John Hunter

Brunel University - School of Social Science

Department of Economics and Finance

Kingston Lane

Uxbridge, Middlesex UB8 3PH

United Kingdom

http://www.brunel.ac.uk/about/acad//sss/depts/economics/ef_staff/johnhunter

SCHOLARLY PAPERS

11

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11

Scholarly Papers (11)

On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010

DIW Berlin Discussion Paper No. 1289
Number of pages: 51 Posted: 12 Apr 2013 Last Revised: 03 Nov 2013
Brunel University London - Department of Economics and Finance, Brunel University - School of Social Science and University of Sussex -University of Sussex Business School
Downloads 181 (164,380)
Citation 2

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Stock prices, exchange rates, causality-in-variance, cointegration

On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010

CESifo Working Paper Series No. 4189
Number of pages: 32 Posted: 16 Apr 2013
Brunel University London - Department of Economics and Finance, Brunel University - School of Social Science and University of Sussex -University of Sussex Business School
Downloads 53 (379,909)
Citation 7

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stock prices, exchange rates, causality-in-variance, cointegration

2.

Aggregate Economy Risk and Company Failure: An Examination of UK Quoted Firms

Number of pages: 35 Posted: 14 Nov 2008 Last Revised: 15 Jul 2012
John Hunter and Natalia Isachenkova
Brunel University - School of Social Science and Kingston Business School
Downloads 101 (260,307)
Citation 4

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Company Failure, Aggregate Economy Risk, Unexpected Changes in Interest and Exchange

3.

Is the Real Exchange Rate Stationary? The Application of Similar Tests for a Unit Root in the Univariate and Panel Cases

Quantitative and Qualitative Analysis in Social Sciences Vol. 1, No. 2, pp. 55-70, 2007
Number of pages: 16 Posted: 08 Feb 2009
John Beirne, John Hunter and Mark Simpson
European Central Bank (ECB), Brunel University - School of Social Science and affiliation not provided to SSRN
Downloads 90 (280,467)
Citation 1

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Nonstationarity, panel data, PPP, real exchange rate, stationarity

4.

The Wold Representation, Degree of Non-Cointegration, and the Johansen Trace Test

Quantitative and Qualitative Analysis in Social Sciences, Vol. 1, No. 3, pp. 21-39, 2007
Number of pages: 19 Posted: 08 Feb 2009
Simon P. Burke and John Hunter
Henley Business School and Brunel University - School of Social Science
Downloads 66 (335,882)
Citation 3

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Cointegration, trace test, simulation, vector moving average, vector auto-regression, Wold

5.

Money Demand Instability and Real Exchange Rate Persistence in the Monetary Model of USD-JPY Exchange Rate

Brunel University Working Paper No. 13-08
Number of pages: 42 Posted: 22 Apr 2013 Last Revised: 15 Mar 2014
John Hunter and Faek Menla Ali
Brunel University - School of Social Science and University of Sussex -University of Sussex Business School
Downloads 58 (358,385)
Citation 1

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Cointegration, Exchange rates, Monetary model, Weak exogeneity

6.

Common Trends, Cointegration and Competitive Price Behaviour

Number of pages: 9 Posted: 14 Nov 2008
Simon P. Burke and John Hunter
Henley Business School and Brunel University - School of Social Science
Downloads 53 (373,878)

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Cointegration, Common trend, Competition, Equilibrium

7.

A Panel Analysis of UK Industrial Company Failure

ESRC Centre for Business Research, University of Cambridge Working Paper No. 228
Number of pages: 24 Posted: 15 Apr 2013 Last Revised: 16 Mar 2014
John Hunter and Natalia Isachenkova
Brunel University - School of Social Science and Kingston Business School
Downloads 44 (404,548)
Citation 3

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Company Failure Risk, Unobserved Heterogeneity, Conditional Fixed Effects Logit Model

8.

Arbitrage, Market Definition and Monitoring a Time Series Approach

Number of pages: 28 Posted: 15 Jul 2012 Last Revised: 02 Aug 2012
Simon P. Burke and John Hunter
Henley Business School and Brunel University - School of Social Science
Downloads 29 (466,635)
Citation 4

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Arbitrage, Cointegration, Competition, Equilibrium Price Adjustment, Stationarity, Stochastic Trend, Weak Exogeneity

9.

Multifactor Consumption Based Asset Pricing Models Using the US Stock Market as a Reference: Evidence from a Panel of Developed Economies

Number of pages: 19 Posted: 06 Jan 2014
John Hunter and Feng Wu
Brunel University - School of Social Science and Banco Santander - Banco Santander (London)
Downloads 25 (487,354)

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Consumption based asset pricing model, Generated Regressor, Multi-factor Model, Panel Estimation, Random Effects

10.

Matrix Polynomial Conditions for the Existence of Rational Expectations Solutions

Number of pages: 8 Posted: 14 Nov 2008
John Hunter and Christos Ioannidis
Brunel University - School of Social Science and University of Bath-Department of Economics
Downloads 21 (509,829)
Citation 1

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Generalized Bzout Theorem, Polynomial Divisor, Rank

11.

Extracting Long‐Run Information from Energy Prices ‐ The Role of Exogeneity

Number of pages: 35 Posted: 11 May 2014
John Hunter and Seyedeh Tabaghdehi
Brunel University - School of Social Science and Brunel University London - Department of Social Sciences, Media and Communications
Downloads 18 (527,126)
Citation 1

Abstract:

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Arbitrage, Law of one price, Cointegration, Error Correction Model, Longrun relationship, Weak exogeneity, Price dispersion