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On the efficacy of Fourier series approximations for pricing European and digital options
Hurn, Stan; Lindsay, Kenneth A.; McClelland, Andrew - 2013
Persistent link: https://www.econbiz.de/10009689207
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A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions
Hurn, Stan; Lindsay, Kenneth A.; McClelland, Andrew - In: Journal of econometrics 172 (2013) 1, pp. 106-126
Persistent link: https://www.econbiz.de/10009702297
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Estimating the parameters of stochastic volatility models using option price data
Hurn, Stan; Lindsay, K. A.; McClelland, Andrew - 2012
Persistent link: https://www.econbiz.de/10009665916
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Testing the profitability of moving-average rules as a portfolio selection strategy
Pavlov, Vlad; Hurn, Stan - In: Pacific-Basin finance journal 20 (2012) 5, pp. 825-842
Persistent link: https://www.econbiz.de/10009619755
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Detecting common dynamics in transitory components
Christensen, Timothy; Hurn, Stan; Pagan, Adrian R. - In: Journal of time series econometrics 3 (2011) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10009623245
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A smooth transition logit model of the effects of deregulation in the electricity market
Hurn, Stan; Silvennoinen, Annastiina; Teräsvirta, Timo - 2014
Persistent link: https://www.econbiz.de/10010336590
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A smooth transition logit model of the effects of deregulation in the electricity market
Hurn, Stan; Silvennoinen, Annastiina; Teräsvirta, Timo - 2014
Persistent link: https://www.econbiz.de/10010349297
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Semi-parametric forecasting of spikes in electricity prices
Clements, Adam; Fuller, Joanne; Hurn, Stan - In: The economic record : er 89 (2013) 287, pp. 508-521
Persistent link: https://www.econbiz.de/10010249048
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Forecasting day-ahead electricity load using a multiple equation time series approach
Clements, Adam; Hurn, Stan; Li, Z. - In: European journal of operational research : EJOR 251 (2016) 2, pp. 522-530
Persistent link: https://www.econbiz.de/10011444344
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Volatility transmission in global financial markets
Clements, Adam; Hurn, Stan; Volkov, V. V. - In: Journal of empirical finance 32 (2015), pp. 3-18
Persistent link: https://www.econbiz.de/10011556742