Publications
2024
Can financial uncertainty forecast aggregate stock market returns?
Henry, Ó., Kerestecioglu, S., & Pybis, S. (2024). Can financial uncertainty forecast aggregate stock market returns?. Financial Markets, Institutions & Instruments, 33(2), 91-111. doi:10.1111/fmii.12187
2023
Can we forecast better in periods of low uncertainty? The role of technical indicators
Fernandez, M. F., Henry, O., Pybis, S., & Stamatogiannis, M. P. (2023). Can we forecast better in periods of low uncertainty? The role of technical indicators. JOURNAL OF EMPIRICAL FINANCE, 71, 1-12. doi:10.1016/j.jempfin.2022.12.014
2013
Modeling trade duration in US Treasury markets
Dungey, M., Henry, O., & McKenzie, M. (2013). Modeling trade duration in US Treasury markets. QUANTITATIVE FINANCE, 13(9), 1431-1442. doi:10.1080/14697688.2012.745011
Quantifying time variation and asymmetry in measures of covariance risk: a simulation approach
Henry, O. T., Olekalns, N., & Shields, K. K. (2013). Quantifying time variation and asymmetry in measures of covariance risk: a simulation approach. In HANDBOOK OF RESEARCH METHODS AND APPLICATIONS IN EMPIRICAL FINANCE (pp. 457-475). Retrieved from https://www.webofscience.com/
Quantifying time variation and asymmetry in measures of covariance risk: a simulation approach
Henry, Ó. T., Olekalns, N., & Shields, K. K. (2013). Quantifying time variation and asymmetry in measures of covariance risk: a simulation approach. In Handbook of Research Methods and Applications in Empirical Finance. Edward Elgar Publishing. doi:10.4337/9780857936080.00028
Chapter 18: Quantifying time variation and asymmetry in measures of covariance risk: a simulation approach
Henry, Ó. T., Olekalns, N., & Shields, K. K. (2013). Chapter 18: Quantifying time variation and asymmetry in measures of covariance risk: a simulation approach. In Handbook of Research Methods and Applications in Empirical Finance (pp. 457-476). Edward Elgar Publishing. doi:10.4337/9780857936097.00028
2012
The determinants of short selling: evidence from the Hong Kong equity market
McKenzie, M., & Henry, Ó. T. (2012). The determinants of short selling: evidence from the Hong Kong equity market. Accounting & Finance, 52(s1), 183-216. doi:10.1111/j.1467-629x.2011.00437.x
2010
Sign and phase asymmetry: News, economic activity and the stock market
Henry, Ó., Olekalns, N., & Shields, K. (2010). Sign and phase asymmetry: News, economic activity and the stock market. Journal of Macroeconomics, 32(4), 1083-1100. doi:10.1016/j.jmacro.2010.06.006
Peacock and Wiseman's displacement hypothesis: some new long-run evidence for the UK
Henry, Ó., & Olekalns, N. (2010). Peacock and Wiseman's displacement hypothesis: some new long-run evidence for the UK. Applied Economics, 42(11), 1455-1460. doi:10.1080/00036841003668873
2009
Regime switching in the relationship between equity returns and short-term interest rates in the UK
Henry, Ó. T. (2009). Regime switching in the relationship between equity returns and short-term interest rates in the UK. Journal of Banking & Finance, 33(2), 405-414. doi:10.1016/j.jbankfin.2008.08.001
2007
IDENTIFYING INTERDEPENDENCIES BETWEEN SOUTH‐EAST ASIAN STOCK MARKETS: A NON‐LINEAR APPROACH
HENRY, Ó. T., OLEKALNS, N., & LAKSHMAN, R. W. D. (2007). IDENTIFYING INTERDEPENDENCIES BETWEEN SOUTH‐EAST ASIAN STOCK MARKETS: A NON‐LINEAR APPROACH. Australian Economic Papers, 46(2), 122-135. doi:10.1111/j.1467-8454.2007.00309.x
Testing for rate dependence and asymmetry in inflation uncertainty: Evidence from the G7 economies
Henry, Ó. T., Olekalns, N., & Suardi, S. (2007). Testing for rate dependence and asymmetry in inflation uncertainty: Evidence from the G7 economies. Economics Letters, 94(3), 383-388. doi:10.1016/j.econlet.2006.08.024
2006
The Impact of Short Selling on the Price‐Volume Relationship: Evidence from Hong Kong*
Henry, Ó. T., & McKenzie, M. (2006). The Impact of Short Selling on the Price‐Volume Relationship: Evidence from Hong Kong*. The Journal of Business, 79(2), 671-691. doi:10.1086/499135
2005
Measuring the Response of Macroeconomic Uncertainty to Shocks
Shields, K., Olekalns, N., Henry, Ó. T., & Brooks, C. (2005). Measuring the Response of Macroeconomic Uncertainty to Shocks. Review of Economics and Statistics, 87(2), 362-370. doi:10.1162/0034653053970276
2004
Do stock market returns predict changes to output? Evidence from a nonlinear panel data model
Henry, L. T., Olekalns, N., & Thong, J. (2004). Do stock market returns predict changes to output? Evidence from a nonlinear panel data model. Empirical Economics, 29(3). doi:10.1007/s00181-003-0182-4
Is there a unit root in inflation?
Henry, Ó. T., & Shields, K. (2004). Is there a unit root in inflation?. Journal of Macroeconomics, 26(3), 481-500. doi:10.1016/j.jmacro.2003.03.003
The asymmetric effects of uncertainty on inflation and output growth
Grier, K. B., Henry, Ó. T., Olekalns, N., & Shields, K. (2004). The asymmetric effects of uncertainty on inflation and output growth. Journal of Applied Econometrics, 19(5), 551-565. doi:10.1002/jae.763
2002
Does the Australian dollar real exchange rate display mean reversion
Henry, Ó. T., & Olekalns, N. (2002). Does the Australian dollar real exchange rate display mean reversion. Journal of International Money and Finance, 21(5), 651-666. doi:10.1016/s0261-5606(02)00018-9
The Effect of Asymmetries on Optimal Hedge Ratios
Brooks, C., Henry, O. T., & Persand, G. (2002). The Effect of Asymmetries on Optimal Hedge Ratios. The Journal of Business, 75(2), 333-352. doi:10.1086/338484
Long memory in stock returns: some international evidence
Henry, Ó. T. (2002). Long memory in stock returns: some international evidence. Applied Financial Economics, 12(10), 725-729. doi:10.1080/09603100010025733
Rational habit modification in consumption
Messinis, G., Henry, Ó., & Olekalns, N. (2002). Rational habit modification in consumption. Economic Modelling, 19(4), 665-678. doi:10.1016/s0264-9993(01)00070-0
The Effect of Recessions on the Relationship between Output Variability and Growth
Henry, Ó. T., & Olekalns, N. (2002). The Effect of Recessions on the Relationship between Output Variability and Growth. Southern Economic Journal, 68(3), 683-692. doi:10.1002/j.2325-8012.2002.tb00446.x
The Effect of Recessions on the Relationship between Output Variability and Growth
Henry, O. T., & Olekalns, N. (2002). The Effect of Recessions on the Relationship between Output Variability and Growth. Southern Economic Journal, 68(3), 683. doi:10.2307/1061726
The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock Market*
Brooks, C., & Henry, Ó. T. (2002). The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock Market*. Oxford Bulletin of Economics and Statistics, 64(5), 487-507. doi:10.1111/1468-0084.00274
2001
Are Private Sector Consumption Decisions Affected by Public Sector Consumption?
Henry, Ó. T., & Olekalns, N. (2001). Are Private Sector Consumption Decisions Affected by Public Sector Consumption?. Economic Record, 77(239), 361-373. doi:10.1111/1475-4932.00029
Exchange Rate Instability: A Threshold Autoregressive Approach
Henry, Ó. T., Olekalns, N., & Summers, P. M. (2001). Exchange Rate Instability: A Threshold Autoregressive Approach. Economic Record, 77(237), 160-166. doi:10.1111/1475-4932.00011
2000
Australian Economic Growth: Nonlinearities and International Influences
HENRY, Ó. T., & SUMMERS, P. M. (2000). Australian Economic Growth: Nonlinearities and International Influences. Economic Record, 76(235), 365-373. doi:10.1111/j.1475-4932.2000.tb00033.x
Can portmanteau nonlinearity tests serve as general mis-specification tests?
Brooks, C., & Henry, Ó. T. (2000). Can portmanteau nonlinearity tests serve as general mis-specification tests?. Economics Letters, 67(3), 245-251. doi:10.1016/s0165-1765(00)00212-3
Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia
Brooks, C., & Henry, Ó. T. (2000). Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia. Economic Modelling, 17(4), 497-513. doi:10.1016/s0264-9993(99)00035-8
1999
Asymmetric Conditional Volatility and Firm Size: Evidence from Australian Equity Portfolios
Henry, Ó. T., & Sharma, J. (1999). Asymmetric Conditional Volatility and Firm Size: Evidence from Australian Equity Portfolios. Australian Economic Papers, 38(4), 393-406. doi:10.1111/1467-8454.00064
The Volatility of Real Exchange Rates: The Australian Case
Henry, O. T., & Summers, P. M. (1999). The Volatility of Real Exchange Rates: The Australian Case. Australian Economic Papers, 38(2), 79-90. doi:10.1111/1467-8454.00043
The volatility of US term structure term premia 1952 - 1991
HENRY, O. T. (1999). The volatility of US term structure term premia 1952 - 1991. Applied Financial Economics, 9(3), 263-271. doi:10.1080/096031099332339
1998
Modelling the asymmetry of stock market volatility
Henry, O. (1998). Modelling the asymmetry of stock market volatility. Applied Financial Economics, 8(2), 145-153. doi:10.1080/096031098333122
Web‐Based Resources for the Macroeconomist
Henry, Ó. T. (1998). Web‐Based Resources for the Macroeconomist. Australian Economic Review, 31(4), 430-434. doi:10.1111/1467-8462.00086
1996
The inflation‐hedging characteristics of UK property
Barkham, R. J., Ward, C. W. R., & Henry, O. T. (1996). The inflation‐hedging characteristics of UK property. Journal of Property Finance, 7(1), 62-76. doi:10.1108/09588689610111629