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Elizabeth Ann Maharaj

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This is information that was supplied by Elizabeth Maharaj in registering through RePEc. If you are Elizabeth Ann Maharaj , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Elizabeth
Middle Name: Ann
Last Name: Maharaj
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RePEc Short-ID: pma1840

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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. Andres M. Alonso & Elizabeth A. Maharaj, 2005. "On The Comparison Of Time Series Using Subsampling," Statistics and Econometrics Working Papers ws050702, Universidad Carlos III, Departamento de Estadística y Econometría.
  2. Don U.A. Galagedera & Elizabeth A. Maharaj, 2004. "Wavelet timescales and conditional relationship between higher- order systematic co-moments and portfolio returns: evidence in Australian data," Finance 0409056, EconWPA.
  3. Elizabeth Ann Maharaj, 2003. "Using Evolutionary Spectra to Forecast Time Series," Monash Econometrics and Business Statistics Working Papers 4/03, Monash University, Department of Econometrics and Business Statistics.
  4. Maharaj, E.A., 2001. "Comparison of Non-Stationary Time Series in the Frequency Domain," Monash Econometrics and Business Statistics Working Papers 1/01, Monash University, Department of Econometrics and Business Statistics.
  5. Maharaj, E.A., 1999. "A Test for the Difference Parameter of the ARFIMA Model Using the Moving Blocks Bootstrap," Monash Econometrics and Business Statistics Working Papers 11/99, Monash University, Department of Econometrics and Business Statistics.
  6. Maharaj, E.A. & Singh, N. & Inder, B.A., 1995. "Homogeneity of Variance Test for the Comparison of Two or More Spectra," Monash Econometrics and Business Statistics Working Papers 19/95, Monash University, Department of Econometrics and Business Statistics.
  7. Maharaj, E.A., 1994. "A Significance Test for Classifying ARMA Models," Monash Econometrics and Business Statistics Working Papers 18/94, Monash University, Department of Econometrics and Business Statistics.

Articles

  1. Liu, Shen & Maharaj, Elizabeth Ann, 2013. "A hypothesis test using bias-adjusted AR estimators for classifying time series in small samples," Computational Statistics & Data Analysis, Elsevier, vol. 60(C), pages 32-49.
  2. In, Francis & Cui, Jin & Maharaj, Elizabeth Ann, 2012. "The impact of a new term auction facility on Libor–OIS spreads and volatility transmission between money and mortgage markets during the subprime crisis," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 1106-1125.
  3. Tan, Pei P. & Galagedera, Don U.A. & Maharaj, Elizabeth A., 2012. "A wavelet based investigation of long memory in stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(7), pages 2330-2341.
  4. Elizabeth Ann Maharaj & Pierpaolo D’Urso & Don Galagedera, 2010. "Wavelet-based Fuzzy Clustering of Time Series," Journal of Classification, Springer, vol. 27(2), pages 231-275, September.
  5. Maharaj, Elizabeth Ann & D’Urso, Pierpaolo, 2010. "A coherence-based approach for the pattern recognition of time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(17), pages 3516-3537.
  6. Mala Raghavan & Jonathan Dark & Elizabeth Ann Maharaj, 2010. "Impact of capital control measures on the Malaysian stock market: A multiresolution analysis," International Journal of Managerial Finance, Emerald Group Publishing, vol. 6(2), pages 116-127, April.
  7. Don Galagedera & Elizabeth Maharaj, 2008. "Wavelet timescales and conditional relationship between higher-order systematic co-moments and portfolio returns," Quantitative Finance, Taylor & Francis Journals, vol. 8(2), pages 201-215.
  8. Don Galagedera & Elizabeth Maharaj & Robert Brooks, 2008. "Relationship between downside risk and return: new evidence through a multiscaling approach," Applied Financial Economics, Taylor & Francis Journals, vol. 18(20), pages 1623-1633.
  9. Elizabeth A. Maharaj & Imad Moosa & Jonathan Dark & Param Silvapulle, 2008. "Wavelet Estimation of Asymmetric Hedge Ratios: Does Econometric Sophistication Boost Hedging Effectiveness?," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 7(3), pages 213-230, December.
  10. Robert Brooks & Elizabeth Maharaj & Breanna Pellegrini, 2008. "Estimation and analysis of the Hurst exponent for Australian stocks using wavelet analysis," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 4(1), pages 41-44.
  11. Maharaj, Elizabeth A. & Alonso, Andres M., 2007. "Discrimination of locally stationary time series using wavelets," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 879-895, October.
  12. Alonso, Andres M. & Maharaj, Elizabeth A., 2006. "Comparison of time series using subsampling," Computational Statistics & Data Analysis, Elsevier, vol. 50(10), pages 2589-2599, June.
  13. Maharaj, Elizabeth Ann, 2002. "Comparison of non-stationary time series in the frequency domain," Computational Statistics & Data Analysis, Elsevier, vol. 40(1), pages 131-141, July.

NEP Fields

6 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (2) 2002-04-25 2003-02-26. Author is listed
  2. NEP-ETS: Econometric Time Series (5) 2002-04-25 2002-04-25 2003-02-24 2004-10-18 2005-03-20. Author is listed
  3. NEP-FIN: Finance (2) 2004-10-18 2004-10-21. Author is listed
  4. NEP-RMG: Risk Management (1) 2004-10-18

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