M
Matthew Greenwood-Nimmo
Researcher at University of Melbourne
Publications - 42
Citations - 2869
Matthew Greenwood-Nimmo is an academic researcher from University of Melbourne. The author has contributed to research in topics: Interest rate & Inflation. The author has an hindex of 13, co-authored 40 publications receiving 1847 citations. Previous affiliations of Matthew Greenwood-Nimmo include Australian National University & University of Leeds.
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Book ChapterDOI
Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework
TL;DR: In this paper, a cointegrating nonlinear autoregressive distributed lag (NARDL) model is proposed, in which short and long-run nonlinearities are introduced via positive and negative partial sum decompositions of the explanatory variables.
Journal ArticleDOI
Quantile Connectedness: Modelling Tail Behaviour in the Topology of Financial Networks
TL;DR: In this paper, a factor structure is used to remove cross-section correlation in the residuals such that the system can be estimated on an equation-by-equation basis using existing quantile regression toolboxes.
Journal ArticleDOI
Risk and return spillovers among the G10 currencies
TL;DR: The authors studied spillovers among daily returns and innovations in the option-implied risk-neutral volatility and skewness of the G10 currencies using an empirical network model, uncover substantial time variation in the interaction of returns and risk measures, both within and between currencies.
Journal ArticleDOI
Risk and Return Spillovers Among the G10 Currencies
TL;DR: In this paper, the authors study spillovers among daily returns and innovations in option-implied risk-neutral volatility and skewness of the G10 currencies and find that aggregate spillover intensity is countercyclical with respect to the federal funds rate and increases in periods of financial stress.
Journal ArticleDOI
Taxation and the asymmetric adjustment of selected retail energy prices in the UK
TL;DR: In this article, the adjustment of the prices of four key petroleum products in the UK following changes in the price of crude oil was investigated and significant evidence that the pre-tax prices of diesel, kerosene, and gas oil adjust more rapidly in an upward than a downward direction.