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Working Papers 2004

No.	Author(s)	Title (click for Abstract)	No. of pages	Paper
1/04	Roger Gay	The Power Principle and Tail-Fatness Uncertainty	18	wp1-04.pdf
2/04	Katy Cornwell and Brett Inder	Migration and Unemployment in South Africa: When Motivation Surpasses the Theory	30	wp2-04.pdf
3/04	Brett Inder	Economic growth and contraction and their impact on the poor	24	wp3-04.pdf
4/04	Jonathan Dark	Bivariate error correction FIGARCH and FIAPARCH models on the Australian All Ordinaries Index and its SPI futures	47	wp4-04.pdf
5/04	Jonathan Dark	Long memory in the volatility of the Australian All Ordinaries Index and the Share Price Index Futures	51	wp5-04.pdf
6/04	Jonathan Dark	Basis convergence and long memory in volatility when dynamic hedging with SPI futures.	40	wp6-04.pdf
7/04	Jonathan Dark	Long term hedging of the Australian All Ordinaries Index using a bivariate error correction FIGARCH model.	49	wp7-04.pdf
8/04	Don U.A. Galagedera and Robert Faff	Modelling the risk and Return Relation Conditional on Market Volatility and Market Conditions.	27	wp8-04.pdf
9/04	Xibin Zhang, Maxwell L King and Rob J Hyndman	Bandwidth Selection for Multivariate Kernel Density Estimation Using MCMC.	25	wp9-04.pdf
10/04	D.S. Poskitt and Jing Zhang	Estimating Components in Finite Mixtures and Hidden Markov Models	23	wp10-04.pdf
11/04	Andrew D. Sanford and Gael Martin	Bayesian Analysis of Continuous Time Models of the Australian Short Rate.	40	wp11-04.pdf
12/04	D.S. Poskitt	Some Results on the Identification and Estimation of Vector ARMAX Processes	39	wp12-04.pdf
13/04	B.P.M. McCabe, G.M. Martin and R.K. Freeland	Testing for Dependence in Non-Gaussian Time Series Data	42	wp13-04.pdf
14/04	Mark N. Harris and Xueyan Zhao	Modelling Tobacco Consumption with a Zero-Inflated Ordered Probit Model	42	wp14-04.pdf
15/04	Ralph D. Snyder	Exponential Smoothing: A Prediction Error Decomposition Principle	11	wp15-04.pdf
16/04	Don U.A. Galagedera and Elizabeth A. Maharaj	Wavelet timescales and conditional relationship between higher-order systematic co-moments and portfolio returns: evidence in Australian data	30	wp16-04.pdf
17/04	Kesten C. Green and J. Scott Armstrong	Structured analogies for forecasting	27	wp17-04.pdf
18/04	Kesten C. Green	Further evidence on game theory, simulated interaction, and unaided judgement for forecasting decisions in conflicts	34	wp18-04.pdf
19/04	D.S. Poskitt and C.L. Skeels	Approximating the distribution of the instrumental variables estimator when the concentration parameter is small	25	wp19-04.pdf
20/04	D.S. Poskitt	On the identification and estimation of partially nonstationary ARMAX systems	35	wp20-04.pdf
21/04	Heather M. Anderson, Chin Nam Low and Ralph Snyder	Single Source of Error State Space Approach to the Beveridge Nelson Decomposition	13	wp21-04.pdf
22/04	Heather M. Anderson and Chin Nam Low	Random Walk Smooth Transition Autoregressive Models (revised)	35	wp22-04.pdf
23/04	Max Gillman and Mark N. Harris	Inflation, Financial Development and Growth in Transition Countries	20	wp23-04.pdf
24/04	Max Gillman and Mark N. Harris	Inflation, Financial Development and Endogenous Growth	25	wp24-04.pdf
25/04	Roger Gay	Adaptive Premiums For Evolutionary Claims In Non-Life Insurance	33	wp25-04.pdf
26/04	Xibin Zhang and Maxwell L. King	Box-Cox Stochastic Volatility Models with Heavy-Tails and Correlated Errors	28	wp26-04.pdf
27/04	Kesten C. Green and J. Scott Armstrong	Value of expertise for forecasting decisions in conflicts	9	wp27-04.pdf
28/04	Phillip Gould, Anne B. Koehler, Farshid Vahid-Araghi, Ralph D. Snyder, J. Keith Ord and Rob J. Hyndman	Forecasting Time-Series with Multiple Seasonal Patterns (Formerly "Forecasting Time-Series with Correlated Seasonality", revised 2005)	21	wp28-04.pdf
29/04	D. S. Poskitt and C. L. Skeels	Assessing the Magnitude of the Concentration Parameter in a Simultaneous Equations Model	21	wp29-04.pdf

Working Papers 2003

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