|
2022
|
“Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond”: Some Antecedents on Causality
|
Journal of the American Statistical Association
|
B
|
2
|
|
2022
|
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
|
Journal of Econometrics
|
A
|
3
|
|
2020
|
Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks
|
International Journal of Forecasting
|
B
|
3
|
|
2019
|
Daily market news sentiment and stock prices
|
Applied Economics
|
C
|
3
|
|
2019
|
Volatility spillovers for spot, futures, and ETF prices in agriculture and energy
|
Energy Economics
|
A
|
3
|
|
2018
|
A cointegration analysis of agricultural, energy and bio-fuel spot, and futures prices
|
Applied Economics
|
C
|
4
|
|
2017
|
Volatility spillover and multivariate volatility impulse response analysis of GFC news events
|
Applied Economics
|
C
|
4
|
|
2017
|
An entropy-based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series
|
Applied Economics
|
C
|
3
|
|
2017
|
Realized stochastic volatility with general asymmetry and long memory
|
Journal of Econometrics
|
A
|
3
|
|
2017
|
The correct regularity condition and interpretation of asymmetry in EGARCH
|
Economics Letters
|
C
|
2
|
|
2016
|
Market integration dynamics and asymptotic price convergence in distribution
|
Economic Modeling
|
C
|
3
|
|
2015
|
Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
|
Journal of Econometrics
|
A
|
2
|
|
2015
|
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
|
Journal of Econometrics
|
A
|
2
|
|
2015
|
Econometric analysis of financial derivatives: An overview
|
Journal of Econometrics
|
A
|
2
|
|
2015
|
Frontiers in Time Series and Financial Econometrics: An overview
|
Journal of Econometrics
|
A
|
3
|
|
2014
|
EVALUATING MACROECONOMIC FORECASTS: A CONCISE REVIEW OF SOME RECENT DEVELOPMENTS
|
Journal of Economic Surveys
|
C
|
3
|
|
2014
|
The maximum number of parameters for the Hausman test when the estimators are from different sets of equations
|
Economics Letters
|
C
|
2
|
|
2014
|
Comment
|
Journal of Business & Economic Statistics
|
A
|
1
|
|
2013
|
Risk spillovers in oil-related CDS, stock and credit markets
|
Energy Economics
|
A
|
4
|
|
2013
|
Analyzing fixed-event forecast revisions
|
International Journal of Forecasting
|
B
|
4
|
|
2012
|
DO WE REALLY NEED BOTH BEKK AND DCC? A TALE OF TWO MULTIVARIATE GARCH MODELS
|
Journal of Economic Surveys
|
C
|
2
|
|
2012
|
Causality between market liquidity and depth for energy and grains
|
Energy Economics
|
A
|
4
|
|
2012
|
Asymmetric adjustments in the ethanol and grains markets
|
Energy Economics
|
A
|
4
|
|
2012
|
Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range
|
International Journal of Forecasting
|
B
|
4
|
|
2012
|
Professor Halbert L. White, 1950–2012
|
Journal of Economic Surveys
|
C
|
2
|
|
2011
|
Moment-based estimation of smooth transition regression models with endogenous variables
|
Journal of Econometrics
|
A
|
3
|
|
2011
|
WHAT MAKES A GREAT JOURNAL GREAT IN ECONOMICS? THE SINGER NOT THE SONG
|
Journal of Economic Surveys
|
C
|
3
|
|
2011
|
Crude oil hedging strategies using dynamic multivariate GARCH
|
Energy Economics
|
A
|
3
|
|
2011
|
How accurate are government forecasts of economic fundamentals? The case of Taiwan
|
International Journal of Forecasting
|
B
|
3
|
|
2011
|
TEN THINGS WE SHOULD KNOW ABOUT TIME SERIES
|
Journal of Economic Surveys
|
C
|
2
|
|
2011
|
FORECASTING REALIZED VOLATILITY WITH LINEAR AND NONLINEAR UNIVARIATE MODELS
|
Journal of Economic Surveys
|
C
|
2
|
|
2010
|
A SCIENTIFIC CLASSIFICATION OF VOLATILITY MODELS
|
Journal of Economic Surveys
|
C
|
2
|
|
2010
|
THE TEN COMMANDMENTS FOR MANAGING INVESTMENTS
|
Journal of Economic Surveys
|
C
|
2
|
|
2010
|
Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets
|
Energy Economics
|
A
|
3
|
|
2010
|
Modelling the interactions across international stock, bond and foreign exchange markets
|
Applied Economics
|
C
|
2
|
|
2010
|
Market efficiency of oil spot and futures: A mean-variance and stochastic dominance approach
|
Energy Economics
|
A
|
3
|
|
2010
|
On the robustness of alternative rankings methodologies: Australian and New Zealand economics departments, 1988 to 2002
|
Applied Economics
|
C
|
3
|
|
2009
|
The structure of dynamic correlations in multivariate stochastic volatility models
|
Journal of Econometrics
|
A
|
2
|
|
2009
|
THE TEN COMMANDMENTS FOR MANAGING VALUE AT RISK UNDER THE BASEL II ACCORD
|
Journal of Economic Surveys
|
C
|
3
|
|
2009
|
In Memoriam
|
Journal of Economic Surveys
|
C
|
2
|
|
2009
|
THE TEN COMMANDMENTS FOR OPTIMIZING VALUE‐AT‐RISK AND DAILY CAPITAL CHARGES
|
Journal of Economic Surveys
|
C
|
1
|
|
2009
|
Linear and nonlinear causality between changes in consumption and consumer attitudes
|
Economics Letters
|
C
|
3
|
|
2008
|
Econometric modelling in finance and risk management: An overview
|
Journal of Econometrics
|
A
|
3
|
|
2008
|
Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks
|
Journal of Econometrics
|
A
|
4
|
|
2008
|
A Portfolio Index GARCH model
|
International Journal of Forecasting
|
B
|
2
|
|
2008
|
GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
|
Econometric Theory
|
B
|
4
|
|
2008
|
A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries
|
Journal of Econometrics
|
A
|
2
|
|
2008
|
A neural network demand system with heteroskedastic errors
|
Journal of Econometrics
|
A
|
3
|
|
2008
|
An alternative approach to estimating demand: Neural network regression with conditional volatility for high frequency air passenger arrivals
|
Journal of Econometrics
|
A
|
5
|
|
2007
|
An econometric analysis of asymmetric volatility: Theory and application to patents
|
Journal of Econometrics
|
A
|
3
|
|
2007
|
MEASURING RISK IN ENVIRONMENTAL FINANCE
|
Journal of Economic Surveys
|
C
|
3
|
|
2007
|
The econometrics of intellectual property: An overview
|
Journal of Econometrics
|
A
|
1
|
|
2007
|
Patent activity and technical change
|
Journal of Econometrics
|
A
|
3
|
|
2006
|
INTELLECTUAL PROPERTY AND ECONOMIC INCENTIVES
|
Journal of Economic Surveys
|
C
|
2
|
|
2006
|
HOW DOES COUNTRY RISK AFFECT INNOVATION? AN APPLICATION TO FOREIGN PATENTS REGISTERED IN THE USA
|
Journal of Economic Surveys
|
C
|
2
|
|
2006
|
INTELLECTUAL PROPERTY LITIGATION ACTIVITY IN THE USA
|
Journal of Economic Surveys
|
C
|
3
|
|
2005
|
The ten commandments for ranking university quality
|
Journal of Economic Surveys
|
C
|
1
|
|
2005
|
The Ten Commandments for Academics
|
Journal of Economic Surveys
|
C
|
2
|
|
2005
|
AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
|
Econometric Theory
|
B
|
1
|
|
2004
|
Trends and volatilities in foreign patents registered in the USA
|
Applied Economics
|
C
|
3
|
|
2004
|
An Empirical Assessment of Country Risk Ratings and Associated Models
|
Journal of Economic Surveys
|
C
|
2
|
|
2004
|
Econometric modelling of non‐ferrous metal prices
|
Journal of Economic Surveys
|
C
|
2
|
|
2004
|
Recursive modelling of symmetric and asymmetric volatility in the presence of extreme observations
|
International Journal of Forecasting
|
B
|
2
|
|
2004
|
Is a monetary union feasible for East Asia?
|
Applied Economics
|
C
|
3
|
|
2004
|
Convergence and catching up in ASEAN: a comparative analysis
|
Applied Economics
|
C
|
2
|
|
2003
|
ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
|
Econometric Theory
|
B
|
2
|
|
2002
|
NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
|
Econometric Theory
|
B
|
2
|
|
2002
|
Stationarity and the existence of moments of a family of GARCH processes
|
Journal of Econometrics
|
A
|
2
|
|
2002
|
The International Congress on Modelling and Simulation: Hamilton, New Zealand, December 1999
|
Journal of Economic Surveys
|
C
|
2
|
|
2002
|
repec:bla:jecsur:v:16:y:2002:i:1:p:111-21
|
Journal of Economic Surveys
|
C
|
1
|
|
2002
|
repec:bla:jecsur:v:16:y:2002:i:2:p:215-18
|
Journal of Economic Surveys
|
C
|
1
|
|
2002
|
The Ten Commandments for Presenting a Conference Paper
|
Journal of Economic Surveys
|
C
|
2
|
|
2002
|
The Econometrics of Financial Time Series
|
Journal of Economic Surveys
|
C
|
2
|
|
2002
|
repec:bla:jecsur:v:16:y:2002:i:3:p:237-43
|
Journal of Economic Surveys
|
C
|
1
|
|
2002
|
Recent Theoretical Results for Time Series Models with GARCH Errors
|
Journal of Economic Surveys
|
C
|
3
|
|
2002
|
repec:bla:jecsur:v:16:y:2002:i:3:p:245-69
|
Journal of Economic Surveys
|
C
|
1
|
|
2001
|
The Ten Commandments for Attending a Conference
|
Journal of Economic Surveys
|
C
|
2
|
|
2001
|
repec:bla:jecsur:v:15:y:2001:i:5:p:671-78
|
Journal of Economic Surveys
|
C
|
1
|
|
2001
|
Cointegration analysis of quarterly tourism demand by Hong Kong and Singapore for Australia
|
Applied Economics
|
C
|
2
|
|
2000
|
Pricing of Forward and Futures Contracts
|
Journal of Economic Surveys
|
C
|
3
|
|
2000
|
repec:bla:jecsur:v:14:y:2000:i:2:p:215-53
|
Journal of Economic Surveys
|
C
|
1
|
|
2000
|
Testing long-run neutrality using intra-year data
|
Applied Economics
|
C
|
2
|
|
2000
|
A seasonal analysis of Asian tourist arrivals to Australia
|
Applied Economics
|
C
|
2
|
|
1999
|
ANALYTICAL POWER COMPARISONS OF NESTED AND NONNESTED TESTS FOR LINEAR AND LOGLINEAR REGRESSION MODELS
|
Econometric Theory
|
B
|
2
|
|
1999
|
Editorial
|
Journal of Economic Surveys
|
C
|
2
|
|
1998
|
Cointegration Analysis of Seasonal Time Series
|
Journal of Economic Surveys
|
C
|
2
|
|
1998
|
The Winter of my Content: The Econometric Society Australasian Meeting 1997, Melbourne, Australia
|
Journal of Economic Surveys
|
C
|
3
|
|
1998
|
The International Congress on Modelling and Simulation, Hobart, Tasmania, December 1997
|
Journal of Economic Surveys
|
C
|
3
|
|
1998
|
repec:bla:jecsur:v:12:y:1998:i:1:p:111-24
|
Journal of Economic Surveys
|
C
|
1
|
|
1998
|
repec:bla:jecsur:v:12:y:1998:i:4:p:399-415
|
Journal of Economic Surveys
|
C
|
1
|
|
1998
|
repec:bla:jecsur:v:12:y:1998:i:5:p:417-22
|
Journal of Economic Surveys
|
C
|
1
|
|
1998
|
Cointegration in Practice
|
Journal of Economic Surveys
|
C
|
2
|
|
1998
|
repec:bla:jecsur:v:12:y:1998:i:5:p:651-78
|
Journal of Economic Surveys
|
C
|
1
|
|
1998
|
Editorial
|
Journal of Economic Surveys
|
C
|
2
|
|
1997
|
The Ten Commandments for Organizing a Conference
|
Journal of Economic Surveys
|
C
|
1
|
|
1997
|
repec:bla:jecsur:v:11:y:1997:i:2:p:231-33
|
Journal of Economic Surveys
|
C
|
1
|
|
1997
|
repec:bla:jecsur:v:11:y:1997:i:4:p:419-32
|
Journal of Economic Surveys
|
C
|
1
|
|
1997
|
Pictures at an Exhibition: The Experiment in Applied Econometrics Conference, Tilburg, The Netherlands, 1996
|
Journal of Economic Surveys
|
C
|
1
|
|
1996
|
The 7th World Congress of the Econometric Society: Tokyo, Japan, 1995.
|
Journal of Economic Surveys
|
C
|
2
|
|
1996
|
The Osaka Econometrics Conference: Osaka, Japan, 1995.
|
Journal of Economic Surveys
|
C
|
1
|
|
1995
|
The significance of testing empirical non-nested models
|
Journal of Econometrics
|
A
|
1
|
|
1994
|
ON THE EFFECTS OF MISSPECIFICATION ERRORS IN MODELS WITH GENERATED REGRESSORS
|
Oxford Bulletin of Economics and Statistics
|
B
|
2
|
|
1994
|
On the Effects of Misspecification Errors in Models with Generated Regressors.
|
Oxford Bulletin of Economics and Statistics
|
B
|
2
|
|
1994
|
Sherlock Holmes and the Search for Truth: A Diagnostic Tale.
|
Journal of Economic Surveys
|
C
|
1
|
|
1993
|
Econometric Issues in Macroeconomic Models with Generated Regressors.
|
Journal of Economic Surveys
|
C
|
2
|
|
1992
|
Properties of ordinary least squares estimators in regression models with nonspherical disturbances
|
Journal of Econometrics
|
A
|
3
|
|
1992
|
Recursive estimation and generated regressors
|
Economics Letters
|
C
|
2
|
|
1989
|
Some Power Comparisons of Joint and Paired Tests for Nonnested Models under Local Hypotheses
|
Econometric Theory
|
B
|
2
|
|
1989
|
How Fragile Are Fragile Inferences? A Re-evaluation of the Deterrent Effect of Capital Punishment.
|
Review of Economics and Statistics
|
A
|
2
|
|
1988
|
Variable Addition and LaGrange Multiplier Tests for Linear and Logarithmic Regression Models.
|
Review of Economics and Statistics
|
A
|
3
|
|
1987
|
Further Results on Testing AR (1) Against MA (1) Disturbances in the Linear Regression Model
|
Review of Economic Studies
|
S
|
2
|
|
1986
|
A further result on the sign of restricted least-squares estimates
|
Journal of Econometrics
|
A
|
3
|
|
1985
|
Testing separate models with stochastic regressors
|
Economic Modeling
|
C
|
2
|
|
1985
|
What Will Take the Con out of Econometrics?
|
American Economic Review
|
S
|
3
|
|
1983
|
Some Exact Tests for Model Specification.
|
Review of Economics and Statistics
|
A
|
2
|
|
1982
|
Testing separate regression models subject to specification error
|
Journal of Econometrics
|
A
|
2
|
|
1982
|
Separate Misspecified Regressions and the U.S. Long-Run Demand for Money Function.
|
Review of Economics and Statistics
|
A
|
3
|
|
1981
|
Alternative procedures and associated tests of significance for non-nested hypotheses
|
Journal of Econometrics
|
A
|
2
|
|
1981
|
A small sample test for non-nested regression models
|
Economics Letters
|
C
|
1
|
|
1980
|
The minimum error variance rule for non-linear regression models
|
Economics Letters
|
C
|
1
|
|
1979
|
On the interpretation of the cox test in econometrics
|
Economics Letters
|
C
|
2
|