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 4 19 153
A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market 1 1 1 57 2 7 14 185
A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market 0 0 1 100 1 3 12 153
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 2 7 11 209
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 0 5 24 61
A smooth-transition model of the Australian unemployment rate 0 0 0 467 1 7 16 2,721
Asymmetric unemployment rate dynamics in Australia 0 0 1 31 0 1 12 162
Asymmetric unemployment rate dynamics in Australia 0 0 0 38 0 2 17 235
Asymmetric unemployment rate dynamics in Australia 0 0 0 78 0 3 13 254
Bank of England Intervention and the Structure of Interest Rates in the London Interbank Market 0 0 0 1 0 1 3 971
Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship 0 0 1 74 1 3 13 181
Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship 0 0 0 81 1 4 17 118
Change Detection and the Casual Impact of the Yield Curve 0 0 1 52 1 6 17 126
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 0 4 8 160
Discrete time-series models when counts are unobservable 0 0 0 111 0 1 9 433
Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility 0 0 0 191 0 2 10 636
Distributional Preferences and the Extended Gini Measures of Inequality 0 0 0 0 0 4 10 817
Econometric Analysis of Structural Systems with Permanent and Transitory Shocks. Working paper #7 1 1 1 174 1 5 15 381
Estimating Stochastic Volatility Models Using a Discrete Non-linear Filter. Working paper #3 0 0 0 177 0 5 13 437
Estimating the Parameters of Stochastic Differential Equations by Monte Carlo Methods 0 0 0 2 0 3 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 0 3 9 314
Forecasting day-ahead electricity load using a multiple equation time series approach 0 0 0 47 3 6 16 100
Isolating Cyclical Patterns in Irregular Time Series Data 0 0 0 0 0 7 10 577
It never rains but it pours: Modelling the persistence of spikes in electricity prices 0 0 0 163 1 6 12 388
Modeling directional (circular) time series 1 1 1 96 1 8 17 153
Modelling Stock Market Excess Returns by Markov Modulated Gaussian Noise 0 1 1 625 1 6 12 2,549
Modelling Structural Change in Money Demand Using a Fourier-Series Approximation 0 0 1 133 1 1 20 443
Modelling Wages and Prices in Australia 0 0 0 273 0 7 26 1,479
Modelling and forecasting wind drought 0 0 0 20 1 2 18 79
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 1 2 6 339
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 0 1 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 14 423
Selecting forecasting models for portfolio allocation 0 0 0 66 1 2 9 194
Teaching Financial Econometrics to Students Converting to Finance 1 2 9 38 1 5 32 85
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 1 3 15 554
Teaching an old dog new tricks: Improved estimation of the parameters of SDEs by numerical solution of the Fokker-Planck equation 0 1 3 174 1 5 19 585
Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity 0 0 0 172 0 5 20 530
Testing for Time Dependence in Parameters 0 0 0 52 0 1 5 265
Testing for nonlinearity in mean in the presence of heteroskedasticity 0 0 0 78 1 1 3 262
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 11 163 1 6 43 313
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 3 17 57
The Devil is in the Detail: Hints for Practical Optimisation 0 0 0 68 0 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 0 2 8 240
Time Series Evidence of Global Warming 0 0 0 1 1 3 5 2,678
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 4 9 40 5,515 27 186 695 25,561

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 0 6 14 105
A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions 0 0 2 66 0 6 17 337
An empirical investigation of herding in the U.S. stock market 0 1 1 43 3 11 28 168
Assessing the Informational Content of Official Australian Bureau of Meteorology Forecasts of Wind Speed 0 0 0 1 0 2 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 0 16 255
Asymmetric price adjustment and the Phillips curve 0 0 0 71 0 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 1 11 35 102
Cointegration and Dynamic Time Series Models 0 0 0 0 0 2 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 1 10 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 4 10 11
Estimating the Parameters of Stochastic Volatility Models Using Option Price Data 0 0 2 23 0 1 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 1 4 8 55
Forecasting day-ahead electricity load using a multiple equation time series approach 1 2 5 17 1 10 23 104
Forecasting quantiles of day-ahead electricity load 0 1 2 11 0 4 8 65
Forecasting spikes in electricity prices 1 1 6 89 5 11 30 294
Geology or Economics? Testing Models of Irreversible Investment Using North Sea Oil Data 0 0 1 143 1 3 9 564
Housing networks and driving forces 0 0 0 5 0 2 10 34
Identifying aggregate demand and supply shocks in a small open economy 0 0 0 124 1 4 12 387
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 0 2 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 1 1 1 1 1 10 22 22
Linearizations and Equilibrium Correction Models 0 0 0 36 0 4 8 155
Local Whittle estimation of the long-memory parameter 0 0 0 8 0 1 12 49
Measuring Attitudes Towards Inequality 0 0 2 199 0 16 483 1,330
Mixture distribution‐based forecasting using stochastic volatility models 0 0 0 0 1 6 10 14
Mobius-Like Mappings and Their Use in Kernel Density Estimation 0 0 0 41 0 1 5 106
Modeling Multi-horizon Electricity Demand Forecasts in Australia: A Term Structure Approach 0 0 1 2 0 2 7 13
Modelling Spikes in Electricity Prices 0 0 1 49 1 2 8 155
Modelling Wages and Prices in Australia 0 0 0 52 0 5 16 208
Modelling circular time series 0 1 4 13 3 7 27 55
Modelling interregional links in electricity price spikes 0 0 0 20 0 4 12 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 1 3 16 97
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 1 1 4 165 2 5 16 392
Practitioner's Corner: Introduction 0 0 0 9 0 3 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 1 2 15 115
Selecting volatility forecasting models for portfolio allocation purposes 0 0 0 33 0 3 13 140
Semi-Parametric Forecasting of Realized Volatility 0 0 1 53 1 3 9 168
Semi-parametric Forecasting of Spikes in Electricity Prices 0 0 1 8 0 1 14 65
Specification tests for univariate diffusions 0 0 0 0 0 2 9 11
Strategic bidding and rebidding in electricity markets 1 1 3 31 4 7 20 113
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 0 1 15 177
Testing for time-varying Granger causality 0 0 2 47 1 3 28 115
The BDS test of independence 0 1 4 71 0 10 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 0 2 3 6 0 3 20 27
The Long‐run Properties of the Demand for M3 in South Africa 0 0 0 21 0 1 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 5 16 691
The dynamics of U.S. industrial production: A time-varying Granger causality perspective 1 1 7 13 1 4 35 50
Theory and Tests of Generalized Purchasing-Power Parity: Common Trends and Real Exchange Rates in the Pacific Rim 0 0 0 0 0 5 17 931
Transition from the Taylor rule to the zero lower bound 0 0 2 7 0 7 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 2 10 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 0 1 3 27 0 4 15 63
Total Journal Articles 6 15 69 2,192 32 248 1,345 11,835
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 4 16 345
Econometric Modelling with Time Series 0 0 0 0 2 8 31 558
Environmental Econometrics Using Stata 0 3 10 165 1 5 27 305
Total Books 0 3 10 165 3 17 74 1,208

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 1 10 19
Total Chapters 0 0 0 3 0 1 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 2 11 44 912 7 42 180 2,660
WHITTLE: Stata module to compute long-memory parameter via Whittle method 0 0 0 33 1 2 6 124
Total Software Items 2 11 44 945 8 44 186 2,784

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Statistics updated 2026-07-10