Access Statistics for Stan Hurn

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
"Change Detection and the Causal Impact of the Yield Curve 0 0 1 50 0 0 3 134
A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market 0 0 0 56 0 2 2 171
A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market 0 0 0 99 1 1 1 141
A Spatial Econometric Analysis of the Effect of Vertical Restraints and Branding on Retail Gasoline Pricing 0 0 1 112 0 1 5 413
A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions 0 0 0 74 0 0 0 197
A semi-parametric point process model of the interactions between equity markets 0 0 0 34 0 0 1 45
A simple linear alternative to multiplicative error models with an application to trading volume 0 0 0 57 0 0 1 35
A smooth-transition model of the Australian unemployment rate 0 0 1 467 0 2 3 2,705
Asymmetric unemployment rate dynamics in Australia 0 0 0 30 1 2 2 149
Asymmetric unemployment rate dynamics in Australia 0 0 0 78 0 0 0 239
Asymmetric unemployment rate dynamics in Australia 0 0 0 38 0 1 3 218
Bank of England Intervention and the Structure of Interest Rates in the London Interbank Market 0 0 0 1 0 0 0 968
Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship 0 0 1 80 1 2 3 99
Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship 0 0 2 73 0 0 7 167
Change Detection and the Casual Impact of the Yield Curve 0 0 1 50 0 1 4 108
Detecting Common Dynamics in Transitory Components 0 0 0 81 0 0 1 177
Developing analytical distributions for temperature indices for the purposes of pricing temperature-based weather derivatives 0 0 0 52 0 1 2 149
Discrete time-series models when counts are unobservable 0 0 1 110 0 0 1 421
Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility 0 0 1 191 0 0 3 626
Distributional Preferences and the Extended Gini Measures of Inequality 0 0 0 0 0 0 0 806
Econometric Analysis of Structural Systems with Permanent and Transitory Shocks. Working paper #7 0 0 1 173 0 0 2 366
Estimating Stochastic Volatility Models Using a Discrete Non-linear Filter. Working paper #3 0 1 3 177 0 1 5 424
Estimating the Parameters of Stochastic Differential Equations by Monte Carlo Methods 0 0 0 2 0 0 2 892
Estimating the Payoffs of Temperature-based Weather Derivatives 0 0 0 103 0 1 4 351
Evaluating multivariate volatility forecasts 0 0 0 149 0 0 0 305
Forecasting day-ahead electricity load using a multiple equation time series approach 0 0 2 46 0 0 4 82
Isolating Cyclical Patterns in Irregular Time Series Data 0 0 0 0 0 1 1 567
It never rains but it pours: Modelling the persistence of spikes in electricity prices 0 1 1 163 0 1 1 376
Modeling directional (circular) time series 0 0 4 95 0 0 6 136
Modelling Stock Market Excess Returns by Markov Modulated Gaussian Noise 0 0 0 624 0 0 1 2,536
Modelling Structural Change in Money Demand Using a Fourier-Series Approximation 0 0 1 132 0 0 1 423
Modelling Wages and Prices in Australia 0 0 0 273 0 2 2 1,452
Modelling and forecasting wind drought 1 1 2 19 3 4 6 60
Modelling the Lifespan of Human T Lymphocyte Subsets 0 0 0 0 0 0 1 540
Momentum in Australian Stock Returns: An Update 0 0 0 165 0 0 0 331
On the Efficacy of Fourier Series Approximations for Pricing European and Digital Options 0 0 0 12 0 0 0 70
Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations. Working paper #2 0 0 0 137 0 0 1 310
Seeing the wood for the trees: A critical evaluation of methods to estimate the parameters of stochastic differential equations 0 0 0 169 0 1 1 409
Selecting forecasting models for portfolio allocation 0 0 0 65 0 0 0 184
Teaching an Old Dog New Tricks: Improved Estimation of the Parameters of Stochastic Differential Equations by Numerical Solution of the Fokker-Planck Equation 0 0 1 139 1 1 3 538
Teaching an old dog new tricks: Improved estimation of the parameters of SDEs by numerical solution of the Fokker-Planck equation 0 1 1 171 0 1 3 566
Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity 0 0 0 172 0 0 0 510
Testing for Time Dependence in Parameters 0 0 0 52 0 0 0 260
Testing for nonlinearity in mean in the presence of heteroskedasticity 0 0 0 78 0 0 0 259
Testing for nonlinearity in mean in the presence of heteroskedasticity. Working paper #8 0 0 0 58 0 0 0 149
Testing for time-varying Granger causality 3 8 30 150 5 12 64 263
Testing the Profitability of Technical Analysis as a Portfolio Selection Strategy 0 0 0 237 2 2 4 792
The Bootstrap 0 0 0 0 0 1 7 38
The Devil is in the Detail: Hints for Practical Optimisation 0 0 0 68 0 1 2 131
The Empirical Size and Power of Some Tests for Detecting Autoregressive Conditional Heteroskedasticity in the Presence of Serial Correlation 0 0 0 0 0 0 0 388
The Generic Properties of Equilibrium Correction Mechanisms 0 0 0 35 1 2 2 232
Time Series Evidence of Global Warming 0 0 0 1 0 0 0 2,673
Transition from the Taylor rule to the zero lower bound 0 0 2 40 1 1 5 111
Unobservable Cyclical Components in Term Premia of Fixed- Term Financial Instruments 0 0 0 0 0 0 0 81
Total Working Papers 4 12 57 5,438 16 45 170 24,773

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Smooth Transition Logit Model of The Effects of Deregulation in the Electricity Market 0 0 0 21 0 1 1 90
A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions 0 0 0 64 0 3 9 319
An empirical investigation of herding in the U.S. stock market 0 0 1 42 0 0 6 139
Assessing the Informational Content of Official Australian Bureau of Meteorology Forecasts of Wind Speed 0 0 0 1 0 0 0 2
Asset pricing puzzles in finance: Introduction 0 0 0 194 0 0 0 419
Asymmetric Unemployment Rate Dynamics in Australia 1 1 1 58 1 1 2 237
Asymmetric price adjustment and the Phillips curve 0 0 0 71 0 0 1 183
Causality, Predictability and Monetary Targets in South Africa 0 0 0 5 0 0 0 22
Change Detection and the Causal Impact of the Yield Curve 1 1 3 21 1 1 8 65
Cointegration and Dynamic Time Series Models 0 0 0 0 1 1 8 1,225
Common trends and generalized purchasing power parity 0 0 0 14 1 1 2 42
Common trends in global volatility 0 0 0 17 0 0 1 88
Detecting Common Dynamics in Transitory Components 0 0 0 46 1 1 1 145
Dollar‐Deutschemark Polarisation: Comparing The Pound And Franc 0 0 1 16 0 0 2 246
Estimating the Parameters of Stochastic Volatility Models Using Option Price Data 0 0 2 20 1 3 8 61
Estimating the parameters of stochastic differential equations 0 0 0 9 0 0 0 40
Estimating the parameters of stochastic differential equations by Monte Carlo methods 0 0 0 13 0 0 1 47
Forecasting day-ahead electricity load using a multiple equation time series approach 0 0 1 12 0 0 7 79
Forecasting quantiles of day-ahead electricity load 0 0 0 9 1 3 4 57
Forecasting spikes in electricity prices 0 0 0 83 0 1 7 260
Geology or Economics? Testing Models of Irreversible Investment Using North Sea Oil Data 0 0 0 142 0 0 1 554
Housing networks and driving forces 0 0 1 5 0 0 2 21
Identifying aggregate demand and supply shocks in a small open economy 0 0 2 123 1 2 8 374
In Search of Time-Varying Term Premia in the London Interbank Market 0 0 0 0 0 0 0 87
Information Flow in Times of Crisis: The Case of the European Banking and Sovereign Sectors 0 0 0 7 0 0 0 37
Isolating cyclical patterns in irregular time-series data 0 0 0 1 0 0 0 22
It Never Rains but it Pours: Modeling the Persistence of Spikes in Electricity Prices 0 1 3 31 0 1 4 231
Linearizations and Equilibrium Correction Models 0 0 0 36 0 0 0 147
Local Whittle estimation of the long-memory parameter 0 0 0 8 0 0 1 37
Measuring Attitudes Towards Inequality 0 1 4 197 0 1 9 776
Mixture distribution‐based forecasting using stochastic volatility models 0 0 0 0 1 1 2 4
Mobius-Like Mappings and Their Use in Kernel Density Estimation 0 0 0 41 0 0 0 101
Modelling Spikes in Electricity Prices 1 1 3 47 1 1 5 145
Modelling Wages and Prices in Australia 0 0 1 52 0 0 2 192
Modelling interregional links in electricity price spikes 0 1 2 18 0 1 2 82
Modelling the Demand for M4 in the U.K 0 0 0 0 0 0 1 142
Momentum in Australian Stock Returns 0 0 3 21 0 2 7 78
On the Specification of the Drift and Diffusion Functions for Continuous‐time Models of the Spot Interest Rate 0 0 0 0 0 0 1 3
On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential Equations 2 3 4 159 3 4 8 374
Practitioner's Corner: Introduction 0 0 0 9 0 0 1 53
Revisiting the numerical solution of stochastic differential equations 0 0 0 0 0 1 4 15
Seasonality, Cointegration and Error Correction: An Illustration Using South African Monetary Data 0 0 0 0 0 0 0 84
Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations 0 0 0 35 0 1 1 99
Selecting volatility forecasting models for portfolio allocation purposes 0 0 0 32 2 2 3 126
Semi-Parametric Forecasting of Realized Volatility 0 1 2 52 1 2 5 159
Semi-parametric Forecasting of Spikes in Electricity Prices 0 0 0 7 2 2 2 50
Specification tests for univariate diffusions 0 0 0 0 0 0 1 2
Strategic bidding and rebidding in electricity markets 0 1 4 28 1 3 8 91
Testing Superexogeneity: The Demand for Broad Money in the UK 0 0 0 0 0 0 0 151
Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity 0 0 0 51 1 1 2 162
Testing for time-varying Granger causality 0 2 12 42 1 3 19 80
The BDS test of independence 1 3 9 66 1 4 23 158
The Devil is in the Detail: Hints for Practical Optimisation 0 0 0 64 0 0 0 170
The Effect of Transmission Constraints on Electricity Prices 0 0 2 28 0 0 3 101
The Long‐run Properties of the Demand for M3 in South Africa 0 0 0 21 0 0 0 67
The Money‐income Causality Debate in South Africa: Reply 0 0 0 6 0 0 0 33
The Term Structure of Interest Rates in the London Interbank Market 0 0 0 1 1 2 2 675
Theory and Tests of Generalized Purchasing-Power Parity: Common Trends and Real Exchange Rates in the Pacific Rim 0 0 0 0 0 2 9 914
Transition from the Taylor rule to the zero lower bound 0 0 2 5 2 3 5 14
Unobservable cyclical components in term premia of fixed-term financial instruments 0 0 0 0 0 0 0 10
Using discrete-time techniques to test continuous-time models for nonlinearity in drift 0 0 0 1 0 0 1 17
Volatility transmission in global financial markets 0 0 2 70 1 1 5 186
“What good is a volatility model?” A reexamination after 20 years 0 0 2 24 0 1 7 46
Total Journal Articles 6 16 67 2,146 26 57 222 10,636
1 registered items for which data could not be found

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Econometric Modelling with Time Series 0 0 0 0 0 4 20 322
Econometric Modelling with Time Series 0 0 0 0 2 4 17 519
Environmental Econometrics Using Stata 2 8 49 152 5 12 64 272
Total Books 2 8 49 152 7 20 101 1,113

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Total Chapters 0 0 0 0 0 0 0 0
1 registered items for which data could not be found

Software Item File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
TVGC: Stata module to perform Time-Varying Granger Causality tests 12 35 173 844 32 84 392 2,406
WHITTLE: Stata module to compute long-memory parameter via Whittle method 0 0 0 33 0 0 2 115
Total Software Items 12 35 173 877 32 84 394 2,521

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Statistics updated 2025-03-03