Christopher Heaton

Macquarie University - Department of Economics

Sydney NSW 2109

Australia

UNSW Australia Business School, School of Economics

High Street

Sydney, NSW 2052

Australia

SCHOLARLY PAPERS

7

DOWNLOADS

408

SSRN CITATIONS
Rank 24,681

SSRN RANKINGS

Top 24,681

in Total Papers Citations

6

CROSSREF CITATIONS

28

Scholarly Papers (7)

1.

An Empirical Analysis of Value-at-Risk Forecasting Models

Number of pages: 22 Posted: 18 Aug 2014
Colin Bowers and Christopher Heaton
Macquarie University - Department of Economics and Macquarie University - Department of Economics
Downloads 150 (213,245)

Abstract:

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Value-at-Risk, Forecasting, Model Confidence Set, Intraday

2.

Bootstrapping Daily Returns

Number of pages: 33 Posted: 30 Nov 2013
Colin Bowers and Christopher Heaton
Macquarie University - Department of Economics and Macquarie University - Department of Economics
Downloads 93 (302,330)
Citation 3

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Distribution of Returns, Bootstrap, Variance, Value-at-Risk, Intraday

3.

Tests of Technical Trading Rule Profitability in Australian Financial Markets

Number of pages: 12 Posted: 25 Aug 2013
Jung-Soo Park and Christopher Heaton
Macquarie University, Macquarie Business School and Macquarie University - Department of Economics
Downloads 93 (302,330)

Abstract:

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Technical Trading Rules, Trading Strategies, Multiple Comparison, Data Snooping, Australian Financial Markets

4.

Ranking Intraday Volatility Estimators Using Empirical Criteria

Number of pages: 25 Posted: 18 Aug 2014 Last Revised: 30 Aug 2014
Colin Bowers and Christopher Heaton
Macquarie University - Department of Economics and Macquarie University - Department of Economics
Downloads 58 (393,910)

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Variance, Realized Variance, Volatility, Loss Functions, Optimal Sampling Frequency

The Wage Premium of Foreign Education: New Evidence from Australia

Australian Economic Review, Vol. 46, Issue 4, pp. 395-404, 2013
Number of pages: 10 Posted: 29 Nov 2013
Massimiliano Tani, Christopher Heaton and Gavin Chan
University of New South Wales - Australian Defence Force Academy, Macquarie University - Department of Economics and Government of Western Australia
Downloads 0
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6.

Identification of Causal Factor Models of Stationary Time Series

Number of pages: 10 Posted: 14 Dec 2004
Christopher Heaton and Victor Solo
Macquarie University - Department of Economics and University of Michigan at Ann Arbor - Department of Electrical Engineering and Computer Science
Downloads 11 (626,208)
Citation 1
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7.

International Commodity Prices and the Australian Stock Market

Economic Record, Vol. 87, Issue 276, pp. 37-44, 2011
Number of pages: 8 Posted: 14 Mar 2011
Christopher Heaton, George Milunovich and Anthony Pass-De-Silva
Macquarie University - Department of Economics, Macquarie University - Department of Economics and affiliation not provided to SSRN
Downloads 3 (684,600)
Citation 6
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G14, G15, C52