1992 …2019
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Research Output 1992 2019

2019

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 journalArticleResearchpeer-review

The global effects of productivity gains in Asian emerging economies

Dumrongrittikul, T., Anderson, H. & Vahid, F., 16 Feb 2019, (Accepted/In press) In : Economic Modelling. 14 p.

Research output: Contribution to journalArticleResearchpeer-review

2016

How do shocks to domestic factors affect real exchange rates of Asian developing countries?

Dumrongrittikul, T. & Anderson, H. M., 2016, In : Journal of Development Economics. 119, p. 67 - 85 19 p.

Research output: Contribution to journalArticleResearchpeer-review

2014

Common nonlinearities in multiple series of stock market volatility

Anderson, H. M. & Vahid-Araghi, F., 2014, Essays in Nonlinear Time Series Econometrics. Haldrup, N., Meitz, M. & Saikkonen, P. (eds.). 1st ed. Oxford UK: Oxford University Press, p. 93 - 117 25 p.

Research output: Chapter in Book/Report/Conference proceedingChapter (Book)Researchpeer-review

Forecast combinations under structural break uncertainty

Tian, J. & Anderson, H. M., 2014, In : International Journal of Forecasting. 30, 1, p. 161 - 175 15 p.

Research output: Contribution to journalArticleResearchpeer-review

How does public information affect the frequency of trading in airline stocks?

Nowak, S. B. & Anderson, H. M., 2014, In : Journal of Banking and Finance. 44, p. 26 - 38 13 p.

Research output: Contribution to journalArticleResearchpeer-review

2012

Reported earnings and analyst forecasts as competing sources of information: A new approach

Anderson, H. M., Chan, H., Faff, R. & Ho, Y. K., 2012, In : Australian Journal of Management. 37, 3, p. 333 - 359 27 p.

Research output: Contribution to journalArticleResearchpeer-review

2011

Financial integration and the construction of historical financial data for the Euro Area

Anderson, H. M., Dungey, M., Osborn, D. & Vahid-Araghi, F., 2011, In : Economic Modelling. 28, 4, p. 1498 - 1509 12 p.

Research output: Contribution to journalArticleResearchpeer-review

VARS, cointegration, and common cycle restrictions

Anderson, H. & Vahid-Araghi, F., 2011, The Oxford Handbook of Economic Forecasting. Clements, M. P. & Hendry, D. F. (eds.). Oxford United Kingdom: Oxford University Press, p. 9-34 26 p.

Research output: Chapter in Book/Report/Conference proceedingChapter (Book)Researchpeer-review

2010

Memoirs of "A Cointegration Analysis of Treasury Bill Yields"

Anderson, H. M., Mar 2010, In : Journal of Financial Econometrics. 8, 2, p. 172-173 2 p., nbq013.

Research output: Contribution to journalComment / DebateOtherpeer-review

2009

Does beta react to market conditions? Estimates of 'bull' and 'bear' betas using a nonlinear market model with an endogenous threshold parameter

Woodward, G. & Anderson, H., 2009, In : Quantitative Finance. 9, 8, p. 913 - 924 12 p.

Research output: Contribution to journalArticleResearchpeer-review

2008

Common factors

Anderson, H. M., 2008, The New Palgrave Dictionary of Economics: Second Edition. Durlauf, S. N. & Blume, L. E. (eds.). 2nd ed. Basingstoke Hampshire UK: Palgrave Macmillan, Vol. 2. p. 913-916 4 p.

Research output: Chapter in Book/Report/Conference proceedingEncyclopaedia / Dictionary EntryOtherpeer-review

Economic applications: The Beveridge-Nelson decomposition

Low, C. & Anderson, H., 2008, Forecasting with Exponential Smoothing: The State Space Approach. Hyndman, R. J., Koehler, A. B., Ord, J. K. & Snyder, R. D. (eds.). 1st ed. Berlin Germany: Springer, p. 325 - 337 13 p.

Research output: Chapter in Book/Report/Conference proceedingChapter (Book)Researchpeer-review

2007

Forecasting the volatility of Australian stock returns: Do common factors help?

Anderson, H. & Vahid-Araghi, F., 2007, In : Journal of Business & Economic Statistics. 25, 1, p. 76 - 90 15 p.

Research output: Contribution to journalArticleResearchpeer-review

Nonlinear autoregressive leading indicator models of output in G-7 countries

Anderson, H. M., Athanasopoulos, G. & Vahid, F., 2007, In : Journal of Applied Econometrics. 22, 1, p. 63 - 87 25 p.

Research output: Contribution to journalArticleResearchpeer-review

2006

Common features

Anderson, H. M., Victor Issler, J. & Vahid, F., 1 May 2006, In : Journal of Econometrics. 132, 1, p. 1-5 5 p.

Research output: Contribution to journalEditorialResearchpeer-review

Random walk smooth transition autoregressive models

Anderson, H. & Low, C., 2006, Nonlinear Time Series Analysis of Business Cycles. Milas, C., Rothman, P. & van Dijk, D. (eds.). 1st ed. Amsterdam Netherlands: Elsevier, p. 247 - 281 35 p.

Research output: Chapter in Book/Report/Conference proceedingChapter (Book)Researchpeer-review

Single source of error state space approach to the Beveridge Nelson decomposition

Anderson, H. M., Low, C. N. & Snyder, R. D., 2006, In : Economics Letters. 91, 1, p. 104 - 109 6 p.

Research output: Contribution to journalArticleResearchpeer-review

2005

Nonlinear correlograms and partial autocorrelograms

Anderson, H. & Vahid-Araghi, F., 2005, In : Oxford Bulletin of Economics and Statistics. 67, S1, p. 957 - 982 26 p.

Research output: Contribution to journalArticleResearchpeer-review

2004

Choosing lag lengths in nonlinear dynamic models

Anderson, H., 2004, Contemporary Issues in Economics and Econometrics: Theory and Application. Becker, R. & Hurn, S. (eds.). 1st ed. Cheltenham UK: Edward Elgar Publishing, p. 176-204 29 p.

Research output: Chapter in Book/Report/Conference proceedingConference PaperOtherpeer-review

2003

Explanations of an empirical puzzle: what can be earned from a test of the rational expectations hypothesis?

Anderson, H. M., 2003, Econometrics and the Philosophy of Economics: Theory-Data Confrontations in Economics. Stigum, B. P. (ed.). 1st ed. Princeton NJ USA: Princeton University Press, p. 525-557 33 p.

Research output: Chapter in Book/Report/Conference proceedingChapter (Book)Otherpeer-review

Scientific explanation in econometrics: a case study

Anderson, H. M., Stigum, B. P. & Storvik, G. O., 2003, Econometrics and the Philosophy of Economics. Stigum, B. P. (ed.). Princeton USA: Princeton University Press, p. 578 - 609 32 p.

Research output: Chapter in Book/Report/Conference proceedingChapter (Book)Researchpeer-review

2002

U.S. and Canadian industrial production indices as coupled oscillators

Anderson, H. M. & Ramsey, J. B., 2002, In : Journal of Economic Dynamics and Control. 26, p. 33 - 67 35 p.

Research output: Contribution to journalArticleResearchpeer-review

2001

Market architecture and nonlinear dynamics of Australian stock and futures indices

Anderson, H. M. & Vahid, F., 2001, In : Australian Economic Papers. 40, 4, p. 541 - 566 26 p.

Research output: Contribution to journalArticleResearchpeer-review

Predicting the probability of a recession with nonlinear autoregressive leading-indicator models

Anderson, H. M. & Vahid, F., 2001, In : Macroeconomic Dynamics. 5, p. 482 - 505 24 p.

Research output: Contribution to journalArticleResearchpeer-review

1999

Asymmetric nonlinear smooth transition GARCH models

Anderson, H. M., Nam, K. & Vahid, F., 1999, Nonlinear time series analysis of economic and financial data. Boston USA: Kluwer, p. 191 - 207 17 p.

Research output: Chapter in Book/Report/Conference proceedingChapter (Book)Researchpeer-review

Explanations of an empirical puzzle: what can be learnt from a test of the rational expectations hypothesis?

Anderson, H. M., 1999, In : Journal of Economic Methodology. p. 31-59 29 p.

Research output: Contribution to journalArticleResearchpeer-review

International trade and the synchronization of business cycles

Anderson, H. M., Kwark, N-S. & Vahid, F., 1999, Proceedings: ESAM99 (Econometric Society Australasian Meeting). Sydney NSW Australia: University of Technology, Sydney, p. 1 - 48 48 p.

Research output: Chapter in Book/Report/Conference proceedingConference PaperResearchpeer-review

Review of book: Unit roots, cointegration and structural change

Anderson, H. M., 1999, In : Economic Record. p. 439 - 441 3 p.

Research output: Contribution to journalLetterOther

1998

On the pooling of cross-sectional and time-series data in the presence of heteroskedasticity

Anderson, H. M. & Vahid, F., 1 Sep 1998, In : Economics Letters. 60, 3, p. 291-296 6 p.

Research output: Contribution to journalArticleResearchpeer-review

Testing multiple equation systems for common nonlinear components

Anderson, H. M. & Vahid, F., 1 Jan 1998, In : Journal of Econometrics. 84, 1, p. 1-36 36 p.

Research output: Contribution to journalArticleResearchpeer-review

1997

On the correspondence between individual and aggregate food consumption functions: Evidence from the USA and the Netherlands

Anderson, H. M. & Vahid, F., 1 Jan 1997, In : Journal of Applied Econometrics. 12, 5, p. 477-507 31 p.

Research output: Contribution to journalArticleResearchpeer-review

Transaction costs and nonlinear adjustment towards equilibrium in the US treasury bill market

Anderson, H. M., 1 Jan 1997, In : Oxford Bulletin of Economics and Statistics. 59, 4, p. 465-484 20 p.

Research output: Contribution to journalArticleResearchpeer-review

1993

Modeling nonlinearity over the business cycle

Granger, C. W. J., Terasvirta, T. & Anderson, H. M., 1993, Business Cycles, Indicators, and Fofrecasting. Stock, J. H. & Watson, M. W. (eds.). 1st ed. Chicago Ill USA: The University of Chicago Press, p. 311-326 16 p. (Studies in Business Cycles; vol. 28).

Research output: Chapter in Book/Report/Conference proceedingChapter (Book)Researchpeer-review

1992

A cointegration analysis of treasury bill yields

Hall, A. D., Anderson, H. M. & Granger, C. W. J., Feb 1992, In : Review of Economics and Statistics. 74, 1, p. 116-126 11 p.

Research output: Contribution to journalArticleResearchpeer-review

Open Access
File

Characterizing nonlinearities in business cycles using smooth transition autoregressive models

Terasvirta, T. & Anderson, H. M., 1 Jan 1992, In : Journal of Applied Econometrics. 7, 1 S, p. S119-S136

Research output: Contribution to journalArticleResearchpeer-review