Fractional Integration and Cointegration," Econometrics 9506005, EconWPA, revised 16 Jun 1995. [Downloadable!]
   Other versions:
   • Silvapulle, P., 1995. "A Score Test for Seasonal Fractional Integration and Cointegration," Working Papers 95-08, University of Iowa, Department of Economics.
   • Silvapulle, P., 1996. "A Score Test for Seasonal Fraction Integration and Cointegration," Papers 96.01, La Trobe - Department of Economics.
   
   Published as:
   • Paramsothy Silvapulle, 2001. "A Score Test For Seasonal Fractional Integration And Cointegration," Econometric Reviews, Taylor and Francis Journals, vol. 20(1), pages 85-104. [Downloadable!] (restricted)

   Cited by:

   1. Luis A. Gil-Alana, 2004. "Deterministic Seasonality versus Seasonal Fractional Integration," Faculty Working Papers 07/04, School of Economics and Business Administration, University of Navarra. [Downloadable!]
      Other versions:
      • L. Gil-Alana, . "Deterministic Seasonality Versus Seasonal Fractional Integration," Sonderforschungsbereich 373 2000-106, Humboldt Universitaet Berlin.
   2. Naoya Katayama, 2004. "Seasonally and Fractionally Differenced Time Series (revised, August 2006)," Hi-Stat Discussion Paper Series d03-11, Institute of Economic Research, Hitotsubashi University. [Downloadable!]

9. Silvapulle, P. & Pereira, R. & Lee, J.H.H., 1993. "The Impact of Inflation Rate Announcements on the Interest Rate Volatility: Australian Evidence," Papers 26-93, La Trobe - Department of Economics.

   Cited by:

   1. Ellis Connolly & Marion Kohler, 2004. "News and Interest Rate Expectations: A Study of Six Central Banks," RBA Research Discussion Papers rdp2004-10, Reserve Bank of Australia. [Downloadable!]
      Other versions:
      • Ellis Connolly & Marion Kohler, 2004. "News and Interest Rate Expectations: A Study of Six Central Banks," RBA Annual Conference Volume, in: Christopher Kent & Simon Guttmann (ed.), The Future of Inflation Targeting Reserve Bank of Australia. [Downloadable!]
   2. M. D. Mckenzie & R. D. Brooks, 2003. "The role of information in Hong Kong individual stock futures trading," Applied Financial Economics, Taylor and Francis Journals, vol. 13(2), pages 123-131, January. [Downloadable!] (restricted)

10. Silvapulle, P., 1993. "Testing for a Unit Root in a Time Series with Mean Shifts," Papers 7-93, La Trobe - Department of Economics.
    Published as:
    • Silvapulle, Param, 1996. "Testing for a Unit Root in a Time Series with Mean Shifts," Applied Economics Letters, Taylor and Francis Journals, vol. 3(10), pages 629-35, October. [Downloadable!] (restricted)

    Cited by:

    1. Surajit Deb, 2003. "Terms of Trade and Supply Response of Indian Agriculture: Analysis in Cointegration Framework," Working papers 115, Centre for Development Economics, Delhi School of Economics. [Downloadable!]

1. Kim, Jae H. & Silvapulle, Param & Hyndman, Rob J., 2007. "Half-life estimation based on the bias-corrected bootstrap: A highest density region approach," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3418-3432, April. [Downloadable!] (restricted)
   Other versions:
   • Jae Kim & Param Silvapulle & Rob J. Hyndman, 2006. "Half-Life Estimation based on the Bias-Corrected Bootstrap: A Highest Density Region Approach," Monash Econometrics and Business Statistics Working Papers 11/06, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]

   See citations under working paper version above.

2. Paramsothy Silvapulle & Imad Moosa & Mervyn Silvapulle, 2004. "Asymmetry in Okun's law," Canadian Journal of Economics, Canadian Economics Association, vol. 37(2), pages 353-374, May. [Downloadable!] (restricted)

   Cited by:

   1. Ho-Chuan (River) Huang & Shu-Chin Lin, 2006. "A flexible nonlinear inference to Okun's relationship," Applied Economics Letters, Taylor and Francis Journals, vol. 13(5), pages 325-331, April. [Downloadable!] (restricted)
   2. Mark J. Holmes & Brian Silverstone, 2005. "Okun's Law, Asymmetries and Jobless Recoveries in the United States: A Markov-Switching Approach," Working Papers in Economics 05/06, University of Waikato, Department of Economics. [Downloadable!]
      Other versions:
      • Holmes, Mark J. & Silverstone, Brian, 2006. "Okun's law, asymmetries and jobless recoveries in the United States: A Markov-switching approach," Economics Letters, Elsevier, vol. 92(2), pages 293-299, August. [Downloadable!] (restricted)
   3. Javier J. Pérez & Jesús Rodríguez López & Teresa Leal, 2002. "Pautas cíclicas de la economía andaluza en el período 1984-2001: un análisis comparado," Economic Working Papers at Centro de Estudios Andaluces E2002/18, Centro de Estudios Andaluces. [Downloadable!]
   4. Javier J. Pérez & Jesús Rodríguez López & Carlos Usabiaga, 2002. "Análisis Dinámico de la Relación entre Ciclo Económico y Ciclo del Desempleo en Andalucía en Comparación con el Resto de España," Economic Working Papers at Centro de Estudios Andaluces E2002/07, Centro de Estudios Andaluces. [Downloadable!]
   5. João Sousa Andrade, 2007. "Uma Aplicação da Lei de Okun em Portugal," GEMF Working Papers 2007-04, GEMF - Faculdade de Economia, Universidade de Coimbra. [Downloadable!]
   6. João Sousa Andrade, 2009. "The PIGS, does the Group Exist? An empirical macroeconomic analysis based on the Okun Law," GEMF Working Papers 2009-11, GEMF - Faculdade de Economia, Universidade de Coimbra. [Downloadable!]

3. Imad A. Moosa & Param Silvapulle & Mervyn Silvapulle, 2003. "Testing for Temporal Asymmetry in the Price-Volume Relationship," Bulletin of Economic Research, Blackwell Publishing, vol. 55(4), pages 373-389, October. [Downloadable!] (restricted)

   Cited by:

   1. Catherine Bruneau & Amine Lahiani, 2006. "Estimation d'un modèle TIMA avec asymétrie contemporaine par inférence indirecte," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 142(IV), pages 479–500, December. [Downloadable!]
      Other versions:
      • Catherine Bruneau & Amine Lahiani, 2006. "Estimation d'un modèle TIMA avec asymétrie contemporaine par inférence indirecte," EconomiX Working Papers 2006-17, University of Paris West - Nanterre la Défense, EconomiX. [Downloadable!]

4. Sadique, Shibley & Silvapulle, Param, 2001. "Long-Term Memory in Stock Market Returns: International Evidence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 6(1), pages 59-67, January. [Downloadable!] (restricted)

   Cited by:

   1. Cornelis A. Los & Bing Yu, 2005. "Persistence Characteristics of the Chinese Stock Markets," Finance 0508008, EconWPA. [Downloadable!]
      Other versions:
      • Los, Cornelis A. & Yu, Bing, 2008. "Persistence characteristics of the Chinese stock markets," International Review of Financial Analysis, Elsevier, vol. 17(1), pages 64-82. [Downloadable!] (restricted)
   2. J. Cuñado & L. Gil-Alana & F. Gracia, 2009. "US stock market volatility persistence: evidence before and after the burst of the IT bubble," Review of Quantitative Finance and Accounting, Springer, vol. 33(3), pages 233-252, October. [Downloadable!] (restricted)
   3. Jun Nagayasu, 2003. "The Efficiency of the Japanese Equity Market," IMF Working Papers 03/142, International Monetary Fund. [Downloadable!]
   4. Christos Christodoulou-Volos & Fotios M. Siokis, 2006. "Long range dependence in stock market returns," Applied Financial Economics, Taylor and Francis Journals, vol. 16(18), pages 1331-1338, December. [Downloadable!] (restricted)
   5. Sijing Zong & Cornelis A. Los & Nyonyo Kyaw, 2004. "Persistence Characteristics of Latin American Financial Markets," Finance 0411013, EconWPA. [Downloadable!]
      Other versions:
      • Nyo Nyo A. Kyaw & Cornelis A. Los & Sijing Zong, 2004. "Persistence Characteristics of Latin American Financial Markets," Finance 0409048, EconWPA. [Downloadable!]
      • Kyaw, NyoNyo A. & Los, Cornelis A. & Zong, Sijing, 2006. "Persistence characteristics of Latin American financial markets," Journal of Multinational Financial Management, Elsevier, vol. 16(3), pages 269-290, July. [Downloadable!] (restricted)
   6. Jussi Tolvi, 2003. "Long memory in a small stock market," Economics Bulletin, Economics Bulletin, vol. 7(3), pages 1-13. [Downloadable!]
   7. Mattarocci, Gianluca, 2006. "Market characteristics and chaos dynamics in stock markets: an international comparison," MPRA Paper 4296, University Library of Munich, Germany, revised Jun 2006. [Downloadable!]
   8. Cornelis A. Los & Joanna M. Lipka, 2004. "Long-Term Dependence Characteristics of European Stock Indices," Finance 0409044, EconWPA. [Downloadable!]
   9. Swee Sum Lam & William Wee-Lian Ang, 2006. "Globalization and Stock Market Returns," Global Economy Journal, Berkeley Electronic Press, vol. 6(1). [Downloadable!]

5. Paramsothy Silvapulle, 2001. "A Score Test For Seasonal Fractional Integration And Cointegration," Econometric Reviews, Taylor and Francis Journals, vol. 20(1), pages 85-104. [Downloadable!] (restricted)
   Other versions:
   • Silvapulle, P., 1995. "A Score Test for Seasonal Fractional Integration and Cointegration," Working Papers 95-08, University of Iowa, Department of Economics.
   • Silvapulle, P., 1996. "A Score Test for Seasonal Fraction Integration and Cointegration," Papers 96.01, La Trobe - Department of Economics.
   • Param Silvapulle, 1995. "A Score Test for Seasonal Fractional Integration and Cointegration," Econometrics 9506005, EconWPA, revised 16 Jun 1995. [Downloadable!]

   See citations under working paper version above.

6. Moosa, Imad A. & Silvapulle, Param, 2000. "The price-volume relationship in the crude oil futures market Some results based on linear and nonlinear causality testing," International Review of Economics & Finance, Elsevier, vol. 9(1), pages 11-30, February. [Downloadable!] (restricted)

   Cited by:

   1. Luisa Nieto & Mª Dolores Robles & Ángeles Fernández, 2002. "Linear and Nonlinear Intraday Dynamics between the Eurostoxx-50," Documentos del Instituto Complutense de Análisis Económico 0208, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales. [Downloadable!]

7. Silvapulle, Paramsothy & Silvapulle, Mervyn Joseph, 1999. "Business Cycle Asymmetry and the Stock Market," Applied Financial Economics, Taylor and Francis Journals, vol. 9(1), pages 109-15, February. [Downloadable!] (restricted)
   Other versions:
   • Silvapulle, P. & Silvapulle, M.J., 1997. "Business Cycle Asymmetry and the Stock Market," Papers 97.22, La Trobe - Department of Economics.

   See citations under working paper version above.

8. Shipra Banik & Param Silvapulle, 1999. "Testing for Seasonal Stability in Unemployment Series: International Evidence," Empirica, Springer, vol. 26(2), pages 123-139, June. [Downloadable!] (restricted)
   Other versions:
   • Banik, S. & Silvapulle, P., 1997. "Testing For Seasonal Stability in Unemployment Series: International Evidence," Papers 97.17, La Trobe - Department of Economics.

   See citations under working paper version above.

9. Silvapulle, Param & Choi, Jong-Seo, 1999. "Testing for linear and nonlinear granger causality in the stock price-volume relation: Korean evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 39(1), pages 59-76. [Downloadable!] (restricted)
   Other versions:
   • Silvapulle, P. & Choi, J.-S., 1997. "Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation: Korean Evidence," Papers 97.21, La Trobe - Department of Economics.

   See citations under working paper version above.

10. Silvapulle, Param & Pereira, Robert & Lee, John H H, 1997. "The Impact of Inflation Rate Announcements on Interest Rate Volatility: Australian Evidence," Applied Financial Economics, Taylor and Francis Journals, vol. 7(5), pages 559-66, October. [Downloadable!] (restricted)

    Cited by:

    1. Ellis Connolly & Marion Kohler, 2004. "News and Interest Rate Expectations: A Study of Six Central Banks," RBA Research Discussion Papers rdp2004-10, Reserve Bank of Australia. [Downloadable!]
       Other versions:
       • Ellis Connolly & Marion Kohler, 2004. "News and Interest Rate Expectations: A Study of Six Central Banks," RBA Annual Conference Volume, in: Christopher Kent & Simon Guttmann (ed.), The Future of Inflation Targeting Reserve Bank of Australia. [Downloadable!]
    2. Liliana Schumacher & Armando Méndez Morales, 2003. "Market Volatility as a Financial Soundness Indicator: An Application to Israel," IMF Working Papers 03/47, International Monetary Fund. [Downloadable!]
    3. M. D. Mckenzie & R. D. Brooks, 2003. "The role of information in Hong Kong individual stock futures trading," Applied Financial Economics, Taylor and Francis Journals, vol. 13(2), pages 123-131, January. [Downloadable!] (restricted)

11. Silvapulle, Param, 1996. "Testing for a Unit Root in a Time Series with Mean Shifts," Applied Economics Letters, Taylor and Francis Journals, vol. 3(10), pages 629-35, October. [Downloadable!] (restricted)
    Other versions:
    • Silvapulle, P., 1993. "Testing for a Unit Root in a Time Series with Mean Shifts," Papers 7-93, La Trobe - Department of Economics.

    See citations under working paper version above.

12. Param Silvapulle & Sisira Jayasuriya, 1994. "Testing For Philippines Rice Market Integration: A Multiple Cointegration Approach," Journal of Agricultural Economics, Blackwell Publishing, vol. 45(3), pages 369-380. [Downloadable!] (restricted)

    Cited by:

    1. José Angel Roldán Casas & Rafaela Dios-Palomares, 2004. "Contrastación de la ley de precio único en el mercado español del aceite de oliva," Economic Working Papers at Centro de Estudios Andaluces E2004/27, Centro de Estudios Andaluces. [Downloadable!]
    2. McNew, Kevin & Fackler, Paul L., 1997. "Testing Market Equilibrium: Is Cointegration Informative?," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 22(02), December. [Downloadable!]
    3. Briones, Roehlano M., 2009. "Impact Assessment of National and Regional Policies Using the Philippine Regional General Equilibrium Model (PRGEM)," Discussion Papers DP 2009-03, Philippine Institute for Development Studies. [Downloadable!]
    4. Reeder, Meyra M., 2000. "Asymmetric Prices: Implications on Trader?s Market Power in Philippine Rice," Philippine Journal of Development, Philippine Institute for Development Studies, vol. 0(1), pages 49-70. [Downloadable!]
    5. Yang, Jian & Leatham, David J., 1999. "Price Discovery In Wheat Futures Markets," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 31(02), August. [Downloadable!]
    6. Fabiosa, Jacinto F., 2000. "Impact Of Gatt In The Functioning Of Agricultural Markets: An Examination Of Market Integration And Efficiency In The World Beef And Wheat Market Under The Pre-Gatt And Post-Gatt Regimes," 2000 Annual meeting, July 30-August 2, Tampa, FL 21868, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
    7. Kuiper, W. Erno & Lutz, Clemens & van Tilburg, Aad, 2002. "Vertical Price Leadership on Local Maize Markets in Benin," 2002 International Congress, August 28-31, 2002, Zaragoza, Spain 24886, European Association of Agricultural Economists. [Downloadable!]

13. Inder, Brett & Silvapulle, Paramsothy, 1993. "Does the Fisher Effect Apply in Australia?," Applied Economics, Taylor and Francis Journals, vol. 25(6), pages 839-43, June.

    Cited by:

    1. Olekalns, N., 2001. "An Empirical Investigation of Structural Breaks in the Ex Ante Fisher Effect," Department of Economics - Working Papers Series 786, The University of Melbourne. [Downloadable!]

14. Silvapulle, Paramsothy & King, Maxwell L., 1993. "Nonnested testing for autocorrelation in the linear regression model," Journal of Econometrics, Elsevier, vol. 58(3), pages 295-314, August. [Downloadable!] (restricted)

    Cited by:

    1. Martin MORYSON, . "Testing for Random Walk Coefficients in a Simple State Space Model," Sonderforschungsbereich 373 1994-21, Humboldt Universitaet Berlin.

This page was last updated on 2009-12-17.