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PhD (University of Oxford)
Stan Hurn joined QUT as a Professor of Econometrics in the School of Economics and Finance in 1998.
Background
- 1992: graduated with a D.Phil. in Economics from Oxford.
- 1996: appointed Official Fellow in Economics - Brasenose College, Oxford.
- 1998 - 1995: lecturer - Department of Political Economy - University of Glasgow.
Research interests
Professor Hurn's main research interests are in the field of time-series econometrics.
- Finance
- Economics
- Econometrics
Additional information
- Hurn A, Silvennoinen A, Terasvirta T, (2016) A smooth transition logit model of the effects of deregulation in the electricity market, Journal of Applied Econometrics, 31 (4), pp. 707-733.
- Hurn A, Lindsay K, McClelland A, (2015) Estimating the parameters of stochastic volatility models using option price data, Journal of Business and Economic Statistics, 33 (4), pp. 579-594.
- Clements A, Herrera R, Hurn A, (2015) Modelling interregional links in electricity price spikes, Energy Economics, 51, pp. 383-393.
- Martin V, Hurn A, Harris D, (2013) Econometric modelling with time series: specification, estimation and testing [Themes in Modern Econometrics], Cambridge University Press.
- Hurn A, Lindsay K, McClelland A, (2013) A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions, Journal of Econometrics, 172 (1), pp. 106-126.
- Hurn A, Jeisman J, Lindsay K, (2007) Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations, Journal of Financial Econometrics, 5 (3), pp. 390-455.
- Becker R, Enders W, Hurn A, (2004) A General Test for Time Dependence in Parameters, Journal of Applied Econometrics, 19 (7), pp. 899-906.
- Clements A, Hurn S, Lindsay K, (2003) Mobius-Like Mappings and their use in Kernel Density Estimation, Journal of the American Statistical Association, 98 (464), pp. 993-1000.
- Hurn A, Lindsay K, Vance M, (2003) On the Efficacy of Simulated Maximum Likelihood for Estimating the Parameters of Stochastic Differential Equations, Journal of Time Series Analysis, 24 (1), pp. 45-63.
- Title
- Change Detection in Causal Relationships and Measurement of Systemic Risk
- Primary fund type
- CAT 1 - Australian Competitive Grant
- Project ID
- DP150101716
- Start year
- 2015
- Keywords
- Granger causality; recursive estimation; systemic risk
- Title
- Novel Econometric Techniques for Dealing with Point Processes in High Frequency Financial Data with Applications to Financial Risk Management
- Primary fund type
- CAT 1 - Australian Competitive Grant
- Project ID
- DP120100837
- Start year
- 2012
- Keywords
- Financial Risk Management; Point Processes; Forecasting; High Frequency Finance; Volatility
- Title
- Novel Econometric Techniques for Modelling and Forecasting Electricity Prices and Price Volatility in Australia
- Primary fund type
- CAT 1 - Australian Competitive Grant
- Project ID
- LX0882226
- Start year
- 2008
- Keywords
- Electricity Prices; Price Risk; Multivariate Models; Volatility; Forecasting
- Volatility Transmission in Global Financial Markets (2015)
- Self excitation in equity indices (2013)
- Evaluating Multivariate Volatility Forecasts: How effective are statistical and economic loss functions? (2011)
- Expansion Methods Applied to Distributions and Risk Measurement in Financial Markets (2007)
- The Efficiency of Currency Markets: Studies of Volatility and Speed of Adjustment (2007)
- Estimation of the Parameters of Stochastic Differential Equations (2006)
- Stochastic Volatility: Maximum Likelihood Estimation and Specification Testing (2006)
- The Economic Basis of Syndicated Lending (2005)
- A Small, Macroeconometric Model of the Australian Economy: wih an emphasis on modelling wages and prices (2004)
- The Impact and Measurement of the Intensity of Noise in Stock Returns (2003)