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Anthony David Hall

Personal Details

First Name:Anthony
Middle Name:David
Last Name:Hall
Suffix:
RePEc Short-ID:pha174
[This author has chosen not to make the email address public]
7/9-11 Drevermann Street Farrer ACT 2607 Australia
+61 408460972
Terminal Degree:1976 London School of Economics (LSE) (from RePEc Genealogy)

Research output

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Jump to: Working papers Articles Chapters

Working papers

  1. Anthony D. Hall & Annastiina Silvennoinen & Timo Teräsvirta, 2021. "Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model," CREATES Research Papers 2021-13, Department of Economics and Business Economics, Aarhus University.
  2. Tony Hall & Jan Jacobs & Adrian Pagan, 2013. "Macro-Econometric System Modelling @75," CAMA Working Papers 2013-67, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  3. Anthony D Hall & Stephen E Satchell, 2013. "The anatomy of portfolio skewness and kurtosis," Published Paper Series 2013-7, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  4. Louis R. Mercorelli & David Michayluk & Anthony D. Hall, 2008. "Modelling Adverse Selection on Electronic Order-Driven Markets," Research Paper Series 220, Quantitative Finance Research Centre, University of Technology, Sydney.
  5. Ferenc Szidarovszky & Emery A. Coppola Jr & Jingjie Long & Anthony D Hall & Mary M. Poulton, 2007. "A Hybrid Artificial Neural Network-Numerical Model for Ground Water Problems," Published Paper Series 2007-6, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  6. Anthony D. Hall & Nikolaus Hautsch, 2004. "Order Aggressiveness and Order Book Dynamics," FRU Working Papers 2005/04, University of Copenhagen. Department of Economics. Finance Research Unit.
  7. Anthony D. Hall & Nikolaus Hautsch, 2004. "A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market," Discussion Papers 04-07, University of Copenhagen. Department of Economics.
  8. A. Colin Cameron & Anthony D. Hall, 2003. "A Survival Analysis of Australian Equity Mutual Funds," Research Paper Series 94, Quantitative Finance Research Centre, University of Technology, Sydney.
  9. Ron Bird & Richard Gerlach & Anthony D Hall, 2001. "The prediction of earnings movements using accounting data: An update and extension of Ou and Penman," Published Paper Series 2001-2, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  10. Anthony D. Hall & Paul Kofman & Steve Manaster, 2001. "Migration of Price Discovery With Constrained Futures Markets," Research Paper Series 70, Quantitative Finance Research Centre, University of Technology, Sydney.
  11. Richard Gerlach & Ron Bird & Anthony D. Hall, 2000. "A Bayesian Approach to Variable Selection in Logistic Regression with Application to Predicting Earnings Direction from Accounting Information," Research Paper Series 47, Quantitative Finance Research Centre, University of Technology, Sydney.
  12. Anthony Hall & Soosung Hwang & Stephen E. Satchell, 2000. "Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return Models," Econometric Society World Congress 2000 Contributed Papers 1213, Econometric Society.
  13. Hall, Anthony D. & Skalin, Joakim & Teräsvirta, Timo, 1998. "A nonlinear time series model of El Niño," SSE/EFI Working Paper Series in Economics and Finance 263, Stockholm School of Economics.
  14. Anthony D. Hall & Paul Kofman & Ron Guido, 1998. "Limits to Linear Price Behaviour: Target Zones for Futures Prices Regulated By Limits," Research Paper Series 3, Quantitative Finance Research Centre, University of Technology, Sydney.
  15. Pagan, A.R. & Hall, A.D. & Martin, V., 1995. "Modelling the Term Structure," Papers 284, Australian National University - Department of Economics.
  16. Anderson, H.M. & Granger, C.W.G. & Hall, A.D., 1990. "Treasury Bi;; Yield Curves And Cointegration," Papers 215, Australian National University - Department of Economics.
  17. Adrian R Pagan & Anthony D Hall, 1983. "Diagnostic tests as residual analysis," Published Paper Series 1983-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.

Articles

  1. Anthony D. Hall & Annastiina Silvennoinen & Timo Teräsvirta, 2023. "Building Multivariate Time-Varying Smooth Transition Correlation GARCH Models, with an Application to the Four Largest Australian Banks," Econometrics, MDPI, vol. 11(1), pages 1-37, February.
  2. A. D. Hall & S. E. Satchell & P. J. Spence, 2015. "Evaluating the impact of inequality constraints and parameter uncertainty on optimal portfolio choice," Applied Economics, Taylor & Francis Journals, vol. 47(45), pages 4801-4813, September.
  3. Lo, Danny K. & Hall, Anthony D., 2015. "Resiliency of the limit order book," Journal of Economic Dynamics and Control, Elsevier, vol. 61(C), pages 222-244.
  4. Anthony D Hall & Stephen E Satchell, 2013. "The anatomy of portfolio skewness and kurtosis," Journal of Asset Management, Palgrave Macmillan, vol. 14(4), pages 228-235, August.
  5. Hall, Anthony D. & Hautsch, Nikolaus, 2007. "Modelling the buy and sell intensity in a limit order book market," Journal of Financial Markets, Elsevier, vol. 10(3), pages 249-286, August.
  6. Ron Bird & Anthony D. Hall & Francesco Momentè & Francesco Reggiani, 2007. "What Corporate Social Responsibility Activities are Valued by the Market?," Journal of Business Ethics, Springer, vol. 76(2), pages 189-206, December.
  7. Anthony Hall & Nikolaus Hautsch, 2006. "Order aggressiveness and order book dynamics," Empirical Economics, Springer, vol. 30(4), pages 973-1005, January.
  8. Anthony D. Hall & Paul Kofman & Steven Manaster, 2006. "Migration of price discovery in semiregulated derivatives markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 26(3), pages 209-241, March.
  9. Hall, A.D., Szidarovszky, F. & Zhao, J., 2004. "Some notes on a dynamic model of international fishing," Pure Mathematics and Applications, Department of Mathematics, Corvinus University of Budapest, vol. 15(1), pages 45-54.
  10. A. Colin Cameron & Anthony D. Hall, 2003. "A Survival Analysis of Australian Equity Mutual Funds," Australian Journal of Management, Australian School of Business, vol. 28(2), pages 209-226, September.
  11. Hall, Anthony D. & Hwang, Soosung & Satchell, Stephen E., 2002. "Using Bayesian variable selection methods to choose style factors in global stock return models," Journal of Banking & Finance, Elsevier, vol. 26(12), pages 2301-2325.
  12. Robert I. Webb & Anthony D. Hall & Paul Kofman, 2001. "Limits to linear price behavior: futures prices regulated by limits," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 21(5), pages 463-488, May.
  13. Anthony D. Hall & Paul Kofman, 2001. "Regulatory Tools and Price Changes in Futures Markets," Australian Economic Papers, Wiley Blackwell, vol. 40(4), pages 520-540, December.
  14. Hall, A.D, 1999. "Parametric forecasts of Australian yield curves," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 48(4), pages 541-549.
  15. Hall, A D & Vella, Francis, 1995. "The Wage-Hours Profile for Young Australians: How Meaningful Are Labour Supply Functions Estimated from Micro Data?," Australian Economic Papers, Wiley Blackwell, vol. 34(64), pages 50-61, June.
  16. Hall, A.D., 1992. "A study of various score test statistics for heteroscedasticity in the general linear model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 33(5), pages 563-568.
  17. Hall, Anthony D & Anderson, Heather M & Granger, Clive W J, 1992. "A Cointegration Analysis of Treasury Bill Yields," The Review of Economics and Statistics, MIT Press, vol. 74(1), pages 116-126, February.
  18. Hall, A. D., 1990. "Worldwide Rankings of Research Activity in Econometrics: An Update: 1980–1988," Econometric Theory, Cambridge University Press, vol. 6(1), pages 1-16, March.
  19. Hall, A D & McAleer, Michael, 1989. "A Monte Carlo Study of Some Tests of Model Adequacy in Time Series Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(1), pages 95-106, January.
  20. Pesaran, M. H. & Hall, A. D., 1988. "Tests of non-nested linear regression models subject to linear restrictions," Economics Letters, Elsevier, vol. 27(4), pages 341-348.
  21. Michael McAleer & C. R. McKenzie & A. D. Hall, 1988. "Testing Separate Time Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 9(2), pages 169-189, March.
  22. Hall, A. D., 1987. "Worldwide Rankings of Research Activity in Econometrics: 1980–1985," Econometric Theory, Cambridge University Press, vol. 3(2), pages 171-194, April.
  23. Hall, A. D., 1983. "Confidence contours for two test statistics for non-nested regression models," Journal of Econometrics, Elsevier, vol. 21(1), pages 155-160, January.
  24. A. R. Pagan & A. D. Hall & P. K. Trivedi, 1983. "Assessing the Variability of Inflation," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 50(4), pages 585-596.
  25. Hall, Anthony David & Pagan, Adrian Rodney, 1981. "The LIML and Related Estimators of an Equation with Moving Average Disturbances," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 22(3), pages 719-730, October.
    RePEc:bla:ausecp:v:40:y:2001:i:4:p:520-40 is not listed on IDEAS

Chapters

  1. Anthony D. Hall & Nikolaus Hautsch, 2008. "Order aggressiveness and order book dynamics," Studies in Empirical Economics, in: Luc Bauwens & Winfried Pohlmeier & David Veredas (ed.), High Frequency Financial Econometrics, pages 133-165, Springer.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
  1. Euclidian citation score
  2. Closeness measure in co-authorship network

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 8 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (3) 1998-10-08 2013-10-18 2021-10-04
  2. NEP-FIN: Finance (3) 2004-06-02 2004-06-02 2004-11-07
  3. NEP-ETS: Econometric Time Series (2) 1998-10-08 2021-10-04
  4. NEP-FMK: Financial Markets (2) 2004-04-04 2004-06-02
  5. NEP-CFN: Corporate Finance (1) 2004-04-18
  6. NEP-CTA: Contract Theory and Applications (1) 2008-05-05
  7. NEP-ENV: Environmental Economics (1) 1998-10-08
  8. NEP-MST: Market Microstructure (1) 2008-05-05
  9. NEP-ORE: Operations Research (1) 2021-10-04
  10. NEP-RMG: Risk Management (1) 2004-04-04

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