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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), 707–733. https://eprints.qut.edu.au/83915
- 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), 579–594. https://eprints.qut.edu.au/89591
- Clements, A., Herrera, R. & Hurn, A. (2015). Modelling interregional links in electricity price spikes. Energy Economics, 51, 383–393. https://eprints.qut.edu.au/87331
- Martin, V., Hurn, A. & Harris, D. (2013). Econometric modelling with time series: specification, estimation and testing [Themes in Modern Econometrics]. Cambridge University Press. https://eprints.qut.edu.au/62806
- Hurn, A., Lindsay, K. & McClelland, A. (2013). A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions. Journal of Econometrics, 172(1), 106–126. https://eprints.qut.edu.au/60148
- 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), 390–455. https://eprints.qut.edu.au/42857
- Becker, R., Enders, W. & Hurn, A. (2004). A General Test for Time Dependence in Parameters. Journal of Applied Econometrics, 19(7), 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), 993–1000. https://eprints.qut.edu.au/8378
- 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), 45–63. https://eprints.qut.edu.au/8370
- 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)