All Stories

  1. Panel data analysis of multi-factor capital asset pricing models
  2. Bayesian Approaches to Nonparametric Estimation of Densities on the Unit Interval
  3. Structural VAR models for Malaysian monetary policy analysis during the pre- and post-1997 Asian crisis periods
  4. ARDL bounds tests and robust inference for the long run relationship between real stock returns and inflation in Australia
  5. Effects of the open policy on the dependence between the Chinese ‘A’ stock market and other equity markets: An industry sector perspective
  6. Modelling the bivariate dependence structure of exchange rates before and after the introduction of the euro: a semi-parametric approach
  7. An empirical analysis of the operational losses of Australian banks
  8. Malaysian monetary transmission mechanism: Evidence from the pre- and post-Asian financial crisis periods
  9. Estimating the error distribution in multivariate heteroscedastic time-series models
  10. Multivariate conditional heteroscedasticity models with dynamic correlations for testing contagion
  11. Assessing dependence changes using nonparametric methods
  12. SEMIPARAMETRIC ESTIMATION OF THE ERROR DISTRIBUTION IN MULTIVARIATE REGRESSION USING COPULAS
  13. Analysis of dependence in the G11 countries' financial markets: simulation and empirical evidence
  14. Half-life estimation based on the bias-corrected bootstrap: A highest density region approach
  15. Comparison of semiparametric and parametric methods for estimating copulas
  16. Asymmetry in Okun's law
  17. Testing for Temporal Asymmetry in the Price‐Volume Relationship
  18. Experimental evidence on robustness of data envelopment analysis
  19. Robust estimation and inflation forecasting
  20. Tests against inequality constraints in semiparametric models
  21. Australian mutual fund performance appraisal using data envelopment analysis
  22. Robust Tests Against Smooth Transition Autoregressive Models
  23. Large returns, conditional correlation and portfolio diversification: a value-at-risk approach
  24. A SCORE TEST FOR SEASONAL FRACTIONAL INTEGRATION AND COINTEGRATION
  25. Long‐term memory in stock market returns: international evidence
  26. The price–volume relationship in the crude oil futures market Some results based on linear and nonlinear causality testing
  27. The effect of non-normal disturbances and conditional heteroskedasticity on multiple cointegration tests
  28. The relationship between spot and futures prices: Evidence from the crude oil market
  29. The relationship between spot and futures prices: Evidence from the crude oil market
  30. Testing for linear and nonlinear granger causality in the stock price-volume relation: Korean evidence
  31. Business cycle asymmetry and the stock market
  32. Testing for serial correlation in the presence of dynamic heteroscedasticity
  33. The impact of inflation rate announcements on interest rate volatility: Australian evidence
  34. Robustness of the arch tests in the presence of serial correlation
  35. Testing for a unit root in a time series with mean shifts
  36. A Score Test against One-Sided Alternatives
  37. TESTING FOR PHILIPPINES RICE MARKET INTEGRATION: A MULTIPLE COINTEGRATION APPROACH
  38. Testing for ar(1) against ima(1,1) disturbances in the linear regression model
  39. Nonnested testing for autocorrelation in the linear regression model
  40. Does the Fisher effect apply in Australia?
  41. Testing for AR(p) against IMA(1, q) disturbances in the linear regression model
  42. Testing Moving Average against Autoregressive Disturbances in the Linear-Regression Model
  43. Testing Moving Average Against Autoregressive Disturbances in the Li near-Reg ression Model
  44. Estimation of Operational Risks Using Non-Parametric Approaches with an Application to US Business Losses
  45. Modelling and Predicting of Australian Mortgage Delinquency Risk: A Preliminary Data Analysis
  46. Nonparametric Estimation and Parametric Calibration of Time-Varying Coefficient Realized Volatility Models
  47. A Semi-Parametric Approach to Estimating the Operational Risk and Expected Shortfall
  48. Nonlinear and Semi-Parametric Modelling of Personal Loan Credit Scoring
  49. Value at Risk and Optimum Asset Allocation in Stock-Bond Portfolio Before and after the Global Financial Crisis: Empirical Evidence from Australia and G7 Countries