Jammie H. Penm

Independent

Stirling ACT 2611

SCHOLARLY PAPERS

18

DOWNLOADS
Rank 19,897

SSRN RANKINGS

Top 19,897

in Total Papers Downloads

1,976

CITATIONS
Rank 8,572

SSRN RANKINGS

Top 8,572

in Total Papers Citations

53

Scholarly Papers (18)

1.

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 267 (93,160)

Abstract:

Purchasing Power Parity, Taiwan Foreign Exchange Market

2.

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 238 (103,913)
Citation 1

Abstract:

Purchasing Power Parity, Vector Error Correction Modelling

3.

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 188 (131,569)

Abstract:

Forecasting the Indonesian Rupiah

4.

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 161 (153,913)
Citation 1

Abstract:

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 156 (160,725)
Citation 4

Abstract:

Recursive Fitting, Time Series, VARX Models

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

Journal of Time Series Analysis, Vol. 14, No. 6
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:

Keywords: Recursive Fitting, Time Series, VARX Models

6.

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

Industry of Free China, Vol. 91, No. 5, May 2001
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 122 (192,398)

Abstract:

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

7.

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 104 (218,927)

Abstract:

The 'Derived' Moving-Average Model, causality

8.

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 87 (244,472)
Citation 6

Abstract:

Algorithm, Recursive fitting, Subset vector autoregressions, Vector autoregressions

9.

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 86 (244,472)

Abstract:

Analysing, Forecasting the Taiwanese Exchange Rate

10.

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 78 (261,321)

Abstract:

Analysing, Forecasting the New Taiwanese Dollar (1992)

11.

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 72 (275,627)

Abstract:

Wage Inflation, Minimum Award Rates, Multivariate Subset Autoregressive Modelling

12.

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 72 (273,484)
Citation 7

Abstract:

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

13.

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 66 (284,399)
Citation 6

Abstract:

Initial state vector, Model reduction, Subset vector autoregression

14.

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 66 (288,934)
Citation 7

Abstract:

Multivariate Subset Autoregressive Modelling, Zero Constraints, Detecting Overall Causality

15.

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 66 (286,701)
Citation 8

Abstract:

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

16.

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 34 (383,440)
Citation 9

Abstract:

Sequential Fitting, Multichannel Subset Autoregressions, Prewindowed Case

17.

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 34 (383,440)
Citation 4

Abstract:

Subset AR, recursions, model selection criteria

18.

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 28 (407,788)

Abstract:

Multichannel Subset FIR System, Potentially Nonstationary Environment, Prewindowed Case