H
Helen Higgs
Researcher at Griffith University
Publications - 112
Citations - 2796
Helen Higgs is an academic researcher from Griffith University. The author has contributed to research in topics: Volatility (finance) & Autoregressive conditional heteroskedasticity. The author has an hindex of 27, co-authored 112 publications receiving 2622 citations. Previous affiliations of Helen Higgs include Queensland University of Technology & University of Wollongong.
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Transmission of equity returns and volatility in Asian developed and emerging markets: a multivariate GARCH analysis
TL;DR: In this paper, the authors examined the transmission of equity returns and volatility among Asian equity markets and investigated the differences that exist in this regard between the developed and emerging markets, and found that mean and volatility spillovers from the developed to the emerging markets are not homogeneous across emerging markets.
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Stochastic price modeling of high volatility, mean-reverting, spike-prone commodities: The Australian wholesale spot electricity market
TL;DR: In this article, the authors employed a basic stochastic model, a mean-reverting model and a regime switching model to capture the features in the Australian national electricity market (NEM), comprising the interconnected markets of New South Wales, Queensland, South Australia and Victoria.
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Transmission of prices and price volatility in Australian electricity spot markets: a multivariate GARCH analysis
TL;DR: In this paper, a multivariate generalised autoregressive conditional heteroskedasticity model is used to identify the source and magnitude of price and price volatility spillovers in the Australian National Electricity Market.
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Urban water demand with fixed volumetric charging in a large municipality: the case of Brisbane, Australia *
TL;DR: In this paper, the authors used suburb-level quarterly data to model residential water demand in Brisbane, Australia, from 1998 to 2003, and found that the price and income elasticity of demand in owner-occupied households is higher than in rented households.
Journal Article
Random walks and market efficiency in European equity markets
TL;DR: In this article, the authors used a combination of serial correlation coefficient and runs tests, augmented Dickey-Fuller (ADF), Phillips-Perron (PP) and Kwiatkowski, Phillips, Schmidt and Shin (KPSS) unit root tests and multiple variance ratio (MVR) tests.