Monash University, Department of Econometrics and Business Statistics
Monash Econometrics and Business Statistics Working Papers
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2013
- 11/13 Structural-break models under mis-specification: implications for forecasting
by Boonsoo Koo & Myung Hwan Seo - 10/13 Semi-parametric Analysis of Shape-Invariant Engel Curves with Control Function Approach
by Nam H Kim & Patrick W Saart & Jiti Gao - 9/13 Testing Independence for a Large Number of High Dimensional Random Vectors
by Guangming Pan & Jiti Gao & Yanrong Yang - 8/13 Structural-break models under mis-specification: implications for forecasting
by Boonsoo Koo & Myung Hwan Seo - 7/13 Bayesian Bandwidth Selection in Nonparametric Time-Varying Coefficient Models
by Tingting Cheng & Jiti Gao & Xibin Zhang - 6/13 Domestic and outbound tourism demand in Australia: a System-of-Equations Approach
by George Athanasopoulos & Minfeng Deng & Gang Li & Haiyan Song - 5/13 From Amazon to Apple: Modeling Online Retail Sales, Purchase Incidence and Visit Behavior
by Anastasios Panagiotelis & Michael S. Smith & Peter J Danaher - 4/13 Canadian Monetary Policy Analysis using a Structural VARMA Model
by Mala Raghavan & George Athanasopoulos & Param Silvapulle - 3/13 Orthogonal Expansion of Levy Process Functionals: Theory and Practice
by Chaohua Dong & Jiti Gao - 2/13 Semiparametric Profile Likelihood Estimation of Varying Coefficient Models with Nonstationary Regressors
by Kunpeng Li & Degui Li & Zhongwen Lian & Cheng Hsiao - 1/13 Common non-linearities in multiple series of stock market volatility
by Heather M. Anderson & Farshid Vahid
2012
- 21/12 Semiparametric Methods in Nonlinear Time Series Analysis: A Selective Review
by Patrick Saart & Jiti Gao - 20/12 Specification Testing Driven by Orthogonal Series in Nonstationary Time Series Models
by Chaohua Dong & Jiti Gao - 19/12 Recursive and direct multi-step forecasting: the best of both worlds
by Souhaib Ben Taieb & Rob J Hyndman - 18/12 Model Specification between Parametric and Nonparametric Cointegration
by Jiti Gao & Dag Tjøstheim & Jiying Yin - 17/12 A Flexible Semiparametric Model for Time Series
by Degui Li & Oliver Linton & Zudi Lu - 16/12 An Improved Nonparametric Unit-Root Test
by Jiti Gao & Maxwell King - 15/12 Intermittent demand forecasting for inventory control: A multi-series approach
by Ralph Snyder & Adrian Beaumont & J. Keith Ord - 14/12 Nonlinear Regression with Harris Recurrent Markov Chains
by Degui Li & Dag Tjøstheim & Jiti Gao - 13/12 Using Engel Curves to Measure CPI Bias for Indonesia
by Susan Olivia & John Gibson - 12/12 Extending Unobserved Heterogeneity - A Strategy for Accounting for Respondent Perceptions in the Absence of Suitable Data
by Timothy A. Weterings & Mark N. Harris & Bruce Hollingsworth - 11/12 VAR Modeling and Business Cycle Analysis: A Taxonomy of Errors
by D.S. Poskitt & Wenying Yao - 10/12 Point and interval forecasts of age-specific fertility rates: a comparison of functional principal component methods
by Han Lin Shang - 9/12 Higher Order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes
by D.S. Poskitt & Simone D. Grose & Gael M. Martin - 8/12 Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap
by D.S. Poskitt & Gael M. Martin & Simone D. Grose - 7/12 Solving Replication Problems in Complete Market by Orthogonal Series Expansion
by Chaohua Dong & Jiti Gao - 6/12 Identification, Estimation and Specification in a Class of Semiparametic Time Series Models
by Jiti Gao - 5/12 Parameter estimation for a discrete-response model with double rules of sample selection: A Bayesian approach
by Rong Zhang & Brett A. Inder & Xibin Zhang - 3/12 Bayesian Approaches to Non-parametric Estimation of Densities on the Unit Interval
by Song Li & Mervyn J. Silvapulle & Param Silvapulle & Xibin Zhang - 2/12 Expansion of Lévy Process Functionals and Its Application in Statistical Estimation
by Chaohua Dong & Jiti Gao - 1/12 Independence Test for High Dimensional Random Vectors
by G. Pan & J. Gao & Y. Yang & M. Guo
2011
- 25/11 Do Policy-Related Shocks Affect Real Exchange Rates? An Empirical Analysis Using Sign Restrictions and a Penalty-Function Approach
by Taya Dumrongrittikul - 24/11 Bayesian semiparametric GARCH models
by Xibin Zhang & Maxwell L. King - 23/11 Window Length Selection and Signal-Noise Separation and Reconstruction in Singular Spectrum Analysis
by Md Atikur Rahman Khan & D.S. Poskitt - 22/11 Moment Tests for Window Length Selection in Singular Spectrum Analysis of Short- and Long-Memory Processes
by Md Atikur Rahman Khan & D.S. Poskitt - 21/11 Estimation in threshold autoregressive models with a stationary and a unit root regime
by Jiti Gao & Dag Tjøstheim & Jiying Yin - 20/11 A New Test in Parametric Linear Models against Nonparametric Autoregressive Errors
by Jiti Gao & Maxwell King - 19/11 Expansion of Brownian Motion Functionals and Its Application in Econometric Estimation
by Chaohua Dong & Jiti Gao - 18/11 Nonparametric Kernel Testing in Semiparametric Autoregressive Conditional Duration Model
by Pipat Wongsaart & Jiti Gao - 17/11 Semiparametric Estimation in Multivariate Nonstationary Time Series Models
by Jiti Gao & Peter C.B. Phillips - 16/11 Local Linear Fitting Under Near Epoch Dependence: Uniform consistency with Convergence Rates
by Degui Li & Zudi Lu & Oliver Linton - 15/11 Semiparametric Trending Panel Data Models with Cross-Sectional Dependence
by Jia Chen & Jiti Gao & Degui Li - 14/11 Estimation in Partially Linear Single-Index Panel Data Models with Fixed Effects
by Jia Chen & Jiti Gao & Degui Li - 13/11 Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series
by Jiti Gao & Degui Li & Dag Tjøstheim - 12/11 Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions
by Jia Chen & Jiti Gao & Degui Li - 11/11 Non-Parametric Estimation of Forecast Distributions in Non-Gaussian, Non-linear State Space Models
by Jason Ng & Catherine S. Forbes & Gael M. Martin & Brendan P.M. McCabe - 10/11 Bayesian estimation of bandwidths for a nonparametric regression model with a flexible error density
by Xibin Zhang & Maxwell L. King & Han Lin Shang - 9/11 Testing for co-jumps in high-frequency financial data: an approach based on first-high-low-last prices
by Yin Liao & Heather M. Anderson - 8/11 Forecasting Under Strucural Break Uncertainty
by Jing Tian & Heather M. Anderson - 7/11 A New Procedure For Multiple Testing Of Econometric Models
by Maxwell L. King & Xibin Zhang & Muhammad Akram - 6/11 A survey of functional principal component analysis
by Han Lin Shang - 5/11 Real Exchange Rate Movements in Developed and Developing Economies: an Interpretation of the Balassa-Samuelson's Framework
by Taya Dumrongrittikul - 4/12 Measuring Poverty and Inequality from Highly Aggregated Small Area Data: The Changing Fortunes of Latrobe Valley Households
by Jill Wright & Ma. Rebecca Valenzuela & Duangkamon Chotikapanich - 4/11 Global Temperature Trends
by Trevor Breusch & Farshid Vahid - 3/11 The value of feedback in forecasting competitions
by George Athanasopoulos & Rob J Hyndman - 2/11 Worker time and the cost of stability
by Susan Tregeagle & Elizabeth Cox & Catherine Forbes & Cathy Humphreys & Cas O'Neill - 1/11 Coherent mortality forecasting: the product-ratio method with functional time series models
by Rob J Hyndman & Heather Booth & Farah Yasmeen
2010
- 22/10 Probabilistic Forecasts of Volatility and its Risk Premia
by Worapree Maneesoonthorn & Gael M. Martin & Catherine S. Forbes & Simone Grose - 21/10 Bayesian Adaptive Bandwidth Kernel Density Estimation of Irregular Multivariate Distributions
by Shuowen Hu & D.S. Poskitt & Xibin Zhang - 20/10 Forecasting Compositional Time Series with Exponential Smoothing Methods
by Anne B. Koehler & Ralph D. Snyder & J. Keith Ord & Adrian Beaumont - 19/10 Nonparametric modeling and forecasting electricity demand: an empirical study
by Han Lin Shang - 18/10 A Bayesian approach to parameter estimation for kernel density estimation via transformations
by Qing Liu & David Pitt & Xibin Zhang & Xueyuan Wu - 17/10 Short-term load forecasting based on a semi-parametric additive model
by Shu Fan & Rob Hyndman - 16/10 The price elasticity of electricity demand in South Australia
by Shu Fan & Rob Hyndman - 15/10 Dual P-Values, Evidential Tension and Balanced Tests
by D.S. Poskitt & Arivalzahan Sengarapillai - 14/10 VARs, Cointegration and Common Cycle Restrictions
by Heather M Anderson & Farshid Vahid - 13/10 Description Length Based Signal Detection in singular Spectrum Analysis
by Md Atikur Rahman Khan & D.S. Poskitt - 12/10 Forecasting the Intermittent Demand for Slow-Moving Items
by Keith Ord & Ralph Snyder & Adrian Beaumont - 11/10 Do Jumps Matter? Forecasting Multivariate Realized Volatility allowing for Common Jumps
by Yin Liao & Heather M. Anderson & Farshid Vahid - 11/09 Multivariate exponential smoothing for forecasting tourist arrivals to Australia and New Zealand
by George Athanasopoulos & Ashton de Silva - 10/10 Automatic forecasting with a modified exponential smoothing state space framework
by Alysha M De Livera - 9/10 Forecasting age-related changes in breast cancer mortality among white and black US women: A functional approach
by Farah Yasmeen & Rob J Hyndman & Bircan Erbas - 8/10 A comparison of ten principal component methods for forecasting mortality rates
by Han Lin Shang & Rob J Hyndman & Heather Booth - 7/10 A Primal Divisia Technical Change Index Based on the Output Distance Function
by Guohua Feng & Apostolos Serletis - 6/10 Health mobility: implications for efficiency and equity in priority setting
by Katharina Hauck & Aki Tsuchiya - 5/10 Adverse events in surgical inpatients: A comparative analysis of public hospitals in Victoria
by Katharina Hauck & Xueyan Zhao & Terri Jackson - 4/10 A structural equation model of adverse events and length of stay in hospitals
by Katharina Hauck & Xueyan Zhao - 3/10 A Stochastic Frontier Model for Discrete Ordinal Outcomes: A Health Production Function
by William Griffiths & Xiaohui Zhang & Xueyan Zhao - 2/10 A Quasi-locally Most powerful Test for Correlation in the conditional Variance of Positive Data
by Brendan P.M. McCabe & Gael Martin & Keith Freeland - 1/10 What Do the Bingers Drink? Microeconometric Evidence on Negative Externatilities of Alcohol Consumption by Beverage Types
by Preety Srivastava & Xueyan Zhao
2009
- 15/09 Forecasting time series with complex seasonal patterns using exponential smoothing
by Alysha M De Livera & Rob J Hyndman - 14/09 An analytical derivation of the relation between idiosyncratic volatility and expected stock return
by Don U.A. Galagedera - 13/09 Description Length and Dimensionality Reduction in Functional Data Analysis
by D. S. Poskitt & Arivalzahan Sengarapillai - 12/09 Vector Autoregresive Moving Average Identification for Macroeconomic Modeling: Algorithms and Theory
by D.S. Poskitt - 10/09 Modelling Australian Domestic and International Inbound Travel: a Spatial-Temporal Approach
by Minfeng Deng & George Athanasopoulos - 9/09 Forecasting Intraday Time Series with Multiple Seasonal Cycles Using Parsimonious Seasonal Exponential Smoothing
by James W. Taylor & Ralph D. Snyder - 8/09 Nonparametric time series forecasting with dynamic updating
by Han Lin Shang & Rob J Hyndman - 7/09 Optimal Probabilistic Forecasts for Counts
by Brendan P.M. McCabe & Gael M. Martin & David Harris - 6/09 VARMA models for Malaysian Monetary Policy Analysis
by Mala Raghavan & George Athanasopoulos & Param Silvapulle - 5/09 Efficiency, Technical Change, and Returns to Scale in Large U.S. Banks: Panel Data Evidence from an Output Distance Function Satisfying Theoretical Regularity
by Guohua Feng & Apostolos Serletis - 4/09 Exponential Smoothing and the Akaike Information Criterion
by Ralph D. Snyder & J. Keith Ord - 3/09 The Econometric Specification of Input Demand Systems Implied by Cost Function Representations
by Keith R. McLaren & Xueyan Zhao - 2/09 Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
by George Athanasopoulos & Osmani T. de C. Guillén & João V. Issler & Farshid Vahid - 1/09 A New Example of a Closed Form Mean-Variance Representation
by Keith R. McLaren
2008
- 11/08 Beyond point forecasting: evaluation of alternative prediction intervals for tourist arrivals
by Jae H. Kim & Haiyang Song & Kevin Wong & George Athanasopoulos & Shen Liu - 10/08 The tourism forecasting competition
by George Athanasopoulos & Rob J Hyndman & Haiyan Song & Doris C Wu - 9/08 Rainbow plots, Bagplots and Boxplots for Functional Data
by Rob J. Hyndman & Han Lin Shang - 8/08 The Benefit Function Approach to Modeling Price-Dependent Demand Systems: An Application of Duality Theory
by Keith R. McLaren & K. K. Gary Wong - 7/08 A View of Damped Trend as Incorporating a Tracking Signal into a State Space Model
by Ralph D. Snyder & Anne B. Koehler - 6/08 Density forecasting for long-term peak electricity demand
by Rob J Hyndman & Shu Fan - 5/08 Semiparametric estimation of duration models when the parameters are subject to inequality constraints and the error distribution is unknown
by Kulan Ranasinghe & Mervyn J. Silvapulle - 4/08 Monitoring Processes with Changing Variances
by J. Keith Ord & Rob J. Hyndman & Anne B. Koehler & Ralph D. Snyder - 3/08 Testing Conditional Asset Pricing Models: An Emerging Market Perspective
by Javed Iqbal & Robert Brooks & Don U.A. Galagedera - 2/08 Multivariate tests of asset pricing: Simulation evidence from an emerging market
by Javed Iqbal & Robert Brooks & Don U.A. Galagedera - 1/08 Semiparametric estimation of duration models when the parameters are subject to inequality constraints and the error distribution is unknown
by Kulan Ranasinghe & Mervyn J. Silvapulle
2007
- 15/07 A Comparison of Methods for Forecasting Demand for Slow Moving Car Parts
by Ralph D. Snyder & Adrian Beaumont - 14/07 Non-linear exponential smoothing and positive data
by Muhammad Akram & Rob J. Hyndman & J. Keith Ord - 13/07 Long-Run Effects of BSE on Meat Consumption
by Adam Bialowas & Lisa Farrell & Mark N. Harris & Cain Polidano - 12/07 Hierarchical forecasts for Australian domestic tourism
by George Athanasopoulos & Roman A. Ahmed & Rob J. Hyndman - 11/07 A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation
by Xibin Zhang & Robert D. Brooks & Maxwell L. King - 10/07 Two canonical VARMA forms: Scalar component models vis-à-vis the Echelon form
by George Athanasopoulos & D.S. Poskitt & Farshid Vahid - 9/07 Optimal combination forecasts for hierarchical time series
by Rob J. Hyndman & Roman A. Ahmed & George Athanasopoulos - 8/07 Estimating the Error Distribution in the Multivariate Heteroscedastic Time Series Models
by Gunky Kim & Mervyn J. Silvapulle & Paramsothy Silvapulle - 7/07 A state space model for exponential smoothing with group seasonality
by Pim Ouwehand & Rob J. Hyndman & Ton G. de Kok & Karel H. van Donselaar - 6/07 Automatic time series forecasting: the forecast package for R
by Rob J. Hyndman & Yeasmin Khandakar - 5/07 Does the Option Market Produce Superior Forecasts of Noise-Corrected Volatility Measures?
by Gael M. Martin & Andrew Reidy & Jill Wright - 4/07 An Assessment of Alternative State Space Models for Count Time Series
by Ralph D. Snyder & Gael M. Martin & Phillip Gould & Paul D. Feigin - 3/07 The vector innovation structural time series framework: a simple approach to multivariate forecasting
by Ashton de Silva & Rob J. Hyndman & Ralph D. Snyder - 2/07 Effective global regularity and empirical modeling of direct, inverse and mixed demand systems
by Keith R. McLaren & K.K. Gary Wong - 1/07 Semiparametric estimation of the dependence parameter of the error terms in multivariate regression
by Gunky Kim & Mervyn J. Silvapulle & Paramsothy Silvapulle
2006
- 22/06 Parameterisation and Efficient MCMC Estimation of Non-Gaussian State Space Models
by Chris M Strickland & Gael Martin & Catherine S Forbes - 21/06 Impact of Structural Change in Education, Industry and Infrastructure on Income Distribution in Sri Lanka
by Ramani Gunatilaka & Duangkamon Chotikapanich & Brett Inder - 20/06 Tests for Over-identifying Restrictions in Partially Identified Linear Structural Equations
by Giovanni Forchini - 19/06 Modelling and forecasting Australian domestic tourism
by George Athanasopoulos & Rob J. Hyndman - 18/06 Measuring the cost of leaving care in Victoria
by Catherine Forbes & Brett Inder & Sunitha Raman - 17/06 Beveridge-Nelson Decomposition with Markov Switching
by Chin Nam Low & Heather Anderson & Ralph D. Snyder - 16/06 Incorporating a Tracking Signal into State Space Models for Exponential Smoothing
by Ralph D. Snyder & Anne B. Koehler - 15/06 The Finite-Sample Properties of Autoregressive Approximations of Fractionally-Integrated and Non-Invertible Processes
by S. D. Grose & D. S. Poskitt - 14/06 Stochastic population forecasts using functional data models for mortality, fertility and migration
by Rob J Hyndman & Heather Booth - 13/06 Lee-Carter mortality forecasting: a multi-country comparison of variants and extensions
by Heather Booth & Rob J Hyndman & Leonie Tickle & Piet de Jong - 12/06 Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes
by D. S. Poskitt - 11/06 Half-Life Estimation based on the Bias-Corrected Bootstrap: A Highest Density Region Approach
by Jae Kim & Param Silvapulle & Rob J. Hyndman - 10/06 Assessing the Impact of Market Microstructure Noise and Random Jumps on the Relative Forecasting Performance of Option-Implied and Returns-Based Volatility
by Gael M. Martin & Andrew Reidy & Jill Wright - 9/06 Assessing Dependence Changes in the Asian Financial Market Returns Using Plots Based on Nonparametric Measures
by Param Silvapulle & Xibin Zhang - 8/06 Local Linear Multivariate Regression with Variable Bandwidth in the Presence of Heteroscedasticity
by Azhong Ye & Rob J Hyndman & Zinai Li - 7/06 An Anisotropic Model For Spatial Processes
by Minfeng Deng - 6/06 Inequality Trends and Determinants in Sri Lanka 1980-2002: A Shapley Approach to Decomposition
by Ramani Gunatilaka & Duangkamon Chotikapanich - 5/06 Language and Labour in South Africa: A new approach for a new South Africa
by Katy Cornwell - 4/06 VARMA versus VAR for Macroeconomic Forecasting
by George Athanasopoulos & Farshid Vahid - 3/06 Some Nonlinear Exponential Smoothing Models are Unstable
by Rob J Hyndman & Muhammad Akram - 2/06 A Complete VARMA Modelling Methodology Based on Scalar Components
by George Athanasopoulos & Farshid Vahid - 1/06 The Asymptotic distribution of the LIML Estimator in a Partially Identified Structural Equation
by Giovanni Forchini
2005
- 24/05 Demand Forecasting: Evidence-based Methods
by J. Scott Armstrong & Kesten C. Green - 23/05 Real Interest Rate Linkages in the Pacific Basin Region
by Philip Inyeob Ji & Jae H. Kim - 22/05 Realized Volatility and Correlation in Grain Futures Markets: Testing for Spill-Over Effects
by Jae H. Kim & Hristos Doucouliagos - 21/05 Some Properties of Tests for Possibly Unidentified Parameters
by G. Forchini - 20/05 Weighted Average Power Similar Tests for Structural Change for the Gaussian Linear Regression Model
by Giovanni Forchini - 19/05 Deriving Tests of the Semi-Linear Regression Model Using the Density Function of a Maximal Invariant
by Jahar L. Bhowmik & Maxwell L. King - 18/05 Parameter Estimation in Semi-Linear Models Using a Maximal Invariant Likelihood Function
by Jahar L. Bhowmik & Maxwell L. King - 17/05 Competitor-oriented Objectives: The Myth of Market Share
by Kesten C. Green & J. Scott Armstrong - 16/05 Autoregressive Approximation in Nonstandard Situations: The Non-Invertible and Fractionally Integrated Cases
by D. S. Poskitt - 15/05 Forecasting Accuracy and Estimation Uncertainty Using VAR Models with Short- and Long-Term Economic Restrictions: A Monte-Carlo Study
by Osmani Teixeira de Carvalho Guillén & João Victor Issler & George Athanasopoulos - 14/05 On the Bimodality of the Exact Distribution of the TSLS Estimator
by Giovanni Forchini - 13/05 Another Look at Measures of Forecast Accuracy
by Rob J. Hyndman & Anne B. Koehler - 12/05 25 Years of IIF Time Series Forecasting: A Selective Review
by Jan G. De Gooijer & Rob J. Hyndman - 11/05 Is systematic downside beta risk really priced? Evidence in emerging market data
by Don U.A. Galagedera & Robert D. Brooks - 10/05 An Analysis of Watermove Water Markets
by Robert Brooks & Edwyna Harris - 9/05 Determinants of Sovereign Ratings: A Comparison of Case-Based Reasoning and Ordered Probit Approaches
by Emawtee Bissoondoyal-Bheenick & Robert Brooks & Angela Y.N.Yip - 8/05 Minimum Variance Unbiased Maximum Likelihood Estimation of the Extreme Value Index
by Roger Gay - 7/05 Time Series Forecasting: The Case for the Single Source of Error State Space
by J Keith Ord & Ralph D Snyder & Anne B Koehler & Rob J Hyndman & Mark Leeds - 6/05 Exponential Smoothing Model Selection for Forecasting
by Baki Billah & Maxwell L King & Ralph D Snyder & Anne B Koehler - 5/05 A Pedant's Approach to Exponential Smoothing
by Ralph D Snyder - 4/05 Small Concentration Asymptotics and Instrumental Variables Inference
by D. S. Poskitt & C. L. Skeels - 3/05 Forecasting age-specific breast cancer mortality using functional data models
by Bircan Erbas & Rob J. Hyndman & Dorota M. Gertig - 2/05 Robust forecasting of mortality and fertility rates: a functional data approach
by Rob J. Hyndman & Md. Shahid Ullah - 1/05 Rating Forecasts for Television Programs
by Denny Meyer & Rob J. Hyndman
2004
- 29/04 Assessing the Magnitude of the Concentration Parameter in a Simultaneous Equations Model
by D. S. Poskitt & C. L. Skeels - 28/04 Forecasting Time-Series with Correlated Seasonality
by Phillip Gould & Anne B. Koehler & Farshid Vahid-Araghi & Ralph D. Snyder & J. Keith Ord & Rob J. Hyndman - 27/04 Value of Expertise For Forecasting Decisions in Conflicts
by Kesten C. Green & J. Scott Armstrong - 26/04 Box-Cox Stochastic Volatility Models with Heavy-Tails and Correlated Errors
by Xibin Zhang & Maxwell L. King - 25/04 Adaptive Premiums for Evolutionary Claims in Non-Life Insurance
by Roger Gay - 24/04 Inflation, Financial Development and Endogenous Growth
by Max Gillman & Mark N. Harris - 23/04 Inflation, Financial Development and Growth in Transition Countries
by Max Gillman & Mark N. Harris - 22/04 Random Walk Smooth Transition Autoregressive Models
by Heather M. Anderson & Chin Nam Low - 21/04 Single Source of Error State Space Approach to the Beveridge Nelson Decomposition
by Heather M. Anderson & Chin Nam Low & Ralph Snyder - 20/04 On The Identification and Estimation of Partially Nonstationary ARMAX Systems
by D. S. Poskitt - 19/04 Approximating the Distribution of the Instrumental Variables Estimator when the Concentration Parameter is Small
by D. S. Poskitt & C. L. Skeels - 18/04 Further evidence on game theory, simulated interaction, and unaided judgement for forecasting decisions in conflicts
by Kesten C. Green - 17/04 Structured analogies for forecasting
by Kesten C. Green & J. Scott Armstrong - 16/04 Wavelet timescales and conditional relationship between higher-order systematic co-moments and portfolio returns: evidence in Australian data
by Don U.A. Galagedera & Elizabeth A. Maharaj - 15/04 Exponential Smoothing: A Prediction Error Decomposition Principle
by Ralph D. Snyder - 14/04 Modelling Tobacco Consumption with a Zero-Inflated Ordered Probit Model
by Mark N. Harris & Xueyan Zhao - 13/04 Testing for Dependence in Non-Gaussian Time Series Data
by B.P.M. McCabe & G.M. Martin & R.K. Freeland - 12/04 Some Results on the Identification and Estimation of Vector ARMAX Processes
by D.S. Poskitt - 11/04 Bayesian Analysis of Continuous Time Models of the Australian Short Rate
by Andrew D. Sanford & Gael Martin - 10/04 Estimating Components in Finite Mixtures and Hidden Markov Models
by D.S. Poskitt & Jing Zhang - 9/04 Bandwidth Selection for Multivariate Kernel Density Estimation Using MCMC
by Xibin Zhang & Maxwell L. King & Rob J. Hyndman - 8/04 Modelling the Risk and Return Relation Conditional on Market Volatility and Market Conditions
by Don U.A. Galagedera & Robert Faff - 7/04 Long term hedging of the Australian All Ordinaries Index using a bivariate error correction FIGARCH model
by Jonathan Dark - 6/04 Basis convergence and long memory in volatility when dynamic hedging with SPI futures
by Jonathan Dark - 5/04 Long memory in the volatility of the Australian All Ordinaries Index and the Share Price Index futures
by Jonathan Dark - 4/04 Bivariate error correction FIGARCH and FIAPARCH models on the Australian All Ordinaries Index and its SPI futures
by Jonathan Dark - 3/04 Economic growth and contraction and their impact on the poor
by Brett Inder - 2/04 Migration and Unemployment in South Africa: When Motivation Surpasses the Theory
by Katy Cornwell & Brett Inder - 1/04 The Power Principle and Tail-Fatness Uncertainty
by Roger Gay
2003
- 22/03 Averaging Lorenz Curves
by Duangkamon Chotikapanich & William E. Griffiths - 21/03 The Decline in Income Growth Volatility in the United States: Evidence from Regional Data
by Heather Anderson & Farshid Vahid - 20/03 Association between Markov regime-switching market volatility and beta risk: Evidence from Dow Jones industrial securities
by Don U.A. Galagedera & Roland Shami - 19/03 Nonlinear Correlograms and Partial Autocorrelograms
by Heather M. Anderson & Farshid Vahid - 18/03 Diversification Meltdown or the Impact of Fat tails on Conditional Correlation?
by Rachel Campbell & Catherine S. Forbes & Kees Koedijk & Paul Kofman