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 49 0 0 2 131
A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market 0 0 0 56 0 0 0 169
A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market 0 0 2 99 0 0 5 140
A Spatial Econometric Analysis of the Effect of Vertical Restraints and Branding on Retail Gasoline Pricing 0 0 1 111 0 0 2 408
A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions 0 0 0 74 0 0 1 197
A semi-parametric point process model of the interactions between equity markets 0 0 0 34 0 0 0 44
A simple linear alternative to multiplicative error models with an application to trading volume 0 0 1 57 0 0 3 34
A smooth-transition model of the Australian unemployment rate 0 1 2 467 0 1 2 2,703
Asymmetric unemployment rate dynamics in Australia 0 0 0 30 0 0 1 147
Asymmetric unemployment rate dynamics in Australia 0 0 0 38 1 1 7 216
Asymmetric unemployment rate dynamics in Australia 0 0 0 78 0 0 0 239
Bank of England Intervention and the Structure of Interest Rates in the London Interbank Market 0 0 0 1 0 0 0 968
Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship 0 2 11 73 0 4 19 164
Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship 0 1 2 80 0 1 5 97
Change Detection and the Casual Impact of the Yield Curve 0 0 0 49 0 0 2 104
Detecting Common Dynamics in Transitory Components 0 0 0 81 0 0 1 176
Developing analytical distributions for temperature indices for the purposes of pricing temperature-based weather derivatives 0 0 1 52 0 0 1 147
Discrete time-series models when counts are unobservable 0 0 0 109 0 0 2 420
Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility 0 0 0 190 0 0 0 623
Distributional Preferences and the Extended Gini Measures of Inequality 0 0 0 0 0 0 2 806
Econometric Analysis of Structural Systems with Permanent and Transitory Shocks. Working paper #7 0 0 0 172 0 0 2 364
Estimating Stochastic Volatility Models Using a Discrete Non-linear Filter. Working paper #3 0 1 7 175 0 1 9 420
Estimating the Parameters of Stochastic Differential Equations by Monte Carlo Methods 0 0 0 2 0 1 4 891
Estimating the Payoffs of Temperature-based Weather Derivatives 0 0 0 103 0 1 2 348
Evaluating multivariate volatility forecasts 0 0 1 149 0 0 1 305
Forecasting day-ahead electricity load using a multiple equation time series approach 0 1 1 45 0 1 1 79
Isolating Cyclical Patterns in Irregular Time Series Data 0 0 0 0 0 0 0 566
It never rains but it pours: Modelling the persistence of spikes in electricity prices 0 0 0 162 0 0 0 375
Modeling directional (circular) time series 1 1 4 92 1 1 6 131
Modelling Stock Market Excess Returns by Markov Modulated Gaussian Noise 0 0 1 624 0 0 5 2,535
Modelling Structural Change in Money Demand Using a Fourier-Series Approximation 0 0 0 131 0 0 0 422
Modelling Wages and Prices in Australia 0 0 0 273 0 0 3 1,450
Modelling and forecasting wind drought 0 0 0 17 0 0 7 54
Modelling the Lifespan of Human T Lymphocyte Subsets 0 0 0 0 0 0 0 539
Momentum in Australian Stock Returns: An Update 0 0 0 165 0 0 2 331
On the Efficacy of Fourier Series Approximations for Pricing European and Digital Options 0 0 0 12 0 0 0 70
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 0 2 309
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 2 408
Selecting forecasting models for portfolio allocation 0 0 0 65 0 0 2 184
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 1 138 0 1 6 536
Teaching an old dog new tricks: Improved estimation of the parameters of SDEs by numerical solution of the Fokker-Planck equation 0 0 0 170 0 0 2 563
Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity 0 0 0 172 0 0 0 510
Testing for Time Dependence in Parameters 0 0 0 52 0 0 4 260
Testing for nonlinearity in mean in the presence of heteroskedasticity 0 0 0 78 0 0 0 259
Testing for nonlinearity in mean in the presence of heteroskedasticity. Working paper #8 0 0 0 58 0 0 0 149
Testing for time-varying Granger causality 1 10 51 130 3 21 93 220
Testing the Profitability of Technical Analysis as a Portfolio Selection Strategy 0 0 2 237 0 1 4 789
The Bootstrap 0 0 0 0 2 2 11 33
The Devil is in the Detail: Hints for Practical Optimisation 0 0 0 68 0 0 0 129
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 0 388
The Generic Properties of Equilibrium Correction Mechanisms 0 0 0 35 0 0 0 230
Time Series Evidence of Global Warming 0 0 0 1 0 0 1 2,673
Transition from the Taylor rule to the zero lower bound 2 2 3 40 4 4 8 110
Unobservable Cyclical Components in Term Premia of Fixed- Term Financial Instruments 0 0 0 0 0 0 0 81
Total Working Papers 4 19 91 5,400 11 41 232 24,644


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Smooth Transition Logit Model of The Effects of Deregulation in the Electricity Market 0 0 1 21 0 0 2 89
A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions 0 0 0 64 0 1 6 311
An empirical investigation of herding in the U.S. stock market 0 0 0 41 0 1 2 134
Assessing the Informational Content of Official Australian Bureau of Meteorology Forecasts of Wind Speed 0 0 0 1 0 0 0 2
Asset pricing puzzles in finance: Introduction 0 0 0 194 0 0 0 419
Asymmetric Unemployment Rate Dynamics in Australia 0 0 0 57 0 0 1 235
Asymmetric price adjustment and the Phillips curve 0 0 2 71 0 0 3 182
Causality, Predictability and Monetary Targets in South Africa 0 0 0 5 0 0 0 22
Change Detection and the Causal Impact of the Yield Curve 0 0 2 18 1 3 7 60
Cointegration and Dynamic Time Series Models 0 0 0 0 1 3 5 1,220
Common trends and generalized purchasing power parity 0 0 1 14 0 0 2 40
Common trends in global volatility 0 0 0 17 0 0 2 87
Detecting Common Dynamics in Transitory Components 0 0 0 46 0 0 0 144
Dollar‐Deutschemark Polarisation: Comparing The Pound And Franc 0 0 0 15 0 0 1 244
Estimating the Parameters of Stochastic Volatility Models Using Option Price Data 1 1 1 19 1 4 5 57
Estimating the parameters of stochastic differential equations 0 0 0 9 0 0 0 40
Estimating the parameters of stochastic differential equations by Monte Carlo methods 0 0 1 13 0 1 5 47
Forecasting day-ahead electricity load using a multiple equation time series approach 0 0 0 11 0 2 5 74
Forecasting quantiles of day-ahead electricity load 0 0 1 9 0 0 2 53
Forecasting spikes in electricity prices 0 0 0 83 1 2 2 255
Geology or Economics? Testing Models of Irreversible Investment Using North Sea Oil Data 0 0 1 142 0 0 3 553
Housing networks and driving forces 0 1 3 5 0 1 4 20
Identifying aggregate demand and supply shocks in a small open economy 0 1 2 122 0 2 5 368
In Search of Time-Varying Term Premia in the London Interbank Market 0 0 0 0 0 0 1 87
Information Flow in Times of Crisis: The Case of the European Banking and Sovereign Sectors 0 0 0 7 0 0 1 37
Isolating cyclical patterns in irregular time-series data 0 0 0 1 0 0 0 22
It Never Rains but it Pours: Modeling the Persistence of Spikes in Electricity Prices 0 1 1 29 0 2 3 229
Linearizations and Equilibrium Correction Models 0 0 1 36 0 0 1 147
Local Whittle estimation of the long-memory parameter 0 0 0 8 0 1 2 37
Measuring Attitudes Towards Inequality 1 2 5 195 2 3 8 770
Mixture distribution‐based forecasting using stochastic volatility models 0 0 0 0 0 0 0 2
Mobius-Like Mappings and Their Use in Kernel Density Estimation 0 0 1 41 0 0 1 101
Modelling Spikes in Electricity Prices 0 2 3 46 0 2 6 142
Modelling Wages and Prices in Australia 0 0 0 51 1 1 2 191
Modelling interregional links in electricity price spikes 0 1 2 17 0 1 5 81
Modelling the Demand for M4 in the U.K 0 0 0 0 0 0 1 141
Momentum in Australian Stock Returns 0 0 2 18 0 2 7 73
On the Specification of the Drift and Diffusion Functions for Continuous‐time Models of the Spot Interest Rate 0 0 0 0 0 0 0 2
On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential Equations 1 1 4 156 1 2 11 368
Practitioner's Corner: Introduction 0 0 0 9 0 0 0 52
Revisiting the numerical solution of stochastic differential equations 0 0 0 0 1 1 1 12
Seasonality, Cointegration and Error Correction: An Illustration Using South African Monetary Data 0 0 0 0 0 0 0 84
Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations 0 0 0 35 0 0 1 98
Selecting volatility forecasting models for portfolio allocation purposes 0 0 3 32 0 0 8 123
Semi-Parametric Forecasting of Realized Volatility 0 0 1 50 0 0 1 154
Semi-parametric Forecasting of Spikes in Electricity Prices 0 0 1 7 0 0 2 48
Specification tests for univariate diffusions 0 0 0 0 0 0 1 1
Strategic bidding and rebidding in electricity markets 0 0 3 24 1 1 8 84
Testing Superexogeneity: The Demand for Broad Money in the UK 0 0 0 0 0 0 1 151
Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity 0 0 0 51 0 1 2 161
Testing for time-varying Granger causality 1 4 12 34 2 8 23 69
The BDS test of independence 1 2 22 59 2 7 49 142
The Devil is in the Detail: Hints for Practical Optimisation 0 0 0 64 0 0 0 170
The Effect of Transmission Constraints on Electricity Prices 0 1 1 27 0 2 4 100
The Long‐run Properties of the Demand for M3 in South Africa 0 0 0 21 0 0 1 67
The Money‐income Causality Debate in South Africa: Reply 0 0 0 6 0 0 0 33
The Term Structure of Interest Rates in the London Interbank Market 0 0 0 1 0 0 0 673
Theory and Tests of Generalized Purchasing-Power Parity: Common Trends and Real Exchange Rates in the Pacific Rim 0 0 0 0 1 5 14 910
Transition from the Taylor rule to the zero lower bound 0 0 1 3 0 0 4 9
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 0 0 0 16
Volatility transmission in global financial markets 0 1 2 69 1 3 7 184
“What good is a volatility model?” A reexamination after 20 years 0 0 4 22 0 0 5 39
Total Journal Articles 5 18 84 2,097 16 62 243 10,476
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 1 1 14 503
Econometric Modelling with Time Series 0 0 0 0 3 5 12 307
Environmental Econometrics Using Stata 3 16 37 119 6 23 80 231
Total Books 3 16 37 119 10 29 106 1,041


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Total Chapters 0 0 0 0 0 0 0 0
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 21 62 176 733 41 139 489 2,153
WHITTLE: Stata module to compute long-memory parameter via Whittle method 0 0 3 33 0 1 9 114
Total Software Items 21 62 179 766 41 140 498 2,267


Statistics updated 2024-06-06