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 1 50 1 2 4 136
A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market 0 0 0 56 0 0 2 171
A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market 0 0 0 99 0 1 2 142
A Spatial Econometric Analysis of the Effect of Vertical Restraints and Branding on Retail Gasoline Pricing 0 0 0 112 0 0 3 415
A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions 0 0 0 74 0 0 1 198
A semi-parametric point process model of the interactions between equity markets 0 0 0 34 1 2 3 47
A simple linear alternative to multiplicative error models with an application to trading volume 0 1 1 58 0 3 6 40
A smooth-transition model of the Australian unemployment rate 0 0 0 467 0 1 3 2,706
Asymmetric unemployment rate dynamics in Australia 0 0 0 30 0 1 4 151
Asymmetric unemployment rate dynamics in Australia 0 0 0 38 0 0 1 218
Asymmetric unemployment rate dynamics in Australia 0 0 0 78 0 0 2 241
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 0 1 81 0 1 5 102
Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship 0 0 0 73 0 0 1 168
Change Detection and the Casual Impact of the Yield Curve 1 1 3 52 1 1 5 110
Detecting Common Dynamics in Transitory Components 0 0 0 81 0 0 1 177
Developing analytical distributions for temperature indices for the purposes of pricing temperature-based weather derivatives 0 0 0 52 0 0 4 152
Discrete time-series models when counts are unobservable 0 0 2 111 0 0 4 424
Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility 0 0 0 191 0 1 2 627
Distributional Preferences and the Extended Gini Measures of Inequality 0 0 0 0 0 0 1 807
Econometric Analysis of Structural Systems with Permanent and Transitory Shocks. Working paper #7 0 0 1 173 0 0 1 366
Estimating Stochastic Volatility Models Using a Discrete Non-linear Filter. Working paper #3 0 0 1 177 0 2 3 426
Estimating the Parameters of Stochastic Differential Equations by Monte Carlo Methods 0 0 0 2 0 0 0 892
Estimating the Payoffs of Temperature-based Weather Derivatives 0 0 0 103 0 0 1 351
Evaluating multivariate volatility forecasts 0 0 0 149 0 1 1 306
Forecasting day-ahead electricity load using a multiple equation time series approach 0 0 2 47 0 1 4 85
Isolating Cyclical Patterns in Irregular Time Series Data 0 0 0 0 0 0 1 567
It never rains but it pours: Modelling the persistence of spikes in electricity prices 0 0 1 163 0 2 3 378
Modeling directional (circular) time series 0 0 3 95 0 0 4 136
Modelling Stock Market Excess Returns by Markov Modulated Gaussian Noise 0 0 0 624 1 2 3 2,539
Modelling Structural Change in Money Demand Using a Fourier-Series Approximation 0 1 1 133 0 1 1 424
Modelling Wages and Prices in Australia 0 0 0 273 0 0 3 1,453
Modelling and forecasting wind drought 0 0 2 20 0 0 6 61
Modelling the Lifespan of Human T Lymphocyte Subsets 0 0 0 0 0 0 0 540
Momentum in Australian Stock Returns: An Update 0 1 1 166 0 1 3 334
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 2 312
Seeing the wood for the trees: A critical evaluation of methods to estimate the parameters of stochastic differential equations 0 0 0 169 0 1 2 410
Selecting forecasting models for portfolio allocation 0 0 1 66 0 0 1 185
Teaching Financial Econometrics to Students Converting to Finance 1 5 23 34 4 12 54 65
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 0 1 3 540
Teaching an old dog new tricks: Improved estimation of the parameters of SDEs by numerical solution of the Fokker-Planck equation 0 0 1 171 0 0 1 566
Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity 0 0 0 172 0 1 1 511
Testing for Time Dependence in Parameters 0 0 0 52 0 0 0 260
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 3 14 155 2 6 30 276
Testing the Profitability of Technical Analysis as a Portfolio Selection Strategy 1 1 1 238 1 2 6 795
The Bootstrap 0 0 0 0 1 3 7 43
The Devil is in the Detail: Hints for Practical Optimisation 0 0 0 68 0 0 1 131
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 2 232
Time Series Evidence of Global Warming 0 0 0 1 0 0 0 2,673
Transition from the Taylor rule to the zero lower bound 0 0 0 40 0 0 1 111
Unobservable Cyclical Components in Term Premia of Fixed- Term Financial Instruments 0 0 0 0 0 0 0 81
Total Working Papers 4 13 60 5,488 12 49 199 24,915

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 0 0 0 0 0 1
A Smooth Transition Logit Model of The Effects of Deregulation in the Electricity Market 0 0 1 22 0 2 4 93
A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions 0 0 0 64 0 2 8 322
An empirical investigation of herding in the U.S. stock market 0 0 0 42 0 0 2 140
Assessing the Informational Content of Official Australian Bureau of Meteorology Forecasts of Wind Speed 0 0 0 1 0 0 1 3
Asset pricing puzzles in finance: Introduction 0 0 0 194 0 0 0 419
Asymmetric Unemployment Rate Dynamics in Australia 0 0 1 58 1 3 6 242
Asymmetric price adjustment and the Phillips curve 0 0 0 71 0 0 1 183
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 21 0 3 8 70
Cointegration and Dynamic Time Series Models 0 0 0 0 0 0 1 1,225
Common trends and generalized purchasing power parity 0 0 0 14 0 0 2 42
Common trends in global volatility 0 0 0 17 1 2 3 91
Detecting Common Dynamics in Transitory Components 0 0 0 46 0 1 2 146
Dollar‐Deutschemark Polarisation: Comparing The Pound And Franc 0 0 1 16 0 1 5 249
Estimating a Non-parametric Memory Kernel for Mutually Exciting Point Processes* 0 0 0 0 0 1 2 2
Estimating the Parameters of Stochastic Volatility Models Using Option Price Data 1 1 2 22 1 1 5 63
Estimating the parameters of stochastic differential equations 0 0 1 10 0 0 1 41
Estimating the parameters of stochastic differential equations by Monte Carlo methods 0 0 0 13 0 0 0 47
Forecasting day-ahead electricity load using a multiple equation time series approach 0 1 1 13 2 5 9 86
Forecasting quantiles of day-ahead electricity load 0 0 0 9 0 1 4 58
Forecasting spikes in electricity prices 0 0 0 83 0 4 10 268
Geology or Economics? Testing Models of Irreversible Investment Using North Sea Oil Data 0 0 0 142 0 0 1 555
Housing networks and driving forces 0 0 0 5 0 0 3 24
Identifying aggregate demand and supply shocks in a small open economy 0 0 1 124 0 0 4 375
In Search of Time-Varying Term Premia in the London Interbank Market 0 0 0 0 0 1 1 88
Information Flow in Times of Crisis: The Case of the European Banking and Sovereign Sectors 0 0 0 7 0 0 0 37
Isolating cyclical patterns in irregular time-series data 0 0 0 1 0 0 1 23
It Never Rains but it Pours: Modeling the Persistence of Spikes in Electricity Prices 0 0 2 31 0 1 3 232
It Never Rains but it Pours: Modeling the Persistence of Spikes in Electricity Prices 0 0 0 0 0 0 0 0
Linearizations and Equilibrium Correction Models 0 0 0 36 0 0 0 147
Local Whittle estimation of the long-memory parameter 0 0 0 8 0 2 2 39
Measuring Attitudes Towards Inequality 0 1 2 198 49 154 227 1,001
Mixture distribution‐based forecasting using stochastic volatility models 0 0 0 0 1 1 2 5
Mobius-Like Mappings and Their Use in Kernel Density Estimation 0 0 0 41 0 0 0 101
Modeling Multi-horizon Electricity Demand Forecasts in Australia: A Term Structure Approach 1 1 2 2 1 1 4 7
Modelling Spikes in Electricity Prices 0 0 2 48 0 1 4 148
Modelling Wages and Prices in Australia 0 0 1 52 1 1 2 193
Modelling circular time series 0 0 3 9 0 1 13 29
Modelling interregional links in electricity price spikes 0 0 3 20 0 0 5 86
Modelling the Demand for M4 in the U.K 0 0 0 0 0 0 1 142
Momentum in Australian Stock Returns 0 1 5 24 0 4 11 85
On the Specification of the Drift and Diffusion Functions for Continuous‐time Models of the Spot Interest Rate 0 0 0 0 1 1 2 4
On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential Equations 0 1 6 162 0 1 7 377
Practitioner's Corner: Introduction 0 0 0 9 0 0 1 53
Revisiting the numerical solution of stochastic differential equations 0 0 0 0 0 0 2 15
Seasonality, Cointegration and Error Correction: An Illustration Using South African Monetary Data 0 0 0 0 0 1 1 85
Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations 0 0 0 35 4 4 6 104
Selecting volatility forecasting models for portfolio allocation purposes 0 0 1 33 0 1 5 128
Semi-Parametric Forecasting of Realized Volatility 0 0 1 52 0 0 3 159
Semi-parametric Forecasting of Spikes in Electricity Prices 0 0 0 7 1 2 5 53
Specification tests for univariate diffusions 0 0 0 0 1 1 1 3
Strategic bidding and rebidding in electricity markets 0 1 4 29 0 1 8 94
Testing Superexogeneity: The Demand for Broad Money in the UK 0 0 0 0 0 1 1 152
Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity 0 0 0 51 0 0 1 162
Testing for time-varying Granger causality 0 1 8 46 0 5 17 92
The BDS test of independence 0 0 5 67 0 1 13 164
The Devil is in the Detail: Hints for Practical Optimisation 0 0 0 64 1 1 1 171
The Effect of Transmission Constraints on Electricity Prices 0 0 2 3 1 3 9 10
The Effect of Transmission Constraints on Electricity Prices 0 0 2 29 0 0 2 102
The Long‐run Properties of the Demand for M3 in South Africa 0 0 0 21 0 2 2 69
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 2 675
The dynamics of U.S. industrial production: A time-varying Granger causality perspective 1 1 7 7 2 7 22 22
Theory and Tests of Generalized Purchasing-Power Parity: Common Trends and Real Exchange Rates in the Pacific Rim 0 0 0 0 2 3 5 917
Transition from the Taylor rule to the zero lower bound 0 0 1 5 0 0 4 14
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 2 18
Volatility transmission in global financial markets 0 0 1 71 0 2 4 189
“What good is a volatility model?” A reexamination after 20 years 0 0 0 24 0 2 7 50
Total Journal Articles 3 9 68 2,192 70 232 491 11,055
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 2 8 25 535
Econometric Modelling with Time Series 0 0 0 0 2 4 21 333
Environmental Econometrics Using Stata 2 2 22 157 4 6 35 284
Total Books 2 2 22 157 8 18 81 1,152

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 0 0 4 9
Total Chapters 0 0 2 3 0 0 4 9
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 13 94 881 14 37 256 2,517
WHITTLE: Stata module to compute long-memory parameter via Whittle method 0 0 0 33 0 1 4 119
Total Software Items 6 13 94 914 14 38 260 2,636

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Statistics updated 2025-10-06