R. Deane Terrell

Australian National University (ANU) - National Graduate School of Management

Professor

Sir Roland Wilson Building (120)

Canberra, Australian Capital Territory 0200

Australia

SCHOLARLY PAPERS

27

DOWNLOADS
Rank 16,631

SSRN RANKINGS

Top 16,631

in Total Papers Downloads

3,173

SSRN CITATIONS
Rank 42,015

SSRN RANKINGS

Top 42,015

in Total Papers Citations

7

CROSSREF CITATIONS

8

Scholarly Papers (27)

1.

Causal Analysis of the Major Factor Influencing the Euro and its Impact on the Hong Kong Stock Market

Number of pages: 22 Posted: 18 Apr 2001
Tim Brailsford, Jack H.W. Penm and R. Deane Terrell
Bond University, Australian National University - School of Finance and Applied Statistics, Faculty of Economics and Commerce and Australian National University (ANU) - National Graduate School of Management
Downloads 319 (103,527)

Abstract:

Loading...

Causal relation analysis, the Euro exchange rate with the US dollar, zero-non-zero patterned time-series modelling

2.

Testing for Purchasing Power Parity and Efficiency in the Taiwan Foreign Exchange Market - Financial and Economic Forecasting (Chapter 13)

Number of pages: 20 Posted: 09 Jan 2003
Jack H.W. Penm, Jammie H. Penm and R. Deane Terrell
Australian National University - School of Finance and Applied Statistics, Faculty of Economics and Commerce, Independent and Australian National University (ANU) - National Graduate School of Management
Downloads 289 (115,148)

Abstract:

Loading...

Purchasing Power Parity, Taiwan Foreign Exchange Market

3.

Testing Purchasing Power Parity in the Framework of Vector Error Correction Modelling - Financial and Economic Forecasting (Chapter 14)

Number of pages: 18 Posted: 30 Jan 2003
Jack H.W. Penm, Jammie H. Penm and R. Deane Terrell
Australian National University - School of Finance and Applied Statistics, Faculty of Economics and Commerce, Independent and Australian National University (ANU) - National Graduate School of Management
Downloads 254 (131,838)

Abstract:

Loading...

Purchasing Power Parity, Vector Error Correction Modelling

4.

A New Approach of Kernel Bandwidth Applications for Time-Series Using the Example of the Prediction of the Euro's Exchange Rate

Number of pages: 18 Posted: 14 Feb 2004
Tim Brailsford, Jack H.W. Penm and R. Deane Terrell
Bond University, Australian National University - School of Finance and Applied Statistics, Faculty of Economics and Commerce and Australian National University (ANU) - National Graduate School of Management
Downloads 241 (138,956)

Abstract:

Loading...

Kernel bandwidth application; variable forgetting factor; subset autoregressive model

5.

The Price Elasticity of the Euro to Movements in Foreign Reserves Through European Central Bank Intervention

Number of pages: 23 Posted: 05 Mar 2002
Tim Brailsford, Jack H.W. Penm and R. Deane Terrell
Bond University, Australian National University - School of Finance and Applied Statistics, Faculty of Economics and Commerce and Australian National University (ANU) - National Graduate School of Management
Downloads 217 (153,756)
Citation 1

Abstract:

Loading...

6.

Forecasting the Indonesian Rupiah Against the Us Dollar - Financial and Economic Forecasting (Chapter 18)

Number of pages: 8 Posted: 13 Jan 2003
Jack H.W. Penm, Jammie H. Penm and R. Deane Terrell
Australian National University - School of Finance and Applied Statistics, Faculty of Economics and Commerce, Independent and Australian National University (ANU) - National Graduate School of Management
Downloads 198 (167,491)

Abstract:

Loading...

Forecasting the Indonesian Rupiah

7.

Is Housing Activity a Leading Indicator? - Financial and Economic Forecasting (Chapter 12)

Number of pages: 23 Posted: 09 Jan 2003
Jack H.W. Penm, Jammie H. Penm and R. Deane Terrell
Australian National University - School of Finance and Applied Statistics, Faculty of Economics and Commerce, Independent and Australian National University (ANU) - National Graduate School of Management
Downloads 166 (195,798)

Abstract:

Loading...

Housing activity, leading indicator

The Recursive Fitting of Subset VARX Models - Financial and Economic Forecasting (Chapter 8)

Number of pages: 23 Posted: 24 Feb 2003
Jack H.W. Penm, Jammie H. Penm and R. Deane Terrell
Australian National University - School of Finance and Applied Statistics, Faculty of Economics and Commerce, Independent and Australian National University (ANU) - National Graduate School of Management
Downloads 164 (198,002)

Abstract:

Loading...

Recursive Fitting, Time Series, VARX Models

The Recursive Fitting of Subset VARX Models - Financial and Economic Forecasting (Chapter 8)

Posted: 17 Apr 2003
Jack H.W. Penm, Jammie H. Penm and R. Deane Terrell
Australian National University - School of Finance and Applied Statistics, Faculty of Economics and Commerce, Independent and Australian National University (ANU) - National Graduate School of Management

Abstract:

Loading...

Keywords: Recursive Fitting, Time Series, VARX Models

9.

Using a Zero-Non-Zero Patterned Error-Correction Model to Examine the Process of Price Formation in Metals Markets

Number of pages: 21 Posted: 26 Oct 2001
Jack H.W. Penm, Jammie H. Penm and R. Deane Terrell
Australian National University - School of Finance and Applied Statistics, Faculty of Economics and Commerce, Independent and Australian National University (ANU) - National Graduate School of Management
Downloads 132 (236,298)

Abstract:

Loading...

ZNZ patterned vector error-correction modelling, Cointegration, Metals markets, General economic activity, Price formation

10.

A Proposal for: 'Causal Links between Prices and Exchange Rates'

Number of pages: 19 Posted: 21 Aug 2003
Jack H.W. Penm, R. Deane Terrell and Soushan Wu
Australian National University - School of Finance and Applied Statistics, Faculty of Economics and Commerce, Australian National University (ANU) - National Graduate School of Management and Securities & Futures Institute
Downloads 111 (268,549)

Abstract:

Loading...

Causal links, Price deflation, exchange rate crises

11.

The 'Derived' Moving-Average Model and its Role in Causality - Financial and Economic Forecasting (Chapter 5)

Number of pages: 17 Posted: 08 Jan 2003
Jack H.W. Penm, Jammie H. Penm and R. Deane Terrell
Australian National University - School of Finance and Applied Statistics, Faculty of Economics and Commerce, Independent and Australian National University (ANU) - National Graduate School of Management
Downloads 108 (273,768)

Abstract:

Loading...

The 'Derived' Moving-Average Model, causality

12.

A Supplementary Mimeo to the Paper Titled 'the Adjustment of the Yule-Walker Relations in VAR Modeling: The Impact of the Euro on the Hong Kong Stock Market'

Number of pages: 20 Posted: 05 Dec 2002
Tim Brailsford, Jack H.W. Penm and R. Deane Terrell
Bond University, Australian National University - School of Finance and Applied Statistics, Faculty of Economics and Commerce and Australian National University (ANU) - National Graduate School of Management
Downloads 102 (284,780)
Citation 4

Abstract:

Loading...

13.

Analysing and Forecasting the Taiwanese Exchange Rate Against the Us Dollar (1988-91) - Financial and Economic Forecasting (Chapter 16)

Number of pages: 15 Posted: 13 Jan 2003
Jack H.W. Penm, Jammie H. Penm and R. Deane Terrell
Australian National University - School of Finance and Applied Statistics, Faculty of Economics and Commerce, Independent and Australian National University (ANU) - National Graduate School of Management
Downloads 94 (300,322)

Abstract:

Loading...

Analysing, Forecasting the Taiwanese Exchange Rate

14.

On the Recursive Fitting of Subset Autoregressions - Financial and Economic Forecasting (Chapter 1)

Number of pages: 37 Posted: 19 Dec 2002
Jack H.W. Penm, Jammie H. Penm and R. Deane Terrell
Australian National University - School of Finance and Applied Statistics, Faculty of Economics and Commerce, Independent and Australian National University (ANU) - National Graduate School of Management
Downloads 91 (306,539)

Abstract:

Loading...

Algorithm, Recursive fitting, Subset vector autoregressions, Vector autoregressions

15.

Analysing and Forecasting the New Taiwanese Dollar Against the Us Dollar (1992) - Financial and Economic Forecasting (Chapter 17)

Number of pages: 8 Posted: 13 Jan 2003
Jack H.W. Penm, Jammie H. Penm and R. Deane Terrell
Australian National University - School of Finance and Applied Statistics, Faculty of Economics and Commerce, Independent and Australian National University (ANU) - National Graduate School of Management
Downloads 82 (327,054)

Abstract:

Loading...

Analysing, Forecasting the New Taiwanese Dollar (1992)

16.

The Selection of Zero-Non-Zero Patterned Cointegrating Vectors in Error Correction Modelling - Financial and Economic Forecasting (Chapter 10)

Number of pages: 21 Posted: 09 Jan 2003
Jack H.W. Penm, Jammie H. Penm and R. Deane Terrell
Australian National University - School of Finance and Applied Statistics, Faculty of Economics and Commerce, Independent and Australian National University (ANU) - National Graduate School of Management
Downloads 77 (339,345)
Citation 2

Abstract:

Loading...

cointegration, vector error correction modelling, zero entry, tree pruning

17.

A Re-Examination of Causality Relationships in Australian Wage Inflation and Minimum Award Rates - Using Multivariate Subset Autoregressive Modelling with Constraints - Financial and Economic Forecasting (Chapter 11)

Number of pages: 20 Posted: 24 Feb 2003
Jack H.W. Penm, Jammie H. Penm and R. Deane Terrell
Australian National University - School of Finance and Applied Statistics, Faculty of Economics and Commerce, Independent and Australian National University (ANU) - National Graduate School of Management
Downloads 76 (341,834)

Abstract:

Loading...

Wage Inflation, Minimum Award Rates, Multivariate Subset Autoregressive Modelling

18.

Subset Autoregressive Filtering Using the Forgetting Factor for Financial Simulations

Number of pages: 22 Posted: 06 Dec 2002
Tim Brailsford, Jack H.W. Penm and R. Deane Terrell
Bond University, Australian National University - School of Finance and Applied Statistics, Faculty of Economics and Commerce and Australian National University (ANU) - National Graduate School of Management
Downloads 74 (347,069)

Abstract:

Loading...

19.

Using the Bootstrap as an Aid in Choosing the Approximate Representation for Vector Time Series - Financial and Economic Forecasting (Chapter 6)

Number of pages: 21 Posted: 08 Jan 2003
Jack H.W. Penm, Jammie H. Penm and R. Deane Terrell
Australian National University - School of Finance and Applied Statistics, Faculty of Economics and Commerce, Independent and Australian National University (ANU) - National Graduate School of Management
Downloads 73 (349,706)

Abstract:

Loading...

Initial state vector, Model reduction, Subset vector autoregression

20.

Multivariate Subset Autoregression - Financial and Economic Forecasting (Chapter 3)

Number of pages: 16 Posted: 08 Jan 2003
Jack H.W. Penm, Jammie H. Penm and R. Deane Terrell
Australian National University - School of Finance and Applied Statistics, Faculty of Economics and Commerce, Independent and Australian National University (ANU) - National Graduate School of Management
Downloads 70 (357,905)

Abstract:

Loading...

block Choleski decomposition, Hocking's 1-lag reduction algorithm, leaps and bounds algorithm

21.

Multivariate Subset Autoregressive Modelling with Zero Constraints for Detecting 'Overall Causality' - Financial and Economic Forecasting (Chapter 4)

Number of pages: 28 Posted: 08 Jan 2003
Jack H.W. Penm, Jammie H. Penm and R. Deane Terrell
Australian National University - School of Finance and Applied Statistics, Faculty of Economics and Commerce, Independent and Australian National University (ANU) - National Graduate School of Management
Downloads 69 (360,686)
Citation 2

Abstract:

Loading...

Multivariate Subset Autoregressive Modelling, Zero Constraints, Detecting Overall Causality

22.

A Note on the Sequential Fitting of Multichannel Subset Autoregressions Using the Prewindowed Case - Financial and Economic Forecasting (Chapter 7)

Number of pages: 16 Posted: 16 Jan 2003
Jack H.W. Penm, Jammie H. Penm and R. Deane Terrell
Australian National University - School of Finance and Applied Statistics, Faculty of Economics and Commerce, Independent and Australian National University (ANU) - National Graduate School of Management
Downloads 40 (460,958)

Abstract:

Loading...

Sequential Fitting, Multichannel Subset Autoregressions, Prewindowed Case

23.

A Note on the Recursions of Multichannel Complex Subset Autoregressions - Financial and Economic Forecasting (Chapter 2)

Number of pages: 10 Posted: 19 Dec 2002
Jack H.W. Penm, Jammie H. Penm and R. Deane Terrell
Australian National University - School of Finance and Applied Statistics, Faculty of Economics and Commerce, Independent and Australian National University (ANU) - National Graduate School of Management
Downloads 38 (469,462)

Abstract:

Loading...

Subset AR, recursions, model selection criteria

24.

A Technical Note on the Fitting of a Multichannel Subset Fir System within a Potentially Nonstationary Environment, Using the Prewindowed Case - Financial and Economic Forecasting (Chapter 9)

Number of pages: 20 Posted: 07 Jan 2003
Jack H.W. Penm, Jammie H. Penm and R. Deane Terrell
Australian National University - School of Finance and Applied Statistics, Faculty of Economics and Commerce, Independent and Australian National University (ANU) - National Graduate School of Management
Downloads 32 (497,358)

Abstract:

Loading...

Multichannel Subset FIR System, Potentially Nonstationary Environment, Prewindowed Case

25.

The Equivalence of Causality Detection in VAR and VECM Modeling with Applications to Exchange Rates

Multinational Finance Journal, Vol. 10, No. 3/4, p. 153-177, 2006
Number of pages: 25 Posted: 30 Jun 2015
Tim Brailsford, Jack H.W. Penm and R. Deane Terrell
Bond University, Australian National University - School of Finance and Applied Statistics, Faculty of Economics and Commerce and Australian National University (ANU) - National Graduate School of Management
Downloads 23 (547,623)

Abstract:

Loading...

error correction models; VAR; granger causality; purchasing power parity

26.

The Adjustment of the Yule-Walker Relations in VAR Modeling: The Impact of the Euro on the Hong Kong Stock Market

Multinational Finance Journal, Vol. 5, No. 1, p. 35-58, 2001
Number of pages: 24 Posted: 08 Jul 2015
Tim Brailsford, Jack H.W. Penm and R. Deane Terrell
Bond University, Australian National University - School of Finance and Applied Statistics, Faculty of Economics and Commerce and Australian National University (ANU) - National Graduate School of Management
Downloads 21 (560,209)

Abstract:

Loading...

foreign exchange market; time series; VAR models; Yule-Walker relations

27.

Selecting the Forgetting Factor in Subset Autoregressive Modelling

Number of pages: 21 Posted: 14 Feb 2003
Tim Brailsford, Jack H.W. Penm and R. Deane Terrell
Bond University, Australian National University - School of Finance and Applied Statistics, Faculty of Economics and Commerce and Australian National University (ANU) - National Graduate School of Management
Downloads 12 (619,532)
  • Add to Cart

Abstract:

Loading...