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 3 10 14 148
A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market 0 0 1 100 0 5 9 150
A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market 0 0 0 56 0 3 6 177
A Spatial Econometric Analysis of the Effect of Vertical Restraints and Branding on Retail Gasoline Pricing 0 0 0 112 2 7 10 423
A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions 0 0 0 74 1 4 5 202
A semi-parametric point process model of the interactions between equity markets 0 0 0 34 1 8 12 57
A simple linear alternative to multiplicative error models with an application to trading volume 0 0 1 58 1 13 21 56
A smooth-transition model of the Australian unemployment rate 0 0 0 467 1 7 8 2,713
Asymmetric unemployment rate dynamics in Australia 0 0 1 31 0 8 11 160
Asymmetric unemployment rate dynamics in Australia 0 0 0 38 4 11 14 232
Asymmetric unemployment rate dynamics in Australia 0 0 0 78 1 7 11 250
Bank of England Intervention and the Structure of Interest Rates in the London Interbank Market 0 0 0 1 0 1 2 970
Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship 0 0 1 81 2 8 13 112
Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship 0 0 1 74 2 4 9 176
Change Detection and the Casual Impact of the Yield Curve 0 0 2 52 3 8 11 119
Detecting Common Dynamics in Transitory Components 0 0 0 81 1 1 1 178
Developing analytical distributions for temperature indices for the purposes of pricing temperature-based weather derivatives 0 0 0 52 0 3 7 156
Discrete time-series models when counts are unobservable 0 0 1 111 1 6 11 432
Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility 0 0 0 191 1 4 6 632
Distributional Preferences and the Extended Gini Measures of Inequality 0 0 0 0 0 4 5 811
Econometric Analysis of Structural Systems with Permanent and Transitory Shocks. Working paper #7 0 0 0 173 1 6 10 376
Estimating Stochastic Volatility Models Using a Discrete Non-linear Filter. Working paper #3 0 0 0 177 0 3 8 432
Estimating the Parameters of Stochastic Differential Equations by Monte Carlo Methods 0 0 0 2 0 2 2 894
Estimating the Payoffs of Temperature-based Weather Derivatives 0 0 0 103 0 4 6 357
Evaluating multivariate volatility forecasts 0 0 0 149 0 3 5 310
Forecasting day-ahead electricity load using a multiple equation time series approach 0 0 1 47 0 3 11 93
Isolating Cyclical Patterns in Irregular Time Series Data 0 0 0 0 0 2 3 570
It never rains but it pours: Modelling the persistence of spikes in electricity prices 0 0 0 163 1 3 6 382
Modeling directional (circular) time series 0 0 0 95 2 6 8 144
Modelling Stock Market Excess Returns by Markov Modulated Gaussian Noise 0 0 0 624 0 1 6 2,542
Modelling Structural Change in Money Demand Using a Fourier-Series Approximation 0 0 1 133 4 12 15 438
Modelling Wages and Prices in Australia 0 0 0 273 6 14 17 1,469
Modelling and forecasting wind drought 0 0 1 20 1 10 16 76
Modelling the Lifespan of Human T Lymphocyte Subsets 0 0 0 0 1 6 7 547
Momentum in Australian Stock Returns: An Update 0 0 1 166 0 1 6 337
On the Efficacy of Fourier Series Approximations for Pricing European and Digital Options 0 1 1 13 0 5 8 78
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 3 6 316
Seeing the wood for the trees: A critical evaluation of methods to estimate the parameters of stochastic differential equations 0 0 0 169 1 5 9 418
Selecting forecasting models for portfolio allocation 0 0 1 66 0 3 6 190
Teaching Financial Econometrics to Students Converting to Finance 1 2 12 36 2 12 37 79
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 3 9 11 549
Teaching an old dog new tricks: Improved estimation of the parameters of SDEs by numerical solution of the Fokker-Planck equation 0 0 0 171 1 8 11 577
Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity 0 0 0 172 1 12 15 525
Testing for Time Dependence in Parameters 0 0 0 52 1 2 4 264
Testing for nonlinearity in mean in the presence of heteroskedasticity 0 0 0 78 0 1 2 261
Testing for nonlinearity in mean in the presence of heteroskedasticity. Working paper #8 0 0 0 58 0 6 7 156
Testing for time-varying Granger causality 2 3 12 162 4 20 40 303
Testing the Profitability of Technical Analysis as a Portfolio Selection Strategy 0 0 1 238 0 2 6 798
The Bootstrap 0 0 0 0 2 8 15 53
The Devil is in the Detail: Hints for Practical Optimisation 0 0 0 68 0 4 5 136
The Empirical Size and Power of Some Tests for Detecting Autoregressive Conditional Heteroskedasticity in the Presence of Serial Correlation 0 0 0 0 0 3 4 392
The Generic Properties of Equilibrium Correction Mechanisms 0 0 0 35 0 5 5 237
Time Series Evidence of Global Warming 0 0 0 1 0 1 2 2,675
Transition from the Taylor rule to the zero lower bound 1 2 2 42 1 5 6 117
Unobservable Cyclical Components in Term Premia of Fixed- Term Financial Instruments 0 0 0 0 0 2 2 83
Total Working Papers 4 8 41 5,503 56 314 513 25,328

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 2 2 0 1 2 3
A Smooth Transition Logit Model of The Effects of Deregulation in the Electricity Market 0 0 2 23 0 4 9 99
A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions 0 1 1 65 1 6 11 330
An empirical investigation of herding in the U.S. stock market 0 0 0 42 1 10 13 152
Assessing the Informational Content of Official Australian Bureau of Meteorology Forecasts of Wind Speed 0 0 0 1 0 0 2 4
Asset pricing puzzles in finance: Introduction 0 0 0 194 0 1 2 421
Asymmetric Unemployment Rate Dynamics in Australia 0 0 0 58 2 9 15 252
Asymmetric price adjustment and the Phillips curve 0 0 0 71 2 6 7 190
Causality, Predictability and Monetary Targets in South Africa 0 0 0 5 0 2 3 25
Change Detection and the Causal Impact of the Yield Curve 2 3 3 24 6 19 26 91
Cointegration and Dynamic Time Series Models 0 0 0 0 0 3 6 1,231
Common trends and generalized purchasing power parity 0 0 0 14 0 6 7 49
Common trends in global volatility 0 0 0 17 0 3 9 97
Detecting Common Dynamics in Transitory Components 0 0 0 46 0 3 7 152
Dollar‐Deutschemark Polarisation: Comparing The Pound And Franc 0 0 0 16 0 12 16 262
Estimating a Non-parametric Memory Kernel for Mutually Exciting Point Processes* 0 0 0 0 0 2 6 7
Estimating the Parameters of Stochastic Volatility Models Using Option Price Data 0 0 2 22 3 8 13 74
Estimating the parameters of stochastic differential equations 0 0 1 10 2 7 11 51
Estimating the parameters of stochastic differential equations by Monte Carlo methods 1 1 1 14 2 4 4 51
Forecasting day-ahead electricity load using a multiple equation time series approach 0 1 3 15 1 6 14 93
Forecasting quantiles of day-ahead electricity load 0 1 1 10 2 3 4 61
Forecasting spikes in electricity prices 2 2 4 87 2 8 22 282
Geology or Economics? Testing Models of Irreversible Investment Using North Sea Oil Data 0 0 1 143 2 5 7 561
Housing networks and driving forces 0 0 0 5 4 7 11 32
Identifying aggregate demand and supply shocks in a small open economy 0 0 1 124 1 5 8 382
In Search of Time-Varying Term Premia in the London Interbank Market 0 0 0 0 0 0 2 89
Information Flow in Times of Crisis: The Case of the European Banking and Sovereign Sectors 0 0 0 7 1 3 3 40
Isolating cyclical patterns in irregular time-series data 0 0 0 1 2 5 9 31
It Never Rains but it Pours: Modeling the Persistence of Spikes in Electricity Prices 0 0 0 31 0 4 7 238
It Never Rains but it Pours: Modeling the Persistence of Spikes in Electricity Prices 0 0 0 0 1 6 12 12
Linearizations and Equilibrium Correction Models 0 0 0 36 0 3 4 151
Local Whittle estimation of the long-memory parameter 0 0 0 8 0 5 9 46
Measuring Attitudes Towards Inequality 0 0 2 199 97 237 521 1,297
Mixture distribution‐based forecasting using stochastic volatility models 0 0 0 0 0 3 4 8
Mobius-Like Mappings and Their Use in Kernel Density Estimation 0 0 0 41 0 3 4 105
Modeling Multi-horizon Electricity Demand Forecasts in Australia: A Term Structure Approach 0 0 1 2 1 4 7 11
Modelling Spikes in Electricity Prices 1 1 2 49 2 4 8 153
Modelling Wages and Prices in Australia 0 0 0 52 0 7 11 203
Modelling circular time series 0 0 2 10 2 9 19 43
Modelling interregional links in electricity price spikes 0 0 2 20 1 5 12 94
Modelling the Demand for M4 in the U.K 0 0 0 0 0 3 4 146
Momentum in Australian Stock Returns 0 1 4 25 2 5 13 91
On the Specification of the Drift and Diffusion Functions for Continuous‐time Models of the Spot Interest Rate 0 0 0 0 0 4 5 8
On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential Equations 2 2 5 164 2 4 11 385
Practitioner's Corner: Introduction 0 0 0 9 1 1 1 54
Revisiting the numerical solution of stochastic differential equations 0 0 0 0 0 4 4 19
Seasonality, Cointegration and Error Correction: An Illustration Using South African Monetary Data 0 0 0 0 2 4 6 90
Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations 0 0 0 35 0 4 11 110
Selecting volatility forecasting models for portfolio allocation purposes 0 0 1 33 1 5 11 137
Semi-Parametric Forecasting of Realized Volatility 0 0 0 52 0 4 5 164
Semi-parametric Forecasting of Spikes in Electricity Prices 0 0 1 8 0 9 14 64
Specification tests for univariate diffusions 0 0 0 0 1 4 7 9
Strategic bidding and rebidding in electricity markets 0 0 2 30 1 7 13 104
Testing Superexogeneity: The Demand for Broad Money in the UK 0 0 0 0 1 3 4 155
Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity 0 0 0 51 1 12 14 176
Testing for time-varying Granger causality 0 0 4 46 0 13 29 109
The BDS test of independence 1 2 4 70 7 13 22 180
The Devil is in the Detail: Hints for Practical Optimisation 0 0 0 64 0 5 6 176
The Effect of Transmission Constraints on Electricity Prices 0 0 1 29 1 2 4 105
The Effect of Transmission Constraints on Electricity Prices 0 1 1 4 2 9 17 22
The Long‐run Properties of the Demand for M3 in South Africa 0 0 0 21 0 3 7 74
The Money‐income Causality Debate in South Africa: Reply 0 0 0 6 0 0 1 34
The Term Structure of Interest Rates in the London Interbank Market 0 0 0 1 1 9 11 686
The dynamics of U.S. industrial production: A time-varying Granger causality perspective 2 3 8 11 5 18 33 43
Theory and Tests of Generalized Purchasing-Power Parity: Common Trends and Real Exchange Rates in the Pacific Rim 0 0 0 0 0 8 12 926
Transition from the Taylor rule to the zero lower bound 1 2 2 7 3 10 11 25
Unobservable cyclical components in term premia of fixed-term financial instruments 0 0 0 0 0 2 2 12
Using discrete-time techniques to test continuous-time models for nonlinearity in drift 0 0 0 1 0 5 8 25
Volatility transmission in global financial markets 0 0 2 72 1 7 12 198
“What good is a volatility model?” A reexamination after 20 years 0 0 2 26 0 6 13 59
Total Journal Articles 12 22 68 2,229 170 621 1,178 11,859
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 4 10 29 548
Econometric Modelling with Time Series 0 0 0 0 2 6 17 339
Environmental Econometrics Using Stata 1 2 10 162 3 8 27 299
Total Books 1 2 10 162 9 24 73 1,186

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 1 5 10 15
Total Chapters 0 0 2 3 1 5 10 15
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 5 9 55 899 12 56 198 2,604
WHITTLE: Stata module to compute long-memory parameter via Whittle method 0 0 0 33 0 1 7 122
Total Software Items 5 9 55 932 12 57 205 2,726

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Statistics updated 2026-03-04