Contact
School of Economics and Finance
Queensland University of Technology, Brisbane, QLD 4001 Australia
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Professor Stan Hurn

Positions Held

Professor of Finance, Queensland University of Technology, Brisbane.
Program Director, Applied Modelling in Economics and Finance, Australian Centre for Business Research.

Prizes and Honours

1987 Brockhues Graduate Scholarship St. Edmund Hall, Oxford.
1983 Rhodes Scholarship.
1982 Graduate Scholarship, Council for Industrial and Scientific Research.
1979 Queen’s College Trust Scholarship.

Employment

1998 – Porfessor of Finance, Queensland University of Technology
1996 - June 1998, Fellow of Brasenose College, Oxford.
1995 – June 1996, Visiting Senior Lecturer, Dept. of Economics, University of Melbourne.
1994 – 1995, Senior Lecturer, Dept. of Economics, University of Glasgow.
1988 – 1994, Senior Lecturer, Dept. of Economics, University of Glasgow.

Graduate Students

PhD (5), Masters/Hons. (10).

Research Interests

Financial Econometrics, Nonlinear Time-series, Bootstrapping, Nonparametric Density Estimation, Quantitative Finance, Stochastic Calculus in Finance.

Stochastic modelling, in particular of risky assets. Time series and associated statistical inference.

Selected Research Grants

2003 – 2005 ARC Discovery Grant (with R. Wolff): New approaches to statistical modelling of financial risk ($90,000).
2003 – 2005 Collaborative Research Grant with Ergon Energy: Price risk in retail electricity markets ($8000).
2000 – 2001 ARC SPRT Grant: Return, risk and constrarian investment in Australia. ($56,000).
2000 – 2001 ATN Research Grant: Bootstrapping and statistical inference. ($9,000).
1999, 2000, QUT Visiting Fellow Grants to Professors Ken Lindsay ($11,000) and Walter Enders ($7,000).

Selected Professional Activities

Editor, Oxford Economic Papers 1996 – 1998.
Associate Editor, Greek Economic Review, 1996 – .
Co-chair, Econometric Society Australasian Meeting, July 2002.
Referee for major Economics, Econometrics & Statistics journals.
Referee for US tenure & promotion cases

Selected Publications

  • Clements A.E., Hurn A.S. and Lindsay K.A. (2003) Mobius-like mappings and their use in kernel density estimation. Journal of the American Statistical Association, forthcoming.
  • Becker, R., Enders, W. and Hurn A.S. (2003) A general test for time-dependent parameters. Journal of Applied Econometrics, forthcoming.
  • Hurn, A. S. & Pavlov, V. (2003) Momentum in Australian stock returns. Australian Journal of Management, forthcoming.
  • Hurn, A.S., Lindsay, K.A. & Martin V.L. (2003) On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential equations. Journal of Time Series Analysis, 24, 45-63.
  • Hurn, A.S. & Lindsay, K.A. (2002) On the specification of drift and diffusion functions for continuous-time models of the spot interest rate. Oxford Bulletin of Economics and Statistics, 64, 547-564.
  • Enders, W & Hurn, A. S. (2002) Modelling the Phillips Curve in Australia. Journal of Macroeconomics, 24, 395-412.
  • Hurn A.S. & Lindsay K.A. (2000) A new method for nonparametric density estimation, Journal of Nonparametric Statistics, 12, 177 – 196.
  • Hurn A.S. & Lindsay K.A. (1999) Estimating the parameters of stochastic differential equations, Mathematics and Computers in Simulation, 48, 373 - 384.
  • Amiel Y., Creedy J. & Hurn A.S. (1999) Measuring inequality aversion, Scandinavian Journal of Economics, 101, 83-96.
  • Hurn, A S, Lindsay, K A. & Michie C M (1997) Modelling the lifespan of human T lymphocyte subsets. Mathematical Biosciences, 143, 91-102.
  • Hurn A.S., Moody T. & Muscatelli V.A. (1995) The term structure of interest rates in the UK interbank market, Oxford Economic Papers, 47, 418-436.
  • Enders W. & Hurn A.S. (1994) “Generalised purchasing power parity: theory and tests for the Pacific Rim”, Review of International Economics, 2, 179-190.
  • Hurn, A.S. & Wright, R.E. (1994) “Geology or economics? Testing models of irreversible investment”, Economic Journal, 104, 363-371.
  • Hurn, A.S. & Muscatelli V.A. (1992) “Testing superexogeneity: the case of the demand for broad money in the UK”, Oxford Bulletin of Economics and Statistics, 54, 543-556.