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A cointegration analysis of treasury bill yields

Hall, Anthony D. - In: The review of economics and statistics 74 (1992) 1, pp. 116-126

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A nonlinear time series model of El Niño

Hall, Anthony D.; Skalin, Joakim; Teräsvirta, Timo - 1998

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Tests of non-nested linear regression models subject to linear restrictions

Pesaran, M. Hashem - In: Economics letters 4 (1988), pp. 341-348

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Modeling the term structure

Pagan, Adrian R. - 1996

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Migration of price discovery with constrained futures markets

Hall, Anthony D.; Kofman, Paul; Manaster, Steven - 2001

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A Monte Carlo study of some tests of model adequacy in time series analysis

Hall, Anthony D. - In: Journal of business & economic statistics : JBES ; a … 7 (1989) 1, pp. 95-106

Persistent link: https://www.econbiz.de/10001090237

Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model

Hall, Anthony D.; Silvennoinen, Annastiina; … - 2021

Persistent link: https://www.econbiz.de/10012815962

Resiliency of the limit order book

Lo, Danny K.; Hall, Anthony D. - In: Journal of economic dynamics & control 61 (2015), pp. 222-244

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Treasury bill yield curves and cointegration

Anderson, Heather M. - 1990 - Version 2

Persistent link: https://www.econbiz.de/10013400662

Building multivariate time-varying smooth transition correlation GARCH models, with an application to the four largest Australian banks

Hall, Anthony; Silvennoinen, Annastiina; Teräsvirta, Timo - In: Econometrics : open access journal 11 (2023) 1, pp. 1-37

This paper proposes a methodology for building Multivariate Time-Varying STCC-GARCH models. The novel contributions in this area are the specification tests related to the correlation component, the extension of the general model to allow for additional correlation regimes, and a detailed...

Persistent link: https://www.econbiz.de/10014281494