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 1 1 51 0 1 18 154
A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market 0 0 1 57 1 2 16 187
A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market 0 0 1 100 1 3 14 156
A Spatial Econometric Analysis of the Effect of Vertical Restraints and Branding on Retail Gasoline Pricing 0 0 0 112 0 1 9 424
A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions 0 0 0 74 0 0 11 209
A semi-parametric point process model of the interactions between equity markets 0 0 0 34 1 1 12 59
A simple linear alternative to multiplicative error models with an application to trading volume 0 0 0 58 1 1 22 62
A smooth-transition model of the Australian unemployment rate 0 0 0 467 1 1 16 2,722
Asymmetric unemployment rate dynamics in Australia 0 0 0 38 0 0 17 235
Asymmetric unemployment rate dynamics in Australia 0 0 0 78 0 2 15 256
Asymmetric unemployment rate dynamics in Australia 0 0 1 31 0 0 11 162
Bank of England Intervention and the Structure of Interest Rates in the London Interbank Market 0 0 0 1 0 0 3 971
Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship 0 0 1 74 0 0 13 181
Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship 0 0 0 81 1 3 19 121
Change Detection and the Casual Impact of the Yield Curve 0 0 0 52 2 4 20 130
Detecting Common Dynamics in Transitory Components 0 0 0 81 0 1 9 186
Developing analytical distributions for temperature indices for the purposes of pricing temperature-based weather derivatives 0 0 0 52 1 2 10 162
Discrete time-series models when counts are unobservable 0 0 0 111 1 1 10 434
Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility 0 0 0 191 0 0 9 636
Distributional Preferences and the Extended Gini Measures of Inequality 0 0 0 0 0 0 10 817
Econometric Analysis of Structural Systems with Permanent and Transitory Shocks. Working paper #7 0 0 1 174 0 1 16 382
Estimating Stochastic Volatility Models Using a Discrete Non-linear Filter. Working paper #3 0 0 0 177 0 0 11 437
Estimating the Parameters of Stochastic Differential Equations by Monte Carlo Methods 0 0 0 2 0 0 8 900
Estimating the Payoffs of Temperature-based Weather Derivatives 0 0 0 103 0 1 7 358
Evaluating multivariate volatility forecasts 0 0 0 149 0 0 8 314
Forecasting day-ahead electricity load using a multiple equation time series approach 0 0 0 47 4 5 20 105
Isolating Cyclical Patterns in Irregular Time Series Data 0 0 0 0 0 0 10 577
It never rains but it pours: Modelling the persistence of spikes in electricity prices 0 0 0 163 1 4 14 392
Modeling directional (circular) time series 0 2 3 98 1 4 21 157
Modelling Stock Market Excess Returns by Markov Modulated Gaussian Noise 0 0 1 625 0 0 10 2,549
Modelling Structural Change in Money Demand Using a Fourier-Series Approximation 0 0 0 133 0 0 19 443
Modelling Wages and Prices in Australia 0 0 0 273 0 1 27 1,480
Modelling and forecasting wind drought 0 0 0 20 0 0 18 79
Modelling the Lifespan of Human T Lymphocyte Subsets 0 0 0 0 0 0 11 551
Momentum in Australian Stock Returns: An Update 0 0 0 166 1 3 8 342
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 0 1 138 1 1 8 320
Seeing the wood for the trees: A critical evaluation of methods to estimate the parameters of stochastic differential equations 0 0 0 169 0 0 13 423
Selecting forecasting models for portfolio allocation 0 0 0 66 0 1 10 195
Teaching Financial Econometrics to Students Converting to Finance 0 0 4 38 0 1 21 86
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 1 140 1 3 17 557
Teaching an old dog new tricks: Improved estimation of the parameters of SDEs by numerical solution of the Fokker-Planck equation 0 0 3 174 0 0 19 585
Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity 0 0 0 172 0 0 19 530
Testing for Time Dependence in Parameters 0 0 0 52 1 1 6 266
Testing for nonlinearity in mean in the presence of heteroskedasticity 0 0 0 78 0 1 4 263
Testing for nonlinearity in mean in the presence of heteroskedasticity. Working paper #8 0 0 0 58 1 1 8 157
Testing for time-varying Granger causality 1 1 9 164 3 6 43 319
Testing the Profitability of Technical Analysis as a Portfolio Selection Strategy 0 0 0 238 1 1 5 800
The Bootstrap 0 0 0 0 1 1 15 58
The Devil is in the Detail: Hints for Practical Optimisation 0 0 0 68 0 0 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 0 5 393
The Generic Properties of Equilibrium Correction Mechanisms 0 0 0 35 0 0 8 240
Time Series Evidence of Global Warming 0 0 0 1 1 1 6 2,679
Transition from the Taylor rule to the zero lower bound 0 0 2 42 0 1 9 120
Unobservable Cyclical Components in Term Premia of Fixed- Term Financial Instruments 0 0 0 0 0 0 4 85
Total Working Papers 1 4 31 5,519 27 61 707 25,622

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 1 1 3 4
A Smooth Transition Logit Model of The Effects of Deregulation in the Electricity Market 0 0 1 23 0 1 13 106
A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions 0 0 2 66 1 5 20 342
An empirical investigation of herding in the U.S. stock market 0 0 1 43 0 1 29 169
Assessing the Informational Content of Official Australian Bureau of Meteorology Forecasts of Wind Speed 0 0 0 1 0 2 6 9
Asset pricing puzzles in finance: Introduction 0 0 0 194 1 2 6 425
Asymmetric Unemployment Rate Dynamics in Australia 0 0 0 58 0 1 14 256
Asymmetric price adjustment and the Phillips curve 0 0 0 71 0 1 9 192
Causality, Predictability and Monetary Targets in South Africa 0 0 1 6 0 0 4 26
Change Detection and the Causal Impact of the Yield Curve 0 0 3 24 1 4 36 106
Cointegration and Dynamic Time Series Models 0 0 0 0 0 1 10 1,235
Common trends and generalized purchasing power parity 0 0 0 14 0 2 9 51
Common trends in global volatility 0 0 0 17 0 2 10 101
Detecting Common Dynamics in Transitory Components 0 0 0 46 0 1 8 154
Dollar‐Deutschemark Polarisation: Comparing The Pound And Franc 0 0 0 16 0 0 18 267
Estimating a Non-parametric Memory Kernel for Mutually Exciting Point Processes* 0 0 0 0 1 1 10 12
Estimating the Parameters of Stochastic Volatility Models Using Option Price Data 0 0 1 23 0 0 18 81
Estimating the parameters of stochastic differential equations 0 0 0 10 0 0 13 54
Estimating the parameters of stochastic differential equations by Monte Carlo methods 0 0 1 14 0 1 9 56
Forecasting day-ahead electricity load using a multiple equation time series approach 0 0 4 17 1 1 19 105
Forecasting quantiles of day-ahead electricity load 0 0 2 11 1 2 9 67
Forecasting spikes in electricity prices 0 3 9 92 1 16 42 310
Geology or Economics? Testing Models of Irreversible Investment Using North Sea Oil Data 0 0 1 143 1 1 10 565
Housing networks and driving forces 0 0 0 5 0 0 10 34
Identifying aggregate demand and supply shocks in a small open economy 0 0 0 124 1 1 13 388
In Search of Time-Varying Term Premia in the London Interbank Market 0 0 0 0 0 1 3 91
Information Flow in Times of Crisis: The Case of the European Banking and Sovereign Sectors 0 0 0 7 0 1 8 45
Isolating cyclical patterns in irregular time-series data 0 0 0 1 1 1 12 35
It Never Rains but it Pours: Modeling the Persistence of Spikes in Electricity Prices 1 1 2 2 1 3 25 25
Linearizations and Equilibrium Correction Models 0 0 0 36 1 1 9 156
Local Whittle estimation of the long-memory parameter 0 0 0 8 0 1 11 50
Measuring Attitudes Towards Inequality 0 1 2 200 0 2 331 1,332
Mixture distribution‐based forecasting using stochastic volatility models 0 0 0 0 0 1 10 15
Mobius-Like Mappings and Their Use in Kernel Density Estimation 0 0 0 41 0 2 7 108
Modeling Multi-horizon Electricity Demand Forecasts in Australia: A Term Structure Approach 0 0 0 2 2 2 8 15
Modelling Spikes in Electricity Prices 0 0 1 49 0 0 7 155
Modelling Wages and Prices in Australia 0 0 0 52 0 0 15 208
Modelling circular time series 0 2 6 15 0 3 29 58
Modelling interregional links in electricity price spikes 1 1 1 21 2 3 15 101
Modelling the Demand for M4 in the U.K 0 0 0 0 0 1 8 150
Momentum in Australian Stock Returns 0 0 1 25 0 0 12 97
On the Specification of the Drift and Diffusion Functions for Continuous‐time Models of the Spot Interest Rate 0 0 0 0 1 1 6 10
On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential Equations 0 1 4 166 0 1 16 393
Practitioner's Corner: Introduction 0 0 0 9 0 1 6 59
Revisiting the numerical solution of stochastic differential equations 0 0 0 0 0 1 9 24
Seasonality, Cointegration and Error Correction: An Illustration Using South African Monetary Data 0 0 0 0 0 0 5 90
Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations 0 0 0 35 1 2 13 117
Selecting volatility forecasting models for portfolio allocation purposes 0 0 0 33 0 0 12 140
Semi-Parametric Forecasting of Realized Volatility 0 0 1 53 0 0 9 168
Semi-parametric Forecasting of Spikes in Electricity Prices 1 1 2 9 1 1 13 66
Specification tests for univariate diffusions 0 0 0 0 0 0 8 11
Strategic bidding and rebidding in electricity markets 0 0 2 31 1 2 21 115
Testing Superexogeneity: The Demand for Broad Money in the UK 0 0 0 0 0 1 7 159
Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity 1 1 1 52 2 2 17 179
Testing for time-varying Granger causality 0 0 1 47 2 5 28 120
The BDS test of independence 0 1 5 72 1 2 29 193
The Devil is in the Detail: Hints for Practical Optimisation 0 0 0 64 0 0 8 179
The Effect of Transmission Constraints on Electricity Prices 0 0 3 6 0 1 18 28
The Long‐run Properties of the Demand for M3 in South Africa 0 0 0 21 1 1 8 77
The Money‐income Causality Debate in South Africa: Reply 0 0 0 6 1 2 3 36
The Term Structure of Interest Rates in the London Interbank Market 0 0 0 1 1 1 17 692
The dynamics of U.S. industrial production: A time-varying Granger causality perspective 0 1 7 14 0 2 30 52
Theory and Tests of Generalized Purchasing-Power Parity: Common Trends and Real Exchange Rates in the Pacific Rim 0 0 0 0 1 3 17 934
Transition from the Taylor rule to the zero lower bound 0 0 2 7 1 1 20 34
Unobservable cyclical components in term premia of fixed-term financial instruments 0 0 0 0 0 1 3 13
Using discrete-time techniques to test continuous-time models for nonlinearity in drift 0 0 0 1 0 0 10 28
Volatility transmission in global financial markets 0 0 1 72 0 0 10 199
“What good is a volatility model?” A reexamination after 20 years 0 0 3 27 0 2 15 65
Total Journal Articles 4 13 73 2,205 31 102 1,216 11,937
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 1 2 14 347
Econometric Modelling with Time Series 0 0 0 0 0 2 25 560
Environmental Econometrics Using Stata 0 0 8 165 0 2 23 307
Total Books 0 0 8 165 1 6 62 1,214

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 0 10 19
Total Chapters 0 0 0 3 0 0 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 6 11 42 923 14 27 170 2,687
WHITTLE: Stata module to compute long-memory parameter via Whittle method 0 0 0 33 3 4 9 128
Total Software Items 6 11 42 956 17 31 179 2,815

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Statistics updated 2026-10-11