Personal details
- Name
- Professor Stan Hurn
- Position(s)
- Professor
Faculty of Business & Law,
School of Economics & Finance - Discipline *
- Econometrics, Applied Economics
- Phone
- +61 7 3138 5066
- 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 - Founding Board Member – National Centre for Econometric Research
- Deputy Director – National Centre for Econometric Research
- Council Member – Society for Financial Econometrics
- Keywords
-
Time series econometrics, Financial econometrics
* Field of Research code, Australian and New Zealand Standard Research Classification (ANZSRC), 2008
Biography
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
This information has been contributed by Professor Stan Hurn.
Teaching
Teaching interests
EFB200 Applied Regression Analysis
BSN506 Econometric Methods
EFN500 Contemporary Macroeconomic Theory
- EFB200 Applied Regression Analysis
- BSN506 Econometric Methods
- EFN500 Contemporary Macroeconomic Theory
This information has been contributed by Professor Stan Hurn.
Publications
- 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.
Research projects
Grants and projects (Category 1: Australian Competitive Grants only)
- 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
Supervision
Completed supervisions (Doctorate)
- 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)