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 0 50 2 3 4 138
A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market 0 0 0 56 3 3 5 174
A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market 1 1 1 100 2 3 5 145
A Spatial Econometric Analysis of the Effect of Vertical Restraints and Branding on Retail Gasoline Pricing 0 0 0 112 0 1 4 416
A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions 0 0 0 74 0 0 1 198
A semi-parametric point process model of the interactions between equity markets 0 0 0 34 0 3 4 49
A simple linear alternative to multiplicative error models with an application to trading volume 0 0 1 58 2 3 8 43
A smooth-transition model of the Australian unemployment rate 0 0 0 467 0 0 3 2,706
Asymmetric unemployment rate dynamics in Australia 0 1 1 31 0 1 5 152
Asymmetric unemployment rate dynamics in Australia 0 0 0 38 3 3 4 221
Asymmetric unemployment rate dynamics in Australia 0 0 0 78 1 2 4 243
Bank of England Intervention and the Structure of Interest Rates in the London Interbank Market 0 0 0 1 0 1 1 969
Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship 1 1 1 74 2 4 5 172
Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship 0 0 1 81 2 2 7 104
Change Detection and the Casual Impact of the Yield Curve 0 1 2 52 1 2 4 111
Detecting Common Dynamics in Transitory Components 0 0 0 81 0 0 0 177
Developing analytical distributions for temperature indices for the purposes of pricing temperature-based weather derivatives 0 0 0 52 0 1 5 153
Discrete time-series models when counts are unobservable 0 0 1 111 1 2 5 426
Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility 0 0 0 191 0 1 2 628
Distributional Preferences and the Extended Gini Measures of Inequality 0 0 0 0 0 0 1 807
Econometric Analysis of Structural Systems with Permanent and Transitory Shocks. Working paper #7 0 0 0 173 1 4 4 370
Estimating Stochastic Volatility Models Using a Discrete Non-linear Filter. Working paper #3 0 0 1 177 0 3 6 429
Estimating the Parameters of Stochastic Differential Equations by Monte Carlo Methods 0 0 0 2 0 0 0 892
Estimating the Payoffs of Temperature-based Weather Derivatives 0 0 0 103 1 2 3 353
Evaluating multivariate volatility forecasts 0 0 0 149 1 1 2 307
Forecasting day-ahead electricity load using a multiple equation time series approach 0 0 1 47 3 5 8 90
Isolating Cyclical Patterns in Irregular Time Series Data 0 0 0 0 1 1 2 568
It never rains but it pours: Modelling the persistence of spikes in electricity prices 0 0 1 163 1 1 4 379
Modeling directional (circular) time series 0 0 0 95 1 2 2 138
Modelling Stock Market Excess Returns by Markov Modulated Gaussian Noise 0 0 0 624 1 3 5 2,541
Modelling Structural Change in Money Demand Using a Fourier-Series Approximation 0 0 1 133 0 2 3 426
Modelling Wages and Prices in Australia 0 0 0 273 0 2 5 1,455
Modelling and forecasting wind drought 0 0 2 20 5 5 10 66
Modelling the Lifespan of Human T Lymphocyte Subsets 0 0 0 0 0 1 1 541
Momentum in Australian Stock Returns: An Update 0 0 1 166 2 2 5 336
On the Efficacy of Fourier Series Approximations for Pricing European and Digital Options 0 0 0 12 2 3 3 73
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 1 3 313
Seeing the wood for the trees: A critical evaluation of methods to estimate the parameters of stochastic differential equations 0 0 0 169 2 3 5 413
Selecting forecasting models for portfolio allocation 0 0 1 66 1 2 3 187
Teaching Financial Econometrics to Students Converting to Finance 0 1 22 34 1 6 48 67
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 0 139 0 0 3 540
Teaching an old dog new tricks: Improved estimation of the parameters of SDEs by numerical solution of the Fokker-Planck equation 0 0 1 171 3 3 4 569
Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity 0 0 0 172 1 2 3 513
Testing for Time Dependence in Parameters 0 0 0 52 2 2 2 262
Testing for nonlinearity in mean in the presence of heteroskedasticity 0 0 0 78 0 1 1 260
Testing for nonlinearity in mean in the presence of heteroskedasticity. Working paper #8 0 0 0 58 0 1 1 150
Testing for time-varying Granger causality 1 5 17 159 3 9 32 283
Testing the Profitability of Technical Analysis as a Portfolio Selection Strategy 0 1 1 238 1 2 6 796
The Bootstrap 0 0 0 0 0 3 8 45
The Devil is in the Detail: Hints for Practical Optimisation 0 0 0 68 1 1 2 132
The Empirical Size and Power of Some Tests for Detecting Autoregressive Conditional Heteroskedasticity in the Presence of Serial Correlation 0 0 0 0 1 1 1 389
The Generic Properties of Equilibrium Correction Mechanisms 0 0 0 35 0 0 2 232
Time Series Evidence of Global Warming 0 0 0 1 0 1 1 2,674
Transition from the Taylor rule to the zero lower bound 0 0 0 40 1 1 2 112
Unobservable Cyclical Components in Term Premia of Fixed- Term Financial Instruments 0 0 0 0 0 0 0 81
Total Working Papers 3 11 57 5,495 55 111 267 25,014

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Comparative Study of Likelihood Approximations for Univariate Diffusions* 0 1 1 1 0 1 1 2
A Smooth Transition Logit Model of The Effects of Deregulation in the Electricity Market 1 1 2 23 2 2 6 95
A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions 0 0 0 64 1 2 8 324
An empirical investigation of herding in the U.S. stock market 0 0 0 42 1 2 3 142
Assessing the Informational Content of Official Australian Bureau of Meteorology Forecasts of Wind Speed 0 0 0 1 0 1 2 4
Asset pricing puzzles in finance: Introduction 0 0 0 194 0 1 1 420
Asymmetric Unemployment Rate Dynamics in Australia 0 0 1 58 0 2 7 243
Asymmetric price adjustment and the Phillips curve 0 0 0 71 1 1 1 184
Causality, Predictability and Monetary Targets in South Africa 0 0 0 5 0 1 1 23
Change Detection and the Causal Impact of the Yield Curve 0 0 1 21 2 2 8 72
Cointegration and Dynamic Time Series Models 0 0 0 0 1 3 4 1,228
Common trends and generalized purchasing power parity 0 0 0 14 1 1 2 43
Common trends in global volatility 0 0 0 17 2 4 6 94
Detecting Common Dynamics in Transitory Components 0 0 0 46 0 3 5 149
Dollar‐Deutschemark Polarisation: Comparing The Pound And Franc 0 0 0 16 1 1 4 250
Estimating a Non-parametric Memory Kernel for Mutually Exciting Point Processes* 0 0 0 0 1 3 5 5
Estimating the Parameters of Stochastic Volatility Models Using Option Price Data 0 1 2 22 0 4 8 66
Estimating the parameters of stochastic differential equations 0 0 1 10 0 3 4 44
Estimating the parameters of stochastic differential equations by Monte Carlo methods 0 0 0 13 0 0 0 47
Forecasting day-ahead electricity load using a multiple equation time series approach 1 1 2 14 1 3 8 87
Forecasting quantiles of day-ahead electricity load 0 0 0 9 0 0 4 58
Forecasting spikes in electricity prices 1 2 2 85 2 6 15 274
Geology or Economics? Testing Models of Irreversible Investment Using North Sea Oil Data 1 1 1 143 1 1 2 556
Housing networks and driving forces 0 0 0 5 1 1 4 25
Identifying aggregate demand and supply shocks in a small open economy 0 0 1 124 1 2 5 377
In Search of Time-Varying Term Premia in the London Interbank Market 0 0 0 0 0 1 2 89
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 1 3 4 26
It Never Rains but it Pours: Modeling the Persistence of Spikes in Electricity Prices 0 0 0 0 4 6 6 6
It Never Rains but it Pours: Modeling the Persistence of Spikes in Electricity Prices 0 0 1 31 1 2 4 234
Linearizations and Equilibrium Correction Models 0 0 0 36 0 1 1 148
Local Whittle estimation of the long-memory parameter 0 0 0 8 2 2 4 41
Measuring Attitudes Towards Inequality 0 1 3 199 35 108 285 1,060
Mixture distribution‐based forecasting using stochastic volatility models 0 0 0 0 0 1 2 5
Mobius-Like Mappings and Their Use in Kernel Density Estimation 0 0 0 41 1 1 1 102
Modeling Multi-horizon Electricity Demand Forecasts in Australia: A Term Structure Approach 0 1 1 2 0 1 3 7
Modelling Spikes in Electricity Prices 0 0 2 48 0 1 5 149
Modelling Wages and Prices in Australia 0 0 0 52 1 4 4 196
Modelling circular time series 1 1 3 10 3 5 14 34
Modelling interregional links in electricity price spikes 0 0 3 20 2 3 8 89
Modelling the Demand for M4 in the U.K 0 0 0 0 1 1 1 143
Momentum in Australian Stock Returns 0 0 3 24 0 1 10 86
On the Specification of the Drift and Diffusion Functions for Continuous‐time Models of the Spot Interest Rate 0 0 0 0 0 1 1 4
On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential Equations 0 0 6 162 4 4 11 381
Practitioner's Corner: Introduction 0 0 0 9 0 0 0 53
Revisiting the numerical solution of stochastic differential equations 0 0 0 0 0 0 1 15
Seasonality, Cointegration and Error Correction: An Illustration Using South African Monetary Data 0 0 0 0 0 1 2 86
Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations 0 0 0 35 1 6 8 106
Selecting volatility forecasting models for portfolio allocation purposes 0 0 1 33 2 4 8 132
Semi-Parametric Forecasting of Realized Volatility 0 0 1 52 1 1 3 160
Semi-parametric Forecasting of Spikes in Electricity Prices 1 1 1 8 2 3 7 55
Specification tests for univariate diffusions 0 0 0 0 0 3 3 5
Strategic bidding and rebidding in electricity markets 1 1 3 30 1 3 9 97
Testing Superexogeneity: The Demand for Broad Money in the UK 0 0 0 0 0 0 1 152
Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity 0 0 0 51 1 2 3 164
Testing for time-varying Granger causality 0 0 6 46 1 4 19 96
The BDS test of independence 1 1 5 68 2 3 13 167
The Devil is in the Detail: Hints for Practical Optimisation 0 0 0 64 0 1 1 171
The Effect of Transmission Constraints on Electricity Prices 0 0 1 3 2 4 10 13
The Effect of Transmission Constraints on Electricity Prices 0 0 1 29 1 1 2 103
The Long‐run Properties of the Demand for M3 in South Africa 0 0 0 21 0 2 4 71
The Money‐income Causality Debate in South Africa: Reply 0 0 0 6 0 1 1 34
The Term Structure of Interest Rates in the London Interbank Market 0 0 0 1 1 2 4 677
The dynamics of U.S. industrial production: A time-varying Granger causality perspective 1 2 8 8 3 5 25 25
Theory and Tests of Generalized Purchasing-Power Parity: Common Trends and Real Exchange Rates in the Pacific Rim 0 0 0 0 1 3 6 918
Transition from the Taylor rule to the zero lower bound 0 0 0 5 1 1 4 15
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 2 2 3 20
Volatility transmission in global financial markets 0 1 2 72 1 2 6 191
“What good is a volatility model?” A reexamination after 20 years 1 2 2 26 2 3 8 53
Total Journal Articles 10 18 67 2,207 99 253 631 11,238
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 3 5 23 538
Econometric Modelling with Time Series 0 0 0 0 0 2 15 333
Environmental Econometrics Using Stata 3 5 16 160 5 11 31 291
Total Books 3 5 16 160 8 18 69 1,162

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Modeling Inflation and Money Demand Using a Fourier-Series Approximation 0 0 2 3 0 1 5 10
Total Chapters 0 0 2 3 0 1 5 10
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 4 15 81 890 14 45 226 2,548
WHITTLE: Stata module to compute long-memory parameter via Whittle method 0 0 0 33 1 2 6 121
Total Software Items 4 15 81 923 15 47 232 2,669

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Statistics updated 2025-12-06