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Stan Hurn · Study
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Author
Stan Hurn
26 works
· latest 2022
· 3 institutions
cluster: provisional
ORCID 0000-0002-6134-7943
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21
i10
25
Citations
2,197
Works here
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Most cited in this library
Causal Change Detection in Possibly Integrated Systems: Revisiting the Money–Income Relationship*
2019 · 295 citations
Change Detection and the Causal Impact of the Yield Curve
2018 · 280 citations
A general test for time dependence in parameters
2004 · 258 citations
Measuring Attitudes Towards Inequality
1999 · 188 citations
COINTEGRATION AND DYNAMIC TIME SERIES MODELS
1992 · 145 citations
Works
26 shown
Testing for time-varying Granger causality
The Stata Journal Promoting communications on statistics and Stata
·
2022
·
3 authors
·
Open access
78
citations
The dynamics of U.S. industrial production: A time-varying Granger causality perspective
Econometrics and Statistics
·
2021
·
3 authors
47
citations
Causal Change Detection in Possibly Integrated Systems: Revisiting the Money–Income Relationship*
Journal of Financial Econometrics
·
2019
·
3 authors
295
citations
Change Detection and the Causal Impact of the Yield Curve
Journal of Time Series Analysis
·
2018
·
3 authors
·
Open access
280
citations
An empirical investigation of herding in the U.S. stock market
Economic Modelling
·
2017
·
3 authors
·
Open access
71
citations
Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship
SSRN Electronic Journal
·
2016
·
3 authors
·
preprint
·
Open access
15
citations
Volatility transmission in global financial markets
Journal of Empirical Finance
·
2014
·
3 authors
·
Open access
51
citations
Estimating the Parameters of Stochastic Volatility Models Using Option Price Data
Journal of Business and Economic Statistics
·
2014
·
3 authors
54
citations
Selecting volatility forecasting models for portfolio allocation purposes
International Journal of Forecasting
·
2014
·
4 authors
·
Open access
61
citations
Econometric Modelling with Time Series: Specification, Estimation and Testing
·
2012
·
3 authors
62
citations
A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions
Journal of Econometrics
·
2012
·
3 authors
·
Open access
24
citations
Testing the profitability of moving-average rules as a portfolio selection strategy
Pacific-Basin Finance Journal
·
2012
·
2 authors
26
citations
Behavioural Economics and Finance Workshop
·
2010
·
1 author
0
citations
Identifying aggregate demand and supply shocks in a small open economy
Oxford Economic Papers
·
2007
·
2 authors
32
citations
Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations
Journal of Financial Econometrics
·
2007
·
3 authors
125
citations
A general test for time dependence in parameters
Journal of Applied Econometrics
·
2004
·
3 authors
258
citations
Momentum in Australian Stock Returns
Australian Journal of Management
·
2003
·
2 authors
105
citations
On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential Equations*
Journal of Time Series Analysis
·
2003
·
3 authors
57
citations
Estimating the parameters of stochastic differential equations
Mathematics and Computers in Simulation
·
1999
·
2 authors
25
citations
Measuring Attitudes Towards Inequality
Scandinavian Journal of Economics
·
1999
·
3 authors
188
citations
Common trends and generalized purchasing power parity
Mathematics and Computers in Simulation
·
1997
·
2 authors
16
citations
THE TERM STRUCTURE OF INTEREST RATES IN THE LONDON INTERBANK MARKET
Oxford Economic Papers
·
1995
·
3 authors
50
citations
Geology or Economics? Testing Models of Irreversible Investment Using North Sea Oil Data
The Economic Journal
·
1994
·
2 authors
93
citations
TESTING SUPEREXOGENEITY: THE DEMAND FOR BROAD MONEY IN THE UK
Oxford Bulletin of Economics and Statistics
·
1992
·
2 authors
19
citations
The Long‐run Properties of the Demand for M3 in South Africa
South African Journal of Economics
·
1992
·
2 authors
20
citations
COINTEGRATION AND DYNAMIC TIME SERIES MODELS
Journal of Economic Surveys
·
1992
·
2 authors
145
citations