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 1 9 15 149
A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market 0 0 1 100 0 4 9 150
A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market 0 0 0 56 1 2 7 178
A Spatial Econometric Analysis of the Effect of Vertical Restraints and Branding on Retail Gasoline Pricing 0 0 0 112 0 3 10 423
A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions 0 0 0 74 0 3 4 202
A semi-parametric point process model of the interactions between equity markets 0 0 0 34 0 5 12 57
A simple linear alternative to multiplicative error models with an application to trading volume 0 0 1 58 0 9 21 56
A smooth-transition model of the Australian unemployment rate 0 0 0 467 1 6 9 2,714
Asymmetric unemployment rate dynamics in Australia 0 0 1 31 1 9 12 161
Asymmetric unemployment rate dynamics in Australia 0 0 0 38 1 10 15 233
Asymmetric unemployment rate dynamics in Australia 0 0 0 78 1 6 12 251
Bank of England Intervention and the Structure of Interest Rates in the London Interbank Market 0 0 0 1 0 1 2 970
Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship 0 0 1 74 2 6 11 178
Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship 0 0 1 81 2 8 15 114
Change Detection and the Casual Impact of the Yield Curve 0 0 1 52 1 8 11 120
Detecting Common Dynamics in Transitory Components 0 0 0 81 0 1 1 178
Developing analytical distributions for temperature indices for the purposes of pricing temperature-based weather derivatives 0 0 0 52 0 2 7 156
Discrete time-series models when counts are unobservable 0 0 1 111 0 5 10 432
Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility 0 0 0 191 2 6 8 634
Distributional Preferences and the Extended Gini Measures of Inequality 0 0 0 0 2 6 7 813
Econometric Analysis of Structural Systems with Permanent and Transitory Shocks. Working paper #7 0 0 0 173 0 5 10 376
Estimating Stochastic Volatility Models Using a Discrete Non-linear Filter. Working paper #3 0 0 0 177 0 2 8 432
Estimating the Parameters of Stochastic Differential Equations by Monte Carlo Methods 0 0 0 2 3 4 5 897
Estimating the Payoffs of Temperature-based Weather Derivatives 0 0 0 103 0 4 6 357
Evaluating multivariate volatility forecasts 0 0 0 149 1 3 6 311
Forecasting day-ahead electricity load using a multiple equation time series approach 0 0 1 47 1 4 11 94
Isolating Cyclical Patterns in Irregular Time Series Data 0 0 0 0 0 1 3 570
It never rains but it pours: Modelling the persistence of spikes in electricity prices 0 0 0 163 0 2 6 382
Modeling directional (circular) time series 0 0 0 95 1 5 9 145
Modelling Stock Market Excess Returns by Markov Modulated Gaussian Noise 0 0 0 624 1 2 7 2,543
Modelling Structural Change in Money Demand Using a Fourier-Series Approximation 0 0 1 133 4 14 19 442
Modelling Wages and Prices in Australia 0 0 0 273 3 16 20 1,472
Modelling and forecasting wind drought 0 0 0 20 1 8 16 77
Modelling the Lifespan of Human T Lymphocyte Subsets 0 0 0 0 0 5 7 547
Momentum in Australian Stock Returns: An Update 0 0 1 166 0 1 6 337
On the Efficacy of Fourier Series Approximations for Pricing European and Digital Options 0 0 1 13 0 1 8 78
Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations. Working paper #2 1 1 1 138 2 4 7 318
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 10 419
Selecting forecasting models for portfolio allocation 0 0 1 66 2 5 8 192
Teaching Financial Econometrics to Students Converting to Finance 0 2 9 36 1 11 32 80
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 2 10 13 551
Teaching an old dog new tricks: Improved estimation of the parameters of SDEs by numerical solution of the Fokker-Planck equation 2 2 2 173 3 10 14 580
Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity 0 0 0 172 0 9 15 525
Testing for Time Dependence in Parameters 0 0 0 52 0 2 4 264
Testing for nonlinearity in mean in the presence of heteroskedasticity 0 0 0 78 0 1 2 261
Testing for nonlinearity in mean in the presence of heteroskedasticity. Working paper #8 0 0 0 58 0 4 7 156
Testing for time-varying Granger causality 0 2 12 162 4 13 43 307
Testing the Profitability of Technical Analysis as a Portfolio Selection Strategy 0 0 1 238 0 1 6 798
The Bootstrap 0 0 0 0 1 7 15 54
The Devil is in the Detail: Hints for Practical Optimisation 0 0 0 68 0 3 5 136
The Empirical Size and Power of Some Tests for Detecting Autoregressive Conditional Heteroskedasticity in the Presence of Serial Correlation 0 0 0 0 0 3 4 392
The Generic Properties of Equilibrium Correction Mechanisms 0 0 0 35 1 5 6 238
Time Series Evidence of Global Warming 0 0 0 1 0 1 2 2,675
Transition from the Taylor rule to the zero lower bound 0 2 2 42 0 4 6 117
Unobservable Cyclical Components in Term Premia of Fixed- Term Financial Instruments 0 0 0 0 0 1 2 83
Total Working Papers 3 9 39 5,506 47 284 546 25,375

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 1 2 2 0 1 2 3
A Smooth Transition Logit Model of The Effects of Deregulation in the Electricity Market 0 0 2 23 0 3 9 99
A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions 1 2 2 66 1 6 12 331
An empirical investigation of herding in the U.S. stock market 0 0 0 42 5 12 17 157
Assessing the Informational Content of Official Australian Bureau of Meteorology Forecasts of Wind Speed 0 0 0 1 1 1 2 5
Asset pricing puzzles in finance: Introduction 0 0 0 194 0 1 2 421
Asymmetric Unemployment Rate Dynamics in Australia 0 0 0 58 3 11 18 255
Asymmetric price adjustment and the Phillips curve 0 0 0 71 0 4 7 190
Causality, Predictability and Monetary Targets in South Africa 0 0 0 5 0 2 3 25
Change Detection and the Causal Impact of the Yield Curve 0 2 3 24 0 17 26 91
Cointegration and Dynamic Time Series Models 0 0 0 0 1 3 7 1,232
Common trends and generalized purchasing power parity 0 0 0 14 0 4 7 49
Common trends in global volatility 0 0 0 17 1 3 10 98
Detecting Common Dynamics in Transitory Components 0 0 0 46 0 2 7 152
Dollar‐Deutschemark Polarisation: Comparing The Pound And Franc 0 0 0 16 0 12 15 262
Estimating a Non-parametric Memory Kernel for Mutually Exciting Point Processes* 0 0 0 0 0 2 6 7
Estimating the Parameters of Stochastic Volatility Models Using Option Price Data 1 1 3 23 6 11 19 80
Estimating the parameters of stochastic differential equations 0 0 1 10 0 6 11 51
Estimating the parameters of stochastic differential equations by Monte Carlo methods 0 1 1 14 0 3 4 51
Forecasting day-ahead electricity load using a multiple equation time series approach 0 0 3 15 1 4 15 94
Forecasting quantiles of day-ahead electricity load 0 1 1 10 0 3 4 61
Forecasting spikes in electricity prices 1 3 5 88 1 7 23 283
Geology or Economics? Testing Models of Irreversible Investment Using North Sea Oil Data 0 0 1 143 0 3 7 561
Housing networks and driving forces 0 0 0 5 0 7 11 32
Identifying aggregate demand and supply shocks in a small open economy 0 0 1 124 1 3 9 383
In Search of Time-Varying Term Premia in the London Interbank Market 0 0 0 0 0 0 2 89
Information Flow in Times of Crisis: The Case of the European Banking and Sovereign Sectors 0 0 0 7 2 5 5 42
Isolating cyclical patterns in irregular time-series data 0 0 0 1 0 3 9 31
It Never Rains but it Pours: Modeling the Persistence of Spikes in Electricity Prices 0 0 0 0 0 6 12 12
Linearizations and Equilibrium Correction Models 0 0 0 36 0 2 4 151
Local Whittle estimation of the long-memory parameter 0 0 0 8 2 5 11 48
Measuring Attitudes Towards Inequality 0 0 2 199 17 160 538 1,314
Mixture distribution‐based forecasting using stochastic volatility models 0 0 0 0 0 2 4 8
Mobius-Like Mappings and Their Use in Kernel Density Estimation 0 0 0 41 0 1 4 105
Modeling Multi-horizon Electricity Demand Forecasts in Australia: A Term Structure Approach 0 0 1 2 0 3 7 11
Modelling Spikes in Electricity Prices 0 1 1 49 0 2 6 153
Modelling Wages and Prices in Australia 0 0 0 52 0 5 11 203
Modelling circular time series 2 2 3 12 5 13 23 48
Modelling interregional links in electricity price spikes 0 0 2 20 0 4 12 94
Modelling the Demand for M4 in the U.K 0 0 0 0 0 2 4 146
Momentum in Australian Stock Returns 0 1 4 25 3 7 16 94
On the Specification of the Drift and Diffusion Functions for Continuous‐time Models of the Spot Interest Rate 0 0 0 0 0 3 5 8
On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential Equations 0 2 3 164 2 6 11 387
Practitioner's Corner: Introduction 0 0 0 9 1 2 2 55
Revisiting the numerical solution of stochastic differential equations 0 0 0 0 0 3 4 19
Seasonality, Cointegration and Error Correction: An Illustration Using South African Monetary Data 0 0 0 0 0 4 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 3 7 13 113
Selecting volatility forecasting models for portfolio allocation purposes 0 0 1 33 0 4 11 137
Semi-Parametric Forecasting of Realized Volatility 1 1 1 53 1 4 6 165
Semi-parametric Forecasting of Spikes in Electricity Prices 0 0 1 8 0 9 14 64
Specification tests for univariate diffusions 0 0 0 0 0 3 7 9
Strategic bidding and rebidding in electricity markets 0 0 2 30 2 7 14 106
Testing Superexogeneity: The Demand for Broad Money in the UK 0 0 0 0 0 1 4 155
Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity 0 0 0 51 0 12 14 176
Testing for time-varying Granger causality 1 1 4 47 3 13 29 112
The BDS test of independence 0 1 3 70 1 13 19 181
The Devil is in the Detail: Hints for Practical Optimisation 0 0 0 64 0 2 6 176
The Effect of Transmission Constraints on Electricity Prices 0 0 1 4 2 9 18 24
The Long‐run Properties of the Demand for M3 in South Africa 0 0 0 21 1 3 8 75
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 0 8 11 686
The dynamics of U.S. industrial production: A time-varying Granger causality perspective 1 4 7 12 3 17 33 46
Theory and Tests of Generalized Purchasing-Power Parity: Common Trends and Real Exchange Rates in the Pacific Rim 0 0 0 0 0 8 12 926
Transition from the Taylor rule to the zero lower bound 0 2 2 7 1 11 12 26
Unobservable cyclical components in term premia of fixed-term financial instruments 0 0 0 0 0 2 2 12
Using discrete-time techniques to test continuous-time models for nonlinearity in drift 0 0 0 1 1 5 9 26
Volatility transmission in global financial markets 0 0 1 72 0 5 11 198
“What good is a volatility model?” A reexamination after 20 years 0 0 2 26 0 3 11 59
Total Journal Articles 8 26 66 2,177 71 515 1,214 11,587
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 2 7 17 341
Econometric Modelling with Time Series 0 0 0 0 2 10 31 550
Environmental Econometrics Using Stata 0 2 10 162 1 8 28 300
Total Books 0 2 10 162 5 25 76 1,191

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 3 8 11 18
Total Chapters 0 0 2 3 3 8 11 18
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 9 46 901 14 44 189 2,618
WHITTLE: Stata module to compute long-memory parameter via Whittle method 0 0 0 33 0 0 7 122
Total Software Items 2 9 46 934 14 44 196 2,740

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Statistics updated 2026-04-09