Professor Heather Anderson - Researcher Profile

Heather Anderson


Department of Econometrics and Business Statistics
Monash University, Clayton

Contact Details

Tel: +61 3 990 58462



Heather Anderson is the Maureen Brunt Professor of Economics and Econometrics, in the Department of Econometrics and Business Statistics.

She is also an elected fellow of the Academy of Social Sciences in Australia, and on the editorial boards of:

  • the Journal of Applied Econometrics,
  • the Economic Record, Empirical Economics and Studies in Nonlinear Dynamics and
  • Econometrics.

Related Links:


econometrics; nonlinear time series analysis; empirical finance; macroeconomics


Institution: University of California, San Diego
Year awarded: 1992
Institution: University of California, San Diego
Year awarded: 1989
Institution: Australian National University
Year awarded: 1987


Book Chapters

Anderson, H.M., Vahid-Araghi, F., 2014, Common nonlinearities in multiple series of stock market volatility, in Essays in Nonlinear Time Series Econometrics, eds Niels Haldrup, Mika Meitz and Pentti Saikkonen, Oxford University Press, Oxford UK, pp. 93-117.

Anderson, H., Vahid-Araghi, F., 2011, VARS, cointegration, and common cycle restrictions, in The Oxford Handbook of Economic Forecasting, eds Michael P Clements and David F Hendry, Oxford University Press, Oxford United Kingdom, pp. 9-34.

Low, C., Anderson, H., 2008, Economic applications: The Beveridge-Nelson decomposition, in Forecasting with Exponential Smoothing: The State Space Approach, eds Rob J Hyndman, Anne B Koehler, J Keith Ord and Ralph D Snyder, Springer, Berlin Germany, pp. 325-337.

Anderson, H., Low, C., 2006, Random walk smooth transition autoregressive models, in Nonlinear Time Series Analysis of Business Cycles, eds Costas Milas, Philip Rothman and Dick van Dijk, Elsevier, Amsterdam Netherlands, pp. 247-281.

Anderson, H.M., Stigum, B.P., Storvik, G.O., 2003, Scientific explanation in econometrics: a case study, in Econometrics and the Philosophy of Economics, eds Brent P. Stigum, Princeton University Press, Princeton USA, pp. 578-609.

Anderson, H.M., Nam, K., Vahid, F., 1999, Asymmetric nonlinear smooth transition GARCH models, in Nonlinear time series analysis of economic and financial data, Kluwer, Boston USA, pp. 191-207.

Journal Articles

Dumrongrittikul, T., Anderson, H.M., 2016, How do shocks to domestic factors affect real exchange rates of Asian developing countries?, Journal of Development Economics [P], vol 119, Elsevier, Amsterdam Netherlands, pp. 67-85.

Tian, J., Anderson, H.M., 2014, Forecast combinations under structural break uncertainty, International Journal of Forecasting [P], vol 30, issue 1, Elsevier, Amsterdam Netherlands, pp. 161-175.

Nowak, S.B., Anderson, H.M., 2014, How does public information affect the frequency of trading in airline stocks?, Journal of Banking and Finance [P], vol 44, Elsevier, Amsterdam Netherlands, pp. 26-38.

Anderson, H.M., Chan, H., Faff, R., Ho, Y., 2012, Reported earnings and analyst forecasts as competing sources of information: A new approach, Australian Journal of Management [P], vol 37, issue 3, SAGE Publications Ltd, London UK, pp. 333-359.

Anderson, H.M., Dungey, M., Osborn, D., Vahid-Araghi, F., 2011, Financial integration and the construction of historical financial data for the Euro Area, Economic Modelling [P], vol 28, issue 4, Elsevier, Netherlands, pp. 1498-1509.

Woodward, G., Anderson, H., 2009, Does beta react to market conditions? Estimates of 'bull' and 'bear' betas using a nonlinear market model with an endogenous threshold parameter, Quantitative Finance [P], vol 9, issue 8, Routledge, Oxon, UK, pp. 913-924.

Anderson, H., Vahid-Araghi, F., 2007, Forecasting the volatility of Australian stock returns: Do common factors help?, Journal Of Business & Economic Statistics [P], vol 25, issue 1, American Statistical Association, Alexandria USA, pp. 76-90.

Anderson, H.M., Athanasopoulos, G., Vahid, F., 2007, Nonlinear autoregressive leading indicator models of output in G-7 countries, Journal of Applied Econometrics, vol 22, issue 1, John Wiley & Sons Ltd, UK, pp. 63-87.

Anderson, H.M., Low, C.N., Snyder, R.D., 2006, Single source of error state space approach to the Beveridge Nelson decomposition, Economics Letters, vol 91, issue 1, Elsevier, The Netherlands, pp. 104-109.

Anderson, H., Vahid-Araghi, F., 2005, Nonlinear correlograms and partial autocorrelograms, Oxford Bulletin Of Economics And Statistics [P], vol 67, issue S1, Wiley-Blackwell Publishing Ltd, Oxford UK, pp. 957-982.

Anderson, H.M., Ramsey, J.B., 2002, U.S. and Canadian industrial production indices as coupled oscillators, Journal of Economic Dynamics & Control, vol 26, Elsevier Science, Netherland, pp. 33-67.

Anderson, H.M., Vahid, F., 2001, Market architecture and nonlinear dynamics of Australian stock and futures indices, Australian Economic Papers, vol 40, issue 4, Blackwell, Oxford UK, pp. 541-566.

Anderson, H.M., Vahid, F., 2001, Predicting the probability of a recession with nonlinear autoregressive leading-indicator models, Macroeconomic Dynamics, vol 5, Cambridge University Press, UK, pp. 482-505.

Anderson, H.M., 1999, Review of book: Unit roots, cointegration and structural change, Economic Record, vol 75, 231, Economic Society of Australia, Burwood Vic Australia, pp. 439-441.

Conference Proceedings

Anderson, H.M., Kwark, N., Vahid, F., 1999, International trade and the synchronization of business cycles, Proceedings: ESAM99 (Econometric Society Australasian Meeting), 7 July 1999 to 9 July 1999, University of Technology, Sydney, Sydney NSW Australia, pp. 1-48.


Anderson, H.M., Kwark, N., Vahid, F., 1999, Does international trade synchronize business cycles?, Department of Econometrics and Business Statistics Working Papers, Monash University, Melbourne Vic Australia.