1991 …2020
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Research Output 1991 2018

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2018

Nonparametric estimation and forecasting for time-varying coefficient realized volatility models

Chen, X. B., Gao, J., Li, D. & Silvapulle, P., 2018, In : Journal of Business and Economic Statistics. 36, 1, p. 88-100 13 p.

Research output: Contribution to journalArticleResearchpeer-review

2017

Nonparametric panel data model for crude oil and stock market prices in net oil importing countries

Silvapulle, P., Smyth, R., Zhang, X. & Fenech, J-P., Sep 2017, In : Energy Economics. 67, p. 255-267 13 p.

Research output: Contribution to journalArticleResearchpeer-review

2016

Canadian monetary policy analysis using a structural VARMA model

Raghavan, M., Athanasopoulos, G. & Silvapulle, P., 1 Feb 2016, In : Canadian Journal of Economics. 49, 1, p. 347-373 27 p.

Research output: Contribution to journalArticleResearchpeer-review

Determinants of sovereign bond yield spreads and contagion in the peripheral EU countries

Silvapulle, P., Fenech, J. P., Thomas, A. & Brooks, R., 1 Nov 2016, In : Economic Modelling. 58, p. 83-92 10 p.

Research output: Contribution to journalArticleResearchpeer-review

Nonparametric estimation of operational value-at-risk (OpVaR)

Tursunalieva, A. & Silvapulle, P., 1 Jul 2016, In : Insurance: Mathematics and Economics. 69, p. 194-201 8 p.

Research output: Contribution to journalArticleResearchpeer-review

2015

Bayesian approaches to nonparametric estimation of densities on the unit interval

Li, S., Silvapulle, M. J., Silvapulle, P. & Zhang, X., 2015, In : Econometric Reviews. 34, 3, p. 394 - 412 19 p.

Research output: Contribution to journalArticleResearchpeer-review

2014

A semi-parametric approach to estimating the operational risk and Expected Shortfall

Tursunalieva, A. & Silvapulle, P., 2014, In : Applied Economics. 46, 30, p. 3659 - 3672 14 p.

Research output: Contribution to journalArticleResearchpeer-review

A semiparametric approach to value-at-risk, expected shortfall and optimum asset allocation in stock-bond portfolios

Chen, X. J. B., Silvapulle, P. & Silvapulle, M. J., 2014, In : Economic Modelling. 42, p. 230 - 242 13 p.

Research output: Contribution to journalArticleResearchpeer-review

2012

An empirical analysis of the operational losses of Australian banks

Moosa, I. A. & Silvapulle, P., 2012, In : Accounting and Finance. 52, 1, p. 165 - 185 21 p.

Research output: Contribution to journalArticleResearchpeer-review

ARDL bounds tests and robust inference for the long run relationship between real stock returns and inflation in Australia

Rushdi, M., Kim, J. & Silvapulle, P., 2012, In : Economic Modelling. 29, 3, p. 535 - 543 9 p.

Research output: Contribution to journalArticleResearchpeer-review

Structural VAR models for Malaysian monetary policy analysis during the pre- and post-1997 Asian crisis periods

Raghavan, M. V., Silvapulle, P. & Athanasopoulos, G., 2012, In : Applied Economics. 44, 29, p. 3841 - 3856 16 p.

Research output: Contribution to journalArticleResearchpeer-review

Modelling the bivariate dependence structure of exchange rates before and after the introduction of the euro: A semi-parametric approach

Boero, G., Silvapulle, P. & Tursunalieva, A., 2011, In : International Journal of Finance & Economics. 16, 4, p. 357 - 374 18 p.

Research output: Contribution to journalArticleResearchpeer-review

2008

Estimating the error distribution in multivariate heteroscedastic time-series models

Kim, G., Silvapulle, M. J. & Silvapulle, P., 2008, In : Journal of Statistical Planning and Inference. 138, 5, p. 1442 - 1458 17 p.

Research output: Contribution to journalArticleResearchpeer-review

Multivariate conditional heteroscedasticity models with dynamic correlations for testing contagion

Sriananthakumar, S. & Silvapulle, P., 2008, In : Applied Financial Economics. 18, 4, p. 267 - 273 7 p.

Research output: Contribution to journalArticleResearchpeer-review

Wavelet estimation of asymmetric hedge ratios: Does econometric sophistication boost hedging effectiveness?

Maharaj, E. A., Moosa, I. A., Dark, J. G. & Silvapulle, P., 2008, In : International Journal of Business and Economics. 7, 3, p. 213 - 230 18 p.

Research output: Contribution to journalArticleResearchpeer-review

2007

Analysis of dependence in the G11 countries' financial markets: Simulation and empirical evidence

Silvapulle, P., Azam, M. N. & Yeasmin, M., 2007, In : Applied Financial Economics Letters. 3, 4, p. 211 - 214 4 p.

Research output: Contribution to journalArticleResearchpeer-review

Assessing dependence changes using nonparametric methods

Silvapulle, P. & Zhang, X., 2007, In : Applied Financial Economics Letters. 3, 6, p. 397 - 401 5 p.

Research output: Contribution to journalArticleResearchpeer-review

A threshold cointegration approach to the stock prices-inflation puzzle

Hoque, H. A. A. B., Silvapulle, P. & Moosa, I. A., 2007, In : International Journal of Economic Perspectives. 1, 2, p. 83 - 101 19 p.

Research output: Contribution to journalArticleResearchpeer-review

Comparison of semiparametric and parametric methods for estimating copulas

Kim, G., Silvapulle, M. J. & Silvapulle, P., 2007, In : Computational Statistics and Data Analysis. 51, 6, p. 2836 - 2850 15 p.

Research output: Contribution to journalArticleResearchpeer-review

Half-life estimation based on the bias-corrected bootstrap: A highest density region approach

Kim, J., Silvapulle, P. & Hyndman, R. J., 2007, In : Computational Statistics and Data Analysis. 51, 7, p. 3418 - 3432 15 p.

Research output: Contribution to journalArticleResearchpeer-review

Semiparametric estimation of the error distribution in multivariate regression using copulas

Kim, G., Silvapulle, M. J. & Silvapulle, P., 2007, In : Australian and New Zealand Journal of Statistics. 49, 3, p. 321 - 336 16 p.

Research output: Contribution to journalArticleResearchpeer-review

2004

Asymmetry in Okun's law

Silvapulle, P., Moosa, I. A. & Silvapulle, M. J., 2004, In : Canadian Journal of Economics. 37, 2, p. 353 - 374 22 p.

Research output: Contribution to journalArticleResearchpeer-review

Empirical evidence on the conditional relation between higher-order systematic co-movements and security returns

Galagedera, D. U. A., Henry, D. & Silvapulle, P., 2004, In : Quarterly Journal of Business and Economics. 42, 1 & 2, p. 121 - 137 17 p.

Research output: Contribution to journalArticleResearchpeer-review

Testing for seasonal behaviour of monthly stock returns: evidence from international markets

Silvapulle, P., 2004, In : Quarterly Journal of Business and Economics. 43, 1/2, p. 93 - 109 17 p.

Research output: Contribution to journalArticleResearchpeer-review

2003

Experimental evidence on robustness of data envelopment analysis

Galagedera, D. U. A. & Silvapulle, P., 2003, In : Journal of the Operational Research Society. 54, 6, p. 654 - 660 7 p.

Research output: Contribution to journalArticleResearchpeer-review

Testing for asymmetry in the price-volume relationship of listed Australian banks

Henry, D. & Silvapulle, P., 2003, In : Journal of Accounting and Finance. 2, p. 1 - 13 13 p.

Research output: Contribution to journalArticleResearchpeer-review

Testing for temporal asymmetry in the price-volume relationship

Moosa, I. A., Silvapulle, P. & Silvapulle, M., 2003, In : Bulletin of Economic Research. 55, 4, p. 373 - 389 17 p.

Research output: Contribution to journalArticleResearchpeer-review

2002

Australian mutual fund performance appraisal using data envelopment analysis

Galagedera, D. U. A. & Silvapulle, P., 2002, In : Managerial Finance. 28, 9, p. 60 - 73 14 p.

Research output: Contribution to journalArticleResearchpeer-review

Robust estimation and inflation forecasting

Silvapulle, P. & Hewarathna, R., 2002, In : Applied Economics. 34, 18, p. 2277 - 2282 6 p.

Research output: Contribution to journalArticleResearchpeer-review

Robust tests against smooth transition autoregressive models

Beg, A. B., Silvapulle, M. & Silvapulle, P., 2002, In : Journal of Statistical Computation and Simulation. 72, 2, p. 167 - 178 12 p.

Research output: Contribution to journalArticleResearchpeer-review

Testing for short memory against long memory processes with applications to international financial markets

Silvapulle, P., 2002, In : Accounting Research Journal. 15, 1, p. 82 - 89 8 p.

Research output: Contribution to journalArticleResearchpeer-review

Tests against inequality constraints in semiparametric models

Silvapulle, M. J., Silvapulle, P. & Basawa, I. V., 1 Sep 2002, In : Journal of Statistical Planning and Inference. 107, 1-2, p. 307-320 14 p.

Research output: Contribution to journalArticleResearchpeer-review

Tests against inequality contraints in semiparametric models

Silvapulle, M., Silvapulle, P. & Basawa, I. V., 2002, In : Journal of Statistical Planning and Inference. 107, p. 307 - 320 14 p.

Research output: Contribution to journalArticleResearchpeer-review

2001

A score test for seasonal fractional integration and cointegration

Silvapulle, P., 2001, In : Econometric Reviews. 20, 1, p. 85 - 104 20 p.

Research output: Contribution to journalArticleResearchpeer-review

Causality in international capital movements: The income mobility of Australian investment abroad

Brooks, R. D., Fausten, D. & Silvapulle, P., 2001, In : Accounting Research Journal. 14, 1, p. 58 - 64 7 p.

Research output: Contribution to journalArticleResearchpeer-review

Is the interest rate-inflation relationship asymmetric?

Moosa, I. A., Silvapulle, P. & Silvapulle, M., 2001, In : Journal of Economic Research. 6, 2, p. 127 - 142 16 p.

Research output: Contribution to journalArticleResearchpeer-review

Large returns, conditional correlation and portfolio diversification: A value-at-risk approach

Silvapulle, P. & Granger, C. W. J., 2001, In : Quantitative Finance. 1, p. 542 - 551 10 p.

Research output: Contribution to journalArticleResearchpeer-review

Long-term memory in stock market returns: International evidence

Sadique, S. & Silvapulle, P., 2001, In : International Journal of Finance and Economics. 6, p. 59 - 67 9 p.

Research output: Contribution to journalArticleResearchpeer-review

Testing for linear and nonlinear Granger causality between the Australian current account and trade weighted index

Brooks, R. D. & Silvapulle, P., 2001, In : Journal of Quantitative Economics. 17, 1, p. 102 - 116 15 p.

Research output: Contribution to journalArticleResearchpeer-review

Tests against inequality constraints when some nuisance parameters are present only under the alternative: Test of ARCH

Beg, A. B. M., Silvapulle, M. & Silvapulle, P., 2001, In : Journal of Business & Economic Statistics. 19, 2, p. 245 - 253 9 p.

Research output: Contribution to journalArticleResearchpeer-review

2000

Business cycle asymmetry and the stock market in Japan

Silvapulle, P., Silvapulle, M. & Soupourzis, M., 2000, In : Keio Economic Studies. p. 1 - 12 12 p.

Research output: Contribution to journalArticleResearchpeer-review

The effect of non-normal disturbances and conditional heteroskedasticity on multiple cointegration tests

Silvapulle, P. & Podivinsky, J. M., 2000, In : Journal of Statistical Computation and Simulation. p. 173 - 189 17 p.

Research output: Contribution to journalArticleResearchpeer-review

1998

Testing for serial correlation in the presence of dynamic heteroscedasticity

Silvapulle, P. & Evans, M. G. A., 1998, In : Econometric Reviews. p. 31 - 56 26 p.

Research output: Contribution to journalArticleResearchpeer-review

Yield spreads and interest rate movements: A cointegration approach

Silvapulle, P. & Inder, B. A., 1998, In : Accounting Research Journal. p. 378 - 386 9 p.

Research output: Contribution to journalArticleResearchpeer-review

1997

Robustness of the arch tests in the presence of serial correlation

Silvapulle, P. & Lee, J., 1 Jan 1997, In : Communications in Statistics - Simulation and Computation. 26, 2, p. 649-669 21 p.

Research output: Contribution to journalArticleResearchpeer-review

1996

Testing for a unit root in a time series with mean shifts

Silvapulle, P., 1 Jan 1996, In : Applied Economics Letters. 3, 10, p. 629-635 7 p.

Research output: Contribution to journalArticleResearchpeer-review

1995

A score test against one-sided alternatives

Silvapulle, M. J. & Silvapulle, P., 1 Jan 1995, In : Journal of the American Statistical Association. 90, 429, p. 342-349 8 p.

Research output: Contribution to journalArticleResearchpeer-review

1994

Testing for ar(1) against ima(1,1) disturbances in the linear regression model

Silvapulle, P., 1 Jan 1994, In : Communications in Statistics: Theory and Methods. 23, 3, p. 701-720 20 p.

Research output: Contribution to journalArticleResearchpeer-review

Testing for Philippines rice market integration: a multiple cointegration approach

Silvapulle, P. & Jayasuriya, S., Sep 1994, In : Journal of Agricultural Economics. 45, 3, p. 369-380 12 p.

Research output: Contribution to journalArticleResearchpeer-review