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Single source of error state space approach to the Beveridge Nelson decomposition

Anderson, Heather M.; Low, Chin Nam; Snyder, Ralph D. - In: Economics letters 91 (2006) 1, pp. 104-109

Persistent link: https://www.econbiz.de/10003315118

Beveridge-Nelson decomposition with Markov switching

Low, Chin Nam; Anderson, Heather M.; Snyder, Ralph D. - 2006

Persistent link: https://www.econbiz.de/10003346796

Forecasting the volatility of Australian stock returns : do common factors help?

Anderson, Heather M.; Vahid, Farshid - In: Journal of business & economic statistics : JBES ; a … 25 (2007) 1, pp. 76-90

Persistent link: https://www.econbiz.de/10003410168

Nonlinear autoregressive leading indicator models of output in G-7 countries

Anderson, Heather M.; Athanasopoulos, George; Vahid, Farshid - In: Journal of applied econometrics 22 (2007) 1, pp. 63-87

Persistent link: https://www.econbiz.de/10003448509

VARs, cointegration and common cycle restrictions

Anderson, Heather M.; Vahid, Farshid - 2010

Persistent link: https://www.econbiz.de/10008662304

Do jumps matter? : forecasting multivariate realized volatility allowing for common jumps

Liao, Yin; Anderson, Heather M.; Vahid, Farshid - 2010

Persistent link: https://www.econbiz.de/10008657960

Testing for co-jumps in high-frequency financial data : an approach based on first-high-low-last prices

Liao, Yin; Anderson, Heather M. - 2012

Persistent link: https://www.econbiz.de/10009578146

Dumrongrittikul, Taya; Anderson, Heather M. - 2013

Persistent link: https://www.econbiz.de/10009775498

Common non-linearities in multiple series of stock market volatility

Anderson, Heather M.; Vahid, Farshid - 2013

Persistent link: https://www.econbiz.de/10009701603

Testing for co-jumps in high-frequency financial data : an approach based on first-high-low-last prices

Liao, Yin; Anderson, Heather M. - 2011

This paper proposes a new test for simultaneous intraday jumps in a panel of high frequency financial data. We utilize intraday first-high-low-last values of asset prices to construct estimates for the cross-variation of returns in a large panel of high frequency financial data, and then employ...

Persistent link: https://www.econbiz.de/10009406375