QUT | Staff Profiles

Name

Professor Stan Hurn

Position(s)

Professor
QUT Business School,
Economics and Finance

Discipline *

Econometrics, Applied Economics

Phone

+61 7 3138 5066

Email

s.hurn@qut.edu.au

Location

View location details (QUT staff and student access only)

Identifiers and profiles

Qualifications

PhD (University of Oxford)

Professional memberships and associations

Keywords

Time series econometrics, Financial econometrics

* Field of Research code, Australian and New Zealand Standard Research Classification (ANZSRC), 2008

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.

This information has been contributed by Professor Stan Hurn.

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 p707-733
Hurn A, Lindsay K, McClelland A, (2015) Estimating the parameters of stochastic volatility models using option price data, Journal of Business and Economic Statistics p579-594
Clements A, Herrera R, Hurn A, (2015) Modelling interregional links in electricity price spikes, Energy Economics p383-393
Martin V, Hurn A, Harris D, (2013) Econometric modelling with time series: specification, estimation and testing [Themes in Modern Econometrics]
Hurn A, Lindsay K, McClelland A, (2013) A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions, Journal of Econometrics p106-126
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 p390-455
Becker R, Enders W, Hurn A, (2004) A General Test for Time Dependence in Parameters, Journal of Applied Econometrics p899-906
Clements A, Hurn S, Lindsay K, (2003) Mobius-Like Mappings and their use in Kernel Density Estimation, Journal of the American Statistical Association p993-1000
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 p45-63

For more publications by this staff member, visit QUT ePrints, the University's research repository.

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

Title: Understanding and Modelling Weather Derivatives in Australia for the Purpose of their Accurate Pricing: a Statistical and Econometric Investigation
Primary fund type: CAT 1 - Australian Competitive Grant
Project ID: DP0666266
Start year: 2006
Keywords: Weather derivatives; Nonlinear time series; Forecasting; Weather risk; Nonparametric models

Professor Stan Hurn