Heather M. Anderson
Names
| first: |
Heather |
| middle: |
M. |
| last: |
Anderson |
Identifer
Contact
Affiliations
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Monash University
/ Monash Business School
/ Department of Econometrics and Business Statistics
Research profile
author of:
- Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help? (RePEc:acb:cbeeco:2005-451)
by Heather Anderson & Fashid Vahid - Reported Earnings and Analyst Forecasts as Competing Sources of Information: A New Approach (RePEc:acb:cbeeco:2007-488)
by H.M. Anderson & H. Chan & R. Faff & Y.K. Ho - Do Jumps Matter? Forecasting Multivariate Realized Volatility Allowing for Common Jumps (RePEc:acb:cbeeco:2010-520)
by Yin Liao & Heather Anderson & Farshid Vahid - Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help? (RePEc:bes:jnlbes:v:25:y:2007:p:76-90)
by Anderson, Heather M. & Vahid, Farshid - Market Architecture and Nonlinear Dynamics of Australian Stock and Futures Indices (RePEc:bla:ausecp:v:40:y:2001:i:4:p:541-566)
by Heather M. Anderson & Farshid Vahid - Sectoral Employment Dynamics in Australia and the COVID‐19 Pandemic (RePEc:bla:ausecr:v:53:y:2020:i:3:p:402-414)
by Heather Anderson & Giovanni Caggiano & Farshid Vahid & Benjamin Wong - New Introduction to Multiple Time Series Analysis ‐ by Helmut Lütkepohl (RePEc:bla:ecorec:v:83:y:2007:i:260:p:109-110)
by Heather M. Anderson - Transaction Costs and Non-linear Adjustment towards Equilibrium in the US Treasury Bill Market (RePEc:bla:obuest:v:59:y:1997:i:4:p:465-84)
by Anderson, Heather M - Nonlinear Correlograms and Partial Autocorrelograms (RePEc:bla:obuest:v:67:y:2005:i:s1:p:957-982)
by Heather M. Anderson & Farshid Vahid - Predicting The Probability Of A Recession With Nonlinear Autoregressive Leading-Indicator Models (RePEc:cup:macdyn:v:5:y:2001:i:04:p:482-505_02)
by Anderson, Heather M. & Vahid, Farshid - A Model for Trade Frequency in the Presence of Announcements (RePEc:ecm:ausm04:165)
by Heather M. Anderson & Lucy D. Gunn - Single Source of Error State Space Approach to the Beveridge Nelson Decomposition (RePEc:ecm:ausm04:242)
by Chin Nam Low & Heather Anderson & Ralph Snyder - How do shocks to domestic factors affect real exchange rates of Asian developing countries? (RePEc:eee:deveco:v:119:y:2016:i:c:p:67-85)
by Dumrongrittikul, Taya & Anderson, Heather M. - The effects of trade size and market depth on immediate price impact in a limit order book market (RePEc:eee:dyncon:v:120:y:2020:i:c:s0165188920301603)
by Pham, Manh Cuong & Anderson, Heather Margot & Duong, Huu Nhan & Lajbcygier, Paul - U.S. and Canadian industrial production indices as coupled oscillators (RePEc:eee:dyncon:v:26:y:2002:i:1:p:33-67)
by Anderson, Heather M. & Ramsey, James B. - Financial integration and the construction of historical financial data for the Euro Area (RePEc:eee:ecmode:v:28:y:2011:i:4:p:1498-1509)
by Anderson, Heather M. & Dungey, Mardi & Osborn, Denise R. & Vahid, Farshid - The global effects of productivity gains in Asian emerging economies (RePEc:eee:ecmode:v:83:y:2019:i:c:p:127-140)
by Dumrongrittikul, Taya & Anderson, Heather & Vahid, Farshid - On the pooling of cross-sectional and time-series data in the presence of heteroskedasticity (RePEc:eee:ecolet:v:60:y:1998:i:3:p:291-296)
by Anderson, Heather M. & Vahid, Farshid - Single source of error state space approach to the Beveridge Nelson decomposition (RePEc:eee:ecolet:v:91:y:2006:i:1:p:104-109)
by Anderson, Heather M. & Low, Chin Nam & Snyder, Ralph - Common features (RePEc:eee:econom:v:132:y:2006:i:1:p:1-5)
by Anderson, Heather M. & Victor Issler, Joao & Vahid, Farshid - High-dimensional predictive regression in the presence of cointegration (RePEc:eee:econom:v:219:y:2020:i:2:p:456-477)
by Koo, Bonsoo & Anderson, Heather M. & Seo, Myung Hwan & Yao, Wenying - Testing multiple equation systems for common nonlinear components (RePEc:eee:econom:v:84:y:1998:i:1:p:1-36)
by Anderson, Heather M. & Vahid, Farshid - Estimating the effect of an EU-ETS type scheme in Australia using a synthetic treatment approach (RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323002967)
by Anderson, Heather M. & Gao, Jiti & Turnip, Guido & Vahid, Farshid & Wei, Wei - Forecast combinations under structural break uncertainty (RePEc:eee:intfor:v:30:y:2014:i:1:p:161-175)
by Tian, Jing & Anderson, Heather M. - How does public information affect the frequency of trading in airline stocks? (RePEc:eee:jbfina:v:44:y:2014:i:c:p:26-38)
by Nowak, Sylwia & Anderson, Heather M. - Testing for cojumps in high-frequency financial data: An approach based on first-high-low-last prices (RePEc:eee:jbfina:v:99:y:2019:i:c:p:252-274)
by Liao, Yin & Anderson, Heather M. - Single source of error state space approach to the Beveridge Nelson decomposition (RePEc:een:camaaa:2005-11)
by Heather M. Anderson & Chin Nam Low & Ralph Snyder - Nonlinear autoregressive leading indicator models of output in G-7 countries (RePEc:een:camaaa:2006-14)
by Heather M. Anderson & George Athanasopoulos & Farshid Vahid - Beverridge Nelson Decomposition With Markov Switching (RePEc:een:camaaa:2006-18)
by Chin Nam Low & Heather Anderson & Ralph Snyder - Constructing Historical Euro Area Data (RePEc:een:camaaa:2007-18)
by Heather Anderson & Mardi Dungey & Denise R. Osborn & Farshid Vahid - Sectoral employment dynamics in Australia (RePEc:een:camaaa:2020-51)
by Heather Anderson & Giovanni Caggiano & Farshid Vahid & Benjamin Wong - Random Walk Smooth Transition Autoregressive Models (RePEc:eme:ceazzz:s0573-8555(05)76010-7)
by Heather M. Anderson & Chin Nam Low - Treasury Bi;; Yield Curves And Cointegration (RePEc:fth:aunaec:215)
by Anderson, H.M. & Granger, C.W.G. & Hall, A.D. - Beveridge-Nelson Decomposition with Markov Switching (RePEc:iae:iaewps:wp2006n14)
by Chin Nam Low & Heather Anderson & Ralph Snyder - On the Correspondence between Individual and Aggregate Food Consumption Functions: Evidence from the USA and the Netherlands (RePEc:jae:japmet:v:12:y:1997:i:5:p:477-98)
by Anderson, Heather M & Vahid, Farshid - On the Correspondence between Individual and Aggregate Food Consumption Functions: Evidence from the USA and the Netherlands: Reply (RePEc:jae:japmet:v:12:y:1997:i:5:p:503-07)
by Anderson, Heather M & Vahid, Farshid - Nonlinear autoregressive leading indicator models of output in G-7 countries (RePEc:jae:japmet:v:22:y:2007:i:1:p:63-87)
by George Athanasopoulos & Heather M. Anderson & Farshid Vahid - Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models (RePEc:jae:japmet:v:7:y:1992:i:s:p:s119-36)
by Terasvirta, T & Anderson, H M - Financial Integration and the Construction of Historical Financial Data for the Euro Area (RePEc:man:cgbcrp:152)
by Heather M. Anderson & Mardi Dungey & Denise R Osborn & Farshid Vahid - Constructing Historical Euro Area Data (RePEc:mmf:mmfc06:99)
by Heather Anderson & Mardi Dungey & Denise Osborn & Farshid Vahid - Does International Trade Synchronize Business Cycles? (RePEc:msh:ebswps:1999-8)
by Anderson, H.M. & Kwark, N.-S. & Vahid, F. - Predicting the Probability of a Recession with Nonlinear Autoregressive Leading Indicator Models (RePEc:msh:ebswps:2000-3)
by Anderson, H.M. & Vahid, F. - Market Architecture and Nonlinear Dynamics of Australian Stock and Future Indices (RePEc:msh:ebswps:2001-3)
by Anderson, H.M. & Vahid, F. - Capturing the Shape of Business Cycles with Nonlinear Autoregressive Leading Indicator Models (RePEc:msh:ebswps:2001-7)
by Athanasopoulos, G. & Anderson, H.M. & Vahid, F. - Nonlinear Autoregresssive Leading Indicator Models of Output in G-7 Countries (RePEc:msh:ebswps:2002-20)
by Heather M. Anderson & George Athanasopoulos & Farshid Vahid - Choosing Lag Lengths in Nonlinear Dynamic Models (RePEc:msh:ebswps:2002-21)
by Heather M. Anderson - Nonlinear Correlograms and Partial Autocorrelograms (RePEc:msh:ebswps:2003-19)
by Heather M. Anderson & Farshid Vahid - The Decline in Income Growth Volatility in the United States: Evidence from Regional Data (RePEc:msh:ebswps:2003-21)
by Heather Anderson & Farshid Vahid - Does Beta React to Market Conditions? Estimates of Bull and Bear Betas using a Nonlinear Market Model with an Endogenous Threshold Parameter (RePEc:msh:ebswps:2003-9)
by George Woodward & Heather Anderson - Single Source of Error State Space Approach to the Beveridge Nelson Decomposition (RePEc:msh:ebswps:2004-21)
by Heather M. Anderson & Chin Nam Low & Ralph Snyder - Random Walk Smooth Transition Autoregressive Models (RePEc:msh:ebswps:2004-22)
by Heather M. Anderson & Chin Nam Low - Beveridge-Nelson Decomposition with Markov Switching (RePEc:msh:ebswps:2006-17)
by Chin Nam Low & Heather Anderson & Ralph D. Snyder - Do Jumps Matter? Forecasting Multivariate Realized Volatility allowing for Common Jumps (RePEc:msh:ebswps:2010-11)
by Yin Liao & Heather M. Anderson & Farshid Vahid - VARs, Cointegration and Common Cycle Restrictions (RePEc:msh:ebswps:2010-14)
by Heather M Anderson & Farshid Vahid - Forecasting Under Strucural Break Uncertainty (RePEc:msh:ebswps:2011-8)
by Jing Tian & Heather M. Anderson - Testing for co-jumps in high-frequency financial data: an approach based on first-high-low-last prices (RePEc:msh:ebswps:2011-9)
by Yin Liao & Heather M. Anderson - Common non-linearities in multiple series of stock market volatility (RePEc:msh:ebswps:2013-1)
by Heather M. Anderson & Farshid Vahid - Do Policy-Related Shocks Affect Real Exchange Rates of Asian Developing Countries? (RePEc:msh:ebswps:2013-12)
by Taya Dumrongrittikul & Heather M. Anderson - The Effects of Productivity Gains in Asian Emerging Economies: A Global Perspective (RePEc:msh:ebswps:2014-23)
by Taya Dumrongrittikul & Heather Anderson & Farshid Vahid - How do Shocks to Domestic Factors Affect Real Exchange Rates of Asian Developing Countries (RePEc:msh:ebswps:2015-4)
by Taya Dumrongrittikul & Heather M. Anderson - Robust Bayesian exponentially tilted empirical likelihood method (RePEc:msh:ebswps:2017-21)
by Zhichao Liu & Catherine Forbes & Heather Anderson - Sectoral Employment Dynamics in Australia (RePEc:msh:ebswps:2020-20)
by Heather Anderson & Giovanni Caggiano & Farshid Vahid & Benjamin Wong - Estimating the Effect of an EU-ETS Type Scheme in Australia Using a Synthetic Treatment Approach (RePEc:msh:ebswps:2022-12)
by Heather M. Anderson & Jiti Gao & Guido Turnip & Farshid Vahid & Wei Wei - Does Climate Sensitivity Differ Across Regions? (RePEc:msh:ebswps:2023-7)
by Heather Anderson & Jiti Gao & Farshid Vahid & Wei Wei & Yang Yang - Modeling Nonlinearity over the Business Cycle (RePEc:nbr:nberch:7196)
by Clive W. Granger & Timo Terasvirta & Heather M. Anderson - Memoirs of "A Cointegration Analysis of Treasury Bill Yields" (RePEc:oup:jfinec:v:8:y:2010:i:2:p:172-173)
by Heather M. Anderson - Discussion of Key Elements of Global Inflation (RePEc:rba:rbaacv:acv2009-13)
by Heather M Anderson - Reported earnings and analyst forecasts as competing sources of information: A new approach (RePEc:sae:ausman:v:37:y:2012:i:3:p:333-359)
by Heather Anderson & Howard Chan & Robert Faff & Yew Kee Ho - Empirical Economics (RePEc:spr:empeco)
from Springer as editor - Studies in Empirical Economics (RePEc:spr:stemec)
from Springer as editor - Explanations of an empirical puzzle: what can be learnt from a test of the rational expectations hypothesis? (RePEc:taf:jecmet:v:6:y:1999:i:1:p:31-59)
by Heather Anderson - Does beta react to market conditions? Estimates of 'bull' and 'bear' betas using a nonlinear market model with an endogenous threshold parameter (RePEc:taf:quantf:v:9:y:2009:i:8:p:913-924)
by George Woodward & Heather Anderson - A Cointegration Analysis of Treasury Bill Yields (RePEc:tpr:restat:v:74:y:1992:i:1:p:116-26)
by Hall, Anthony D & Anderson, Heather M & Granger, Clive W J