Projects per year
Personal profile
Biography
Heather Anderson is the Maureen Brunt Professor of Economics and Econometrics, in the Department of Econometrics and Business Statistics.
She is also an elected fellow of the Academy of Social Sciences in Australia, an elected fellow of the International Association of Applied Econometrics and on the editorial boards of the Journal of Applied Econometrics, the Journal of Business and Economic Statistics, the Economic Record and Studies in Nonlinear Dynamics and Econometrics. In addition, she is the Replications Editor for the Journal of Applied Econometrics.
Link to CV
Research area keywords
- econometrics
- nonlinear time series analysis
- empirical finance
- macro-econometrics
Network
Recent external collaboration on country/territory level. Dive into details by clicking on the dots or
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New methods for modelling complex trends in climate and energy time series
Anderson, H., Gao, J., Vahid-Araghi, F., Wei, W., Phillips, P. C. B., Linton, O. B. & Lunde, A.
3/08/20 → 2/08/23
Project: Research
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How do company announcements affect trading frequency in stocks?
Australian Research Council (ARC)
1/01/04 → …
Project: Research
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Forecasting when model stability is uncertain
Anderson, H., Koo, B. & Seo, M.
Australian Research Council (ARC), Monash University, London School of Economics and Political Science
1/01/15 → 30/06/21
Project: Research
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Economic growth and real exchange rates
Anderson, H., Dowrick, S., Golley, J. & Tyers, R.
Australian Research Council (ARC)
1/01/08 → 31/12/10
Project: Research
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High-dimensional predictive regression in the presence of cointegration
Koo, B., Anderson, H. M., Seo, M. H. & Yao, W., Dec 2020, In: Journal of Econometrics. 219, 2, p. 456-477 22 p.Research output: Contribution to journal › Article › Research › peer-review
6 Citations (Scopus) -
Sectoral employment dynamics in Australia and the COVID-19 pandemic
Anderson, H., Caggiano, G., Vahid, F. & Wong, B., Sep 2020, In: The Australian Economic Review. 53, 3, p. 402-414 13 p.Research output: Contribution to journal › Article › Research › peer-review
1 Citation (Scopus) -
Special issue of the Journal of Econometrics on “Econometric Estimation and Testing: Essays in Honour of Maxwell King”
Gao, J., Anderson, H. & Li, T., Dec 2020, In: Journal of Econometrics. 219, 2, p. 201-203 3 p.Research output: Contribution to journal › Editorial › Other › peer-review
1 Citation (Scopus) -
The effects of trade size and market depth on immediate price impact in a limit order book market
Pham, M. C., Anderson, H. M., Duong, H. N. & Lajbcygier, P., Nov 2020, In: Journal of Economic Dynamics and Control. 120, 27 p., 103992.Research output: Contribution to journal › Article › Research › peer-review
1 Citation (Scopus) -
Testing for cojumps in high-frequency financial data: an approach based on first-high-low-last prices
Liao, Y. & Anderson, H. M., 1 Feb 2019, In: Journal of Banking and Finance. 99, p. 252-274 23 p.Research output: Contribution to journal › Article › Research › peer-review