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 0 5 19 153
A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market 0 0 1 100 0 2 11 152
A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market 0 0 0 56 1 6 12 183
A Spatial Econometric Analysis of the Effect of Vertical Restraints and Branding on Retail Gasoline Pricing 0 0 0 112 0 0 8 423
A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions 0 0 0 74 1 5 9 207
A semi-parametric point process model of the interactions between equity markets 0 0 0 34 0 1 13 58
A simple linear alternative to multiplicative error models with an application to trading volume 0 0 1 58 1 5 24 61
A smooth-transition model of the Australian unemployment rate 0 0 0 467 2 7 15 2,720
Asymmetric unemployment rate dynamics in Australia 0 0 0 78 1 4 14 254
Asymmetric unemployment rate dynamics in Australia 0 0 1 31 0 2 13 162
Asymmetric unemployment rate dynamics in Australia 0 0 0 38 0 3 17 235
Bank of England Intervention and the Structure of Interest Rates in the London Interbank Market 0 0 0 1 1 1 3 971
Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship 0 0 0 81 1 5 17 117
Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship 0 0 1 74 1 4 12 180
Change Detection and the Casual Impact of the Yield Curve 0 0 1 52 0 6 16 125
Detecting Common Dynamics in Transitory Components 0 0 0 81 0 7 8 185
Developing analytical distributions for temperature indices for the purposes of pricing temperature-based weather derivatives 0 0 0 52 1 4 9 160
Discrete time-series models when counts are unobservable 0 0 1 111 0 1 10 433
Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility 0 0 0 191 0 4 10 636
Distributional Preferences and the Extended Gini Measures of Inequality 0 0 0 0 2 6 10 817
Econometric Analysis of Structural Systems with Permanent and Transitory Shocks. Working paper #7 0 0 0 173 1 4 14 380
Estimating Stochastic Volatility Models Using a Discrete Non-linear Filter. Working paper #3 0 0 0 177 1 5 13 437
Estimating the Parameters of Stochastic Differential Equations by Monte Carlo Methods 0 0 0 2 1 6 8 900
Estimating the Payoffs of Temperature-based Weather Derivatives 0 0 0 103 0 0 6 357
Evaluating multivariate volatility forecasts 0 0 0 149 2 4 9 314
Forecasting day-ahead electricity load using a multiple equation time series approach 0 0 0 47 1 4 13 97
Isolating Cyclical Patterns in Irregular Time Series Data 0 0 0 0 1 7 10 577
It never rains but it pours: Modelling the persistence of spikes in electricity prices 0 0 0 163 1 5 11 387
Modeling directional (circular) time series 0 0 0 95 2 8 16 152
Modelling Stock Market Excess Returns by Markov Modulated Gaussian Noise 0 1 1 625 0 6 11 2,548
Modelling Structural Change in Money Demand Using a Fourier-Series Approximation 0 0 1 133 0 4 19 442
Modelling Wages and Prices in Australia 0 0 0 273 1 10 26 1,479
Modelling and forecasting wind drought 0 0 0 20 0 2 17 78
Modelling the Lifespan of Human T Lymphocyte Subsets 0 0 0 0 0 4 11 551
Momentum in Australian Stock Returns: An Update 0 0 1 166 0 1 5 338
On the Efficacy of Fourier Series Approximations for Pricing European and Digital Options 0 0 1 13 0 0 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 1 1 138 0 3 7 319
Seeing the wood for the trees: A critical evaluation of methods to estimate the parameters of stochastic differential equations 0 0 0 169 1 4 13 422
Selecting forecasting models for portfolio allocation 0 0 0 66 0 3 8 193
Teaching Financial Econometrics to Students Converting to Finance 1 1 8 37 3 5 33 84
Teaching an Old Dog New Tricks: Improved Estimation of the Parameters of Stochastic Differential Equations by Numerical Solution of the Fokker-Planck Equation 0 1 1 140 0 4 15 553
Teaching an old dog new tricks: Improved estimation of the parameters of SDEs by numerical solution of the Fokker-Planck equation 0 3 3 174 1 7 18 584
Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity 0 0 0 172 1 5 20 530
Testing for Time Dependence in Parameters 0 0 0 52 1 1 5 265
Testing for nonlinearity in mean in the presence of heteroskedasticity 0 0 0 78 0 0 2 261
Testing for nonlinearity in mean in the presence of heteroskedasticity. Working paper #8 0 0 0 58 0 0 7 156
Testing for time-varying Granger causality 0 1 13 163 3 9 44 312
Testing the Profitability of Technical Analysis as a Portfolio Selection Strategy 0 0 1 238 0 1 6 799
The Bootstrap 0 0 0 0 0 4 17 57
The Devil is in the Detail: Hints for Practical Optimisation 0 0 0 68 1 2 7 138
The Empirical Size and Power of Some Tests for Detecting Autoregressive Conditional Heteroskedasticity in the Presence of Serial Correlation 0 0 0 0 0 1 5 393
The Generic Properties of Equilibrium Correction Mechanisms 0 0 0 35 1 3 8 240
Time Series Evidence of Global Warming 0 0 0 1 0 2 4 2,677
Transition from the Taylor rule to the zero lower bound 0 0 2 42 0 2 8 119
Unobservable Cyclical Components in Term Premia of Fixed- Term Financial Instruments 0 0 0 0 0 2 4 85
Total Working Papers 1 8 39 5,511 35 206 678 25,534

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 0 2 2 0 0 2 3
A Smooth Transition Logit Model of The Effects of Deregulation in the Electricity Market 0 0 1 23 1 6 14 105
A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions 0 1 2 66 1 7 17 337
An empirical investigation of herding in the U.S. stock market 0 1 1 43 1 13 25 165
Assessing the Informational Content of Official Australian Bureau of Meteorology Forecasts of Wind Speed 0 0 0 1 0 3 4 7
Asset pricing puzzles in finance: Introduction 0 0 0 194 0 2 4 423
Asymmetric Unemployment Rate Dynamics in Australia 0 0 0 58 0 3 16 255
Asymmetric price adjustment and the Phillips curve 0 0 0 71 1 1 8 191
Causality, Predictability and Monetary Targets in South Africa 0 1 1 6 0 1 4 26
Change Detection and the Causal Impact of the Yield Curve 0 0 3 24 4 10 35 101
Cointegration and Dynamic Time Series Models 0 0 0 0 0 3 9 1,234
Common trends and generalized purchasing power parity 0 0 0 14 0 0 7 49
Common trends in global volatility 0 0 0 17 0 2 11 99
Detecting Common Dynamics in Transitory Components 0 0 0 46 0 1 8 153
Dollar‐Deutschemark Polarisation: Comparing The Pound And Franc 0 0 0 16 0 5 19 267
Estimating a Non-parametric Memory Kernel for Mutually Exciting Point Processes* 0 0 0 0 1 3 9 10
Estimating the Parameters of Stochastic Volatility Models Using Option Price Data 0 1 2 23 0 7 19 81
Estimating the parameters of stochastic differential equations 0 0 0 10 0 3 13 54
Estimating the parameters of stochastic differential equations by Monte Carlo methods 0 0 1 14 0 3 7 54
Forecasting day-ahead electricity load using a multiple equation time series approach 0 1 4 16 2 10 22 103
Forecasting quantiles of day-ahead electricity load 0 1 2 11 1 4 8 65
Forecasting spikes in electricity prices 0 1 5 88 3 7 26 289
Geology or Economics? Testing Models of Irreversible Investment Using North Sea Oil Data 0 0 1 143 2 2 8 563
Housing networks and driving forces 0 0 0 5 1 2 10 34
Identifying aggregate demand and supply shocks in a small open economy 0 0 0 124 0 4 11 386
In Search of Time-Varying Term Premia in the London Interbank Market 0 0 0 0 0 1 3 90
Information Flow in Times of Crisis: The Case of the European Banking and Sovereign Sectors 0 0 0 7 2 4 7 44
Isolating cyclical patterns in irregular time-series data 0 0 0 1 0 3 11 34
It Never Rains but it Pours: Modeling the Persistence of Spikes in Electricity Prices 0 0 0 0 2 9 21 21
Linearizations and Equilibrium Correction Models 0 0 0 36 1 4 8 155
Local Whittle estimation of the long-memory parameter 0 0 0 8 1 3 12 49
Measuring Attitudes Towards Inequality 0 0 2 199 1 33 518 1,330
Mixture distribution‐based forecasting using stochastic volatility models 0 0 0 0 2 5 9 13
Mobius-Like Mappings and Their Use in Kernel Density Estimation 0 0 0 41 1 1 5 106
Modeling Multi-horizon Electricity Demand Forecasts in Australia: A Term Structure Approach 0 0 1 2 1 2 9 13
Modelling Spikes in Electricity Prices 0 0 1 49 1 1 7 154
Modelling Wages and Prices in Australia 0 0 0 52 1 5 16 208
Modelling circular time series 1 3 4 13 2 9 25 52
Modelling interregional links in electricity price spikes 0 0 0 20 1 4 13 98
Modelling the Demand for M4 in the U.K 0 0 0 0 0 3 7 149
Momentum in Australian Stock Returns 0 0 2 25 0 5 15 96
On the Specification of the Drift and Diffusion Functions for Continuous‐time Models of the Spot Interest Rate 0 0 0 0 0 1 6 9
On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential Equations 0 0 3 164 1 5 14 390
Practitioner's Corner: Introduction 0 0 0 9 0 4 5 58
Revisiting the numerical solution of stochastic differential equations 0 0 0 0 0 4 8 23
Seasonality, Cointegration and Error Correction: An Illustration Using South African Monetary Data 0 0 0 0 0 0 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 14 114
Selecting volatility forecasting models for portfolio allocation purposes 0 0 0 33 0 3 13 140
Semi-Parametric Forecasting of Realized Volatility 0 1 1 53 1 3 8 167
Semi-parametric Forecasting of Spikes in Electricity Prices 0 0 1 8 0 1 15 65
Specification tests for univariate diffusions 0 0 0 0 0 2 9 11
Strategic bidding and rebidding in electricity markets 0 0 2 30 1 5 16 109
Testing Superexogeneity: The Demand for Broad Money in the UK 0 0 0 0 0 3 7 158
Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity 0 0 0 51 1 1 15 177
Testing for time-varying Granger causality 0 1 3 47 1 5 28 114
The BDS test of independence 0 1 4 71 6 11 28 191
The Devil is in the Detail: Hints for Practical Optimisation 0 0 0 64 0 3 9 179
The Effect of Transmission Constraints on Electricity Prices 1 2 3 6 1 5 21 27
The Long‐run Properties of the Demand for M3 in South Africa 0 0 0 21 1 2 9 76
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 4 15 690
The dynamics of U.S. industrial production: A time-varying Granger causality perspective 0 1 7 12 1 6 35 49
Theory and Tests of Generalized Purchasing-Power Parity: Common Trends and Real Exchange Rates in the Pacific Rim 0 0 0 0 2 5 17 931
Transition from the Taylor rule to the zero lower bound 0 0 2 7 2 8 19 33
Unobservable cyclical components in term premia of fixed-term financial instruments 0 0 0 0 0 0 2 12
Using discrete-time techniques to test continuous-time models for nonlinearity in drift 0 0 0 1 0 3 11 28
Volatility transmission in global financial markets 0 0 1 72 0 1 12 199
“What good is a volatility model?” A reexamination after 20 years 1 1 3 27 2 4 15 63
Total Journal Articles 3 17 65 2,186 55 287 1,360 11,803
3 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 6 18 345
Econometric Modelling with Time Series 0 0 0 0 0 8 32 556
Environmental Econometrics Using Stata 2 3 10 165 3 5 27 304
Total Books 2 3 10 165 3 19 77 1,205

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 0 3 0 4 10 19
Total Chapters 0 0 0 3 0 4 10 19
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 11 47 910 15 49 186 2,653
WHITTLE: Stata module to compute long-memory parameter via Whittle method 0 0 0 33 1 1 6 123
Total Software Items 4 11 47 943 16 50 192 2,776

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Statistics updated 2026-06-04