49
H index
73
i10 index
19688
Citations
University of California-San Diego (UCSD) | 49 H index 73 i10 index 19688 Citations RESEARCH PRODUCTION: 72 Articles 65 Papers 3 Chapters RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with James Hamilton. | Is cited by: | Cites to: |
Year | Title of citing document | |
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2021 | Uncertainty and Monetary Policy during the Great Recession. (2021). Caggiano, Giovanni ; Castelnuovo, Efrem ; Pellegrino, Giovanni. In: Economics Working Papers. RePEc:aah:aarhec:2021-05. Full description at Econpapers || Download paper | |
2021 | Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models. (2021). Kruse-Becher, Robinson ; Demetrescu, Matei. In: CREATES Research Papers. RePEc:aah:create:2021-07. Full description at Econpapers || Download paper | |
2022 | Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-02. Full description at Econpapers || Download paper | |
2022 | Working Paper 362 - Economic Growth, Total Factor Productivity and Output Gap in Sierra Leone. (2022). Kumo, Wolassa L. In: Working Paper Series. RePEc:adb:adbwps:2488. Full description at Econpapers || Download paper | |
2022 | Working Paper 365 - Public Investment Efficiency, Economic Growth and Debt Sustainability in Africa. (2022). Balma, Lacina ; Rasmussen, Peter ; Odero, Walter ; Sennoga, Edward ; Oduor, Jacob ; Kararach, George. In: Working Paper Series. RePEc:adb:adbwps:2491. Full description at Econpapers || Download paper | |
2021 | Feedbacks: Financial Markets and Economic Activity. (2021). Sims, Christopher ; Palia, Darius ; Brunnermeier, Markus ; Sastry, Karthik A. In: American Economic Review. RePEc:aea:aecrev:v:111:y:2021:i:6:p:1845-79. Full description at Econpapers || Download paper | |
2022 | Expected and Realized Inflation in Historical Perspective. (2022). Kamdar, Rupal ; Binder, Carola. In: Journal of Economic Perspectives. RePEc:aea:jecper:v:36:y:2022:i:3:p:131-56. Full description at Econpapers || Download paper | |
2021 | Navigating the Oil Bubble: A Non-linear Heterogeneous-agent Dynamic Model of Futures Oil Pricing. (2021). Paesani, Paolo ; Cifarelli, Giulio. In: The Energy Journal. RePEc:aen:journl:ej42-5-cifarelli. Full description at Econpapers || Download paper | |
2021 | Dating business cycles in France: A reference chronology. (2021). DIEBOLT, Claude ; Pionnier, Pierre-Alain ; Mignon, Valrie ; Heyer, Eric ; Ferrara, Laurent ; Doz, Catherine ; BEC, Frdrique ; Aviat, Antonin. In: Working Papers. RePEc:afc:wpaper:08-21. Full description at Econpapers || Download paper | |
2022 | Financial development and public debt. Estimating the role of institutional quality. (2022). Fatima, Sumbal ; Ramzan, Muhammad ; Abbas, Qamar. In: Theoretical and Applied Economics. RePEc:agr:journl:v:3(632):y:2022:i:3(632):p:5-26. Full description at Econpapers || Download paper | |
2021 | Oil Price Shocks and Economic Growth in Oil-Exporting Countries. (2021). Manera, Matteo ; Ahmadi, Maryam. In: FEEM Working Papers. RePEc:ags:feemwp:311052. Full description at Econpapers || Download paper | |
2021 | Market Responses to Export Restrictions from Highly Pathogenic Avian Influenza Outbreaks. (2021). , Maclachlan. In: Journal of Agricultural and Resource Economics. RePEc:ags:jlaare:310527. Full description at Econpapers || Download paper | |
2021 | The Effect of ENSO Shocks on Commodity Prices: A Multi-Time Scale Approach. (2021). Dufrenot, Gilles ; Pourroy, Marc ; Ginn, William. In: AMSE Working Papers. RePEc:aim:wpaimx:2130. Full description at Econpapers || Download paper | |
2022 | Forecasting total energy’s CO2 emissions. (2022). Leccadito, Arturo ; Algieri, Bernardina ; Iania, Leonardo. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2022003. Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
2021 | Markov Chains, Eigenvalues and the Stabilityof Economic Growth Processes. (2021). Delbianco, Fernando ; Tohme, Fernando ; Fioriti, Andres. In: Working Papers. RePEc:aoz:wpaper:88. Full description at Econpapers || Download paper | |
2021 | Common and Idiosyncratic Components of Latin American Business Cycles Connectedness. (2021). Campos, Luciano ; Andujar, Jesus Ruiz. In: Working Papers. RePEc:aoz:wpaper:91. Full description at Econpapers || Download paper | |
2022 | The Pricing of Discretionary Accruals Revisited: The Application of Mixtures of Regressions Based on Asymmetric Investor Behavior. (2022). Leon, Assoc Prof. In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2022:p:78-84. Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
2021 | Maximum Likelihood Estimation in Possibly Misspecified Dynamic Models with Time-Inhomogeneous Markov Regimes. (2018). Sola, Martin ; Psaradakis, Zacharias ; Pouzo, Demian. In: Papers. RePEc:arx:papers:1612.04932. Full description at Econpapers || Download paper | |
2022 | Geometrically stopped Markovian random growth processes and Pareto tails. (2019). Toda, Alexis Akira ; Beare, Brendan. In: Papers. RePEc:arx:papers:1712.01431. Full description at Econpapers || Download paper | |
2021 | A Peek into the Unobservable: Hidden States and Bayesian Inference for the Bitcoin and Ether Price Series. (2019). Piliouras, Georgios ; Leonardos, Stefanos ; Koki, Constandina. In: Papers. RePEc:arx:papers:1909.10957. Full description at Econpapers || Download paper | |
2022 | Inference of Binary Regime Models with Jump Discontinuities. (2019). Rajani, Sharan ; Goswami, Anindya ; Das, Milan Kumar. In: Papers. RePEc:arx:papers:1910.10606. Full description at Econpapers || Download paper | |
2022 | Predicting bubble bursts in oil prices using mixed causal-noncausal models. (2019). Hecq, Alain ; Voisin, Elisa. In: Papers. RePEc:arx:papers:1911.10916. Full description at Econpapers || Download paper | |
2021 | Revealing Cluster Structures Based on Mixed Sampling Frequencies. (2020). Ahn, Hie Joo ; Liu, Yun ; Rho, Yeonwoo. In: Papers. RePEc:arx:papers:2004.09770. Full description at Econpapers || Download paper | |
2021 | Clustering volatility regimes for dynamic trading strategies. (2020). Prakash, Arjun ; Menzies, Max ; James, Nick ; Francis, Gilad. In: Papers. RePEc:arx:papers:2004.09963. Full description at Econpapers || Download paper | |
2021 | A Bayesian Time-Varying Autoregressive Model for Improved Short- and Long-Term Prediction. (2020). Rugamer, David ; Stocker, Almond ; Berninger, Christoph. In: Papers. RePEc:arx:papers:2006.05750. Full description at Econpapers || Download paper | |
2022 | What Drives Inflation and How: Evidence from Additive Mixed Models Selected by cAIC. (2020). Volkmann, Alexander ; Rossi, Enzo ; Baumann, Philipp. In: Papers. RePEc:arx:papers:2006.06274. Full description at Econpapers || Download paper | |
2021 | Existence and uniqueness of recursive utilities without boundedness. (2020). Christensen, Timothy M. In: Papers. RePEc:arx:papers:2008.00963. Full description at Econpapers || Download paper | |
2021 | Asymptotic Properties of the Maximum Likelihood Estimator in Endogenous Regime-Switching Models. (2020). Liu, Yan. In: Papers. RePEc:arx:papers:2010.04930. Full description at Econpapers || Download paper | |
2022 | Synchronization of Prefectural Business Cycles in Japan 1978-2018. (2020). Onozaki, Tamotsu ; Muto, Makoto ; Saiki, Yoshitaka. In: Papers. RePEc:arx:papers:2010.08835. Full description at Econpapers || Download paper | |
2021 | Transitional Dynamics of the Savings Rate and Economic Growth. (2020). Brückner, Markus ; Vachadze, George ; Kikuchi, Tomoo ; Brueckner, Markus. In: Papers. RePEc:arx:papers:2012.15435. Full description at Econpapers || Download paper | |
2021 | Unraveling S&P500 stock volatility and networks -- An encoding and decoding approach. (2021). Hsieh, Fushing ; Wang, Xiaodong. In: Papers. RePEc:arx:papers:2101.09395. Full description at Econpapers || Download paper | |
2021 | Identification and Inference Under Narrative Restrictions. (2021). Kitagawa, Toru ; Read, Matthew ; Giacomini, Raffaella. In: Papers. RePEc:arx:papers:2102.06456. Full description at Econpapers || Download paper | |
2021 | Simultaneous Bandwidths Determination for DK-HAC Estimators and Long-Run Variance Estimation in Nonparametric Settings. (2021). Perron, Pierre ; Grassi, Stefano ; Catania, Leopoldo ; Casini, Alessandro ; Belotti, Federico. In: Papers. RePEc:arx:papers:2103.00060. Full description at Econpapers || Download paper | |
2021 | Theory of Low Frequency Contamination from Nonstationarity and Misspecification: Consequences for HAR Inference. (2021). Perron, Pierre ; Deng, Taosong ; Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.01604. Full description at Econpapers || Download paper | |
2021 | Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models. (2021). Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.02981. Full description at Econpapers || Download paper | |
2021 | Oil-US Stock Market Nexus: Some insights about the New Coronavirus Crisis. (2021). Albulescu, Claudiu ; Oros, Cornel ; Mina, Michel. In: Papers. RePEc:arx:papers:2104.05273. Full description at Econpapers || Download paper | |
2021 | Optimal investment and proportional reinsurance in a regime-switching market model under forward preferences. (2021). Salterini, Benedetta ; Cretarola, Alessandra ; Colaneri, Katia. In: Papers. RePEc:arx:papers:2106.13888. Full description at Econpapers || Download paper | |
2021 | Numerical approximation of hybrid Poisson-jump Ait-Sahalia-type interest rate model with delay. (2021). Coffie, Emmanuel. In: Papers. RePEc:arx:papers:2107.03712. Full description at Econpapers || Download paper | |
2022 | A Lucas Critique Compliant SVAR model with Observation-driven Time-varying Parameters. (2021). Corsi, Fulvio ; Bormetti, Giacomo. In: Papers. RePEc:arx:papers:2107.05263. Full description at Econpapers || Download paper | |
2021 | Deep equal risk pricing of financial derivatives with non-translation invariant risk measures. (2021). Fr'ed'eric Godin, ; Carbonneau, Alexandre. In: Papers. RePEc:arx:papers:2107.11340. Full description at Econpapers || Download paper | |
2021 | Estimating high-dimensional Markov-switching VARs. (2021). Maung, Kenwin. In: Papers. RePEc:arx:papers:2107.12552. Full description at Econpapers || Download paper | |
2021 | Heterogeneous Responses to the U.S. Narrative Tax Changes: Evidence from the U.S. States. (2021). Alam, Masud. In: Papers. RePEc:arx:papers:2107.13678. Full description at Econpapers || Download paper | |
2021 | Collective correlations, dynamics and behavioural inconsistencies of the cryptocurrency market over time. (2021). Menzies, Max ; James, Nick. In: Papers. RePEc:arx:papers:2107.13926. Full description at Econpapers || Download paper | |
2021 | Fully Modified Least Squares Cointegrating Parameter Estimation in Multicointegrated Systems. (2021). , Peter ; PEter, ; Kheifets, Igor L. In: Papers. RePEc:arx:papers:2108.03486. Full description at Econpapers || Download paper | |
2021 | A Hybrid Learning Approach to Detecting Regime Switches in Financial Markets. (2021). Hussien, Hussien ; Tang, Yi Zhou ; Akioyamen, Peter. In: Papers. RePEc:arx:papers:2108.05801. Full description at Econpapers || Download paper | |
2021 | Detection of Structural Regimes and Analyzing the Impact of Crude Oil Market on Canadian Stock Market: Markov Regime-Switching Approach. (2021). Ghaneei, Hana ; Mahmoudi, Mohammad Reza. In: Papers. RePEc:arx:papers:2109.01046. Full description at Econpapers || Download paper | |
2022 | Option Pricing under Bayesian MS-VAR Process. (2021). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2109.05998. Full description at Econpapers || Download paper | |
2021 | Identifying the Effects of Sanctions on the Iranian Economy using Newspaper Coverage. (2021). Pesaran, Hashem M ; Laudati, Dario. In: Papers. RePEc:arx:papers:2110.09400. Full description at Econpapers || Download paper | |
2021 | Clustering Market Regimes using the Wasserstein Distance. (2021). Muguruza, Aitor ; Issa, Zacharia ; Horvath, Blanka. In: Papers. RePEc:arx:papers:2110.11848. Full description at Econpapers || Download paper | |
2021 | Optimal Regime-Switching Density Forecasts. (2021). Moramarco, Graziano. In: Papers. RePEc:arx:papers:2110.13761. Full description at Econpapers || Download paper | |
2021 | Regime Switching Optimal Growth Model with Risk Sensitive Preferences. (2021). Siu, Tak Kuen ; Rana, Nimit ; Goswami, Anindya. In: Papers. RePEc:arx:papers:2110.15025. Full description at Econpapers || Download paper | |
2022 | Optimal Dividends under Markov-Modulated Bankruptcy Level. (2021). Zhu, Shihao ; Schuhmann, Patrick ; Ferrari, Giorgio. In: Papers. RePEc:arx:papers:2111.03724. Full description at Econpapers || Download paper | |
2022 | Equity--Linked Life Insurances on Maximum of Several Assets. (2021). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2111.04038. Full description at Econpapers || Download paper | |
2021 | Asymmetric Conjugate Priors for Large Bayesian VARs. (2021). Chan, Joshua. In: Papers. RePEc:arx:papers:2111.07170. Full description at Econpapers || Download paper | |
2022 | Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty. (2021). Marcellino, Massimiliano ; Petz, Nico ; Huber, Florian ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2112.01995. Full description at Econpapers || Download paper | |
2022 | Option Pricing with State-dependent Pricing Kernel. (2021). Huang, Zhuo ; Hansen, Peter Reinhard ; Tong, Chen. In: Papers. RePEc:arx:papers:2112.05308. Full description at Econpapers || Download paper | |
2022 | Rainbow Options under Bayesian MS-VAR Process. (2021). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2112.10447. Full description at Econpapers || Download paper | |
2021 | Regime Switching Entropic Risk Measures on Crude Oil Pricing. (2021). Elliott, Robert J ; Seck, Babacar . In: Papers. RePEc:arx:papers:2112.13041. Full description at Econpapers || Download paper | |
2022 | Evolutionary correlation, regime switching, spectral dynamics and optimal trading strategies for cryptocurrencies and equities. (2022). James, Nick. In: Papers. RePEc:arx:papers:2112.15321. Full description at Econpapers || Download paper | |
2022 | Augmented Dynamic Gordon Growth Model. (2022). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2201.06012. Full description at Econpapers || Download paper | |
2022 | Regime recovery using implied volatility in Markov modulated market model. (2022). Patalwala, Irvine Homi ; Mukherjee, Kedar Nath ; Goswami, Anindya. In: Papers. RePEc:arx:papers:2201.10304. Full description at Econpapers || Download paper | |
2022 | A hybrid deep learning approach for purchasing strategy of carbon emission rights -- Based on Shanghai pilot market. (2022). Xu, Jiayue. In: Papers. RePEc:arx:papers:2201.13235. Full description at Econpapers || Download paper | |
2022 | Deep Learning Macroeconomics. (2022). , Rafael ; Rafael, . In: Papers. RePEc:arx:papers:2201.13380. Full description at Econpapers || Download paper | |
2022 | CTMSTOU driven markets: simulated environment for regime-awareness in trading policies. (2022). Balch, Tucker ; Moulin, Aymeric ; Amrouni, Selim. In: Papers. RePEc:arx:papers:2202.00941. Full description at Econpapers || Download paper | |
2022 | Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia. (2022). Roncalli, Thierry ; Kostyuchyk, Nazar ; Bruder, Benjamin. In: Papers. RePEc:arx:papers:2202.10721. Full description at Econpapers || Download paper | |
2022 | Portfolio Diversification Revisited. (2022). Shaw, Charles. In: Papers. RePEc:arx:papers:2204.13398. Full description at Econpapers || Download paper | |
2022 | Efficient Score Computation and Expectation-Maximization Algorithm in Regime-Switching Models. (2022). Qiu, Shi ; Li, Chaojun. In: Papers. RePEc:arx:papers:2205.01565. Full description at Econpapers || Download paper | |
2022 | Policy Choice in Time Series by Empirical Welfare Maximization. (2022). Xu, Mengshan ; Wang, Weining ; Kitagawa, Toru. In: Papers. RePEc:arx:papers:2205.03970. Full description at Econpapers || Download paper | |
2022 | Estimation and Inference for High Dimensional Factor Model with Regime Switching. (2022). Wang, FA ; Urga, Giovanni. In: Papers. RePEc:arx:papers:2205.12126. Full description at Econpapers || Download paper | |
2022 | A new algorithm for structural restrictions in Bayesian vector autoregressions. (2022). Korobilis, Dimitris. In: Papers. RePEc:arx:papers:2206.06892. Full description at Econpapers || Download paper | |
2022 | Parameter Estimation Methods of Required Rate of Return on Stock. (2022). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2206.09657. Full description at Econpapers || Download paper | |
2022 | The Log Private Company Valuation Model. (2022). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2206.09666. Full description at Econpapers || Download paper | |
2022 | Mertons Default Risk Model for Private Company. (2022). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2208.01974. Full description at Econpapers || Download paper | |
2022 | The Econometrics of Financial Duration Modeling. (2022). Cavaliere, Giuseppe ; Vilandt, Frederik ; Rahbek, Anders ; Mikosch, Thomas. In: Papers. RePEc:arx:papers:2208.02098. Full description at Econpapers || Download paper | |
2022 | Regime-based Implied Stochastic Volatility Model for Crypto Option Pricing. (2022). Aste, Tomaso ; Wang, Yuanrong ; Saef, Danial. In: Papers. RePEc:arx:papers:2208.12614. Full description at Econpapers || Download paper | |
2022 | Macroeconomic Predictions using Payments Data and Machine Learning. (2022). Desai, Ajit ; James, . In: Papers. RePEc:arx:papers:2209.00948. Full description at Econpapers || Download paper | |
2022 | Fast Estimation of Bayesian State Space Models Using Amortized Simulation-Based Inference. (2022). Seleznev, Sergei ; Khabibullin, Ramis. In: Papers. RePEc:arx:papers:2210.07154. Full description at Econpapers || Download paper | |
2022 | Modelling Large Dimensional Datasets with Markov Switching Factor Models. (2022). Massacci, Daniele ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2210.09828. Full description at Econpapers || Download paper | |
2022 | Enhanced Bayesian Neural Networks for Macroeconomics and Finance. (2022). Marcellino, Massimiliano ; Klieber, Karin ; Huber, Florian ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2211.04752. Full description at Econpapers || Download paper | |
2022 | Macroeconomic performance of oil price shocks in Russia. (2022). Tiron, Kristina ; Zeynalov, Ayaz. In: Papers. RePEc:arx:papers:2211.04954. Full description at Econpapers || Download paper | |
2022 | Optimal consumption-investment with coupled constraints on consumption and investment strategies in a regime switching market with random coefficients. (2022). Xu, Zuo Quan ; Shi, Xiaomin ; Hu, Ying. In: Papers. RePEc:arx:papers:2211.05291. Full description at Econpapers || Download paper | |
2022 | Fractional integration and cointegration. (2022). Nielsen, Morten ; Hualde, Javier. In: Papers. RePEc:arx:papers:2211.10235. Full description at Econpapers || Download paper | |
2022 | Spatial-temporal dynamics of employment shocks in declining coal mining regions and potentialities of the just transition. (2022). Schwarz, Moritz ; Rafaty, Ryan ; Mark, Ebba. In: Papers. RePEc:arx:papers:2211.12619. Full description at Econpapers || Download paper | |
2021 | The Impact of Covid-19 Pandemic on Stock Market Return Volatility: Evidence from Malaysia and Singapore. (2021). Szulczyk, Kenneth R ; Ziaei, Sayyed Mahdi ; Chuan, Jordan Ngu. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2021:p:191-204. Full description at Econpapers || Download paper | |
2021 | Financial, Absorption and Business Cycles in Selected African Countries. (2021). Yah, Neba Cletus ; Awoutcha, Romuald Fernand. In: International Journal of Social and Administrative Sciences. RePEc:asi:ijosaa:2021:p:14-25. Full description at Econpapers || Download paper | |
2022 | . Full description at Econpapers || Download paper | |
2021 | COVID-19 and Daily Oil Price Pass-Through. (2021). YILMAZKUDAY, HAKAN. In: Energy RESEARCH LETTERS. RePEc:ayb:jrnerl:2. Full description at Econpapers || Download paper | |
2021 | Crude Oil Prices and COVID-19 - Persistence of the Shock. (2021). Monge, Manuel ; Gil-Alana, Luis A. In: Energy RESEARCH LETTERS. RePEc:ayb:jrnerl:25. Full description at Econpapers || Download paper | |
2021 | Occasionally Binding Constraints in Large Models: A Review of Solution Methods. (). Swarbrick, Jonathan. In: Discussion Papers. RePEc:bca:bocadp:21-5. Full description at Econpapers || Download paper | |
2021 | Energy Efficiency and Fluctuations in CO2 Emissions. (2021). Jo, Soojin ; Karnizova, Lilia. In: Staff Working Papers. RePEc:bca:bocawp:21-47. Full description at Econpapers || Download paper | |
2021 | Discount Rates, Debt Maturity, and the Fiscal Theory. (2021). Morales, Gonzalo ; Kung, Howard ; Kind, Thilo ; Corhay, Alexandre. In: Staff Working Papers. RePEc:bca:bocawp:21-58. Full description at Econpapers || Download paper | |
2022 | Macroeconomic Predictions Using Payments Data and Machine Learning. (2022). Desai, Ajit ; Chapman, James. In: Staff Working Papers. RePEc:bca:bocawp:22-10. Full description at Econpapers || Download paper | |
2022 | House Price Responses to Monetary Policy Surprises: Evidence from the U.S. Listings Data. (2022). Kudlyak, Marianna ; Kryvtsov, Oleksiy ; Gorea, Denis. In: Staff Working Papers. RePEc:bca:bocawp:22-39. Full description at Econpapers || Download paper | |
2021 | Machine Learning and Oil Price Point and Density Forecasting. (2021). Gaglianone, Wagner ; Lin, Yihao ; Issler, Joo Victor ; Teixeira, Osmani ; Cavalcanti, Pedro ; Bonnet, Alexandre. In: Working Papers Series. RePEc:bcb:wpaper:544. Full description at Econpapers || Download paper | |
2021 | Transfer Learning for Business Cycle Identification. (2021). , Rafael ; Rafael, ; Chauvet, Marcelle. In: Working Papers Series. RePEc:bcb:wpaper:545. Full description at Econpapers || Download paper | |
2021 | Learning, expectations and monetary policy. (2021). Garcia Sanchez, Pablo. In: BCL working papers. RePEc:bcl:bclwop:bclwp153. Full description at Econpapers || Download paper | |
2021 | A BVAR toolkit to assess macrofinancial risks in Brazil and Mexico. (2021). Molina, Luis ; Campos, Rodolfo ; Berganza, Juan Carlos ; Andres-Escayola, Erik. In: Occasional Papers. RePEc:bde:opaper:2114. Full description at Econpapers || Download paper | |
2021 | An automatic algorithm to date the reference cycle of the Spanish economy. (2021). Gómez-Loscos, Ana ; Camacho, Maximo ; Gomezloscos, Ana ; Gadea, Maria Dolores. In: Working Papers. RePEc:bde:wpaper:2139. Full description at Econpapers || Download paper | |
2022 | Skewed SVARs: tracking the structural sources of macroeconomic tail risks. (2022). Ortega, Eva ; Montes-Galdon, Carlos. In: Working Papers. RePEc:bde:wpaper:2208. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
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2005 | Comment on Investigating Nonlinearity In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 5 |
2001 | Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy In: University of California at San Diego, Economics Working Paper Series. [Full Text][Citation analysis] | paper | 49 |
1999 | A Parametric Approach to Flexible Nonlinear Inference In: University of California at San Diego, Economics Working Paper Series. [Full Text][Citation analysis] | paper | 131 |
2001 | A Parametric Approach to Flexible Nonlinear Inference..(2001) In: Econometrica. [Citation analysis] This paper has another version. Agregated cites: 131 | article | |
2000 | A Re-examination of the Predictability of Economic Activity Using the Yield Spread In: University of California at San Diego, Economics Working Paper Series. [Full Text][Citation analysis] | paper | 190 |
2002 | A Reexamination of the Predictability of Economic Activity Using the Yield Spread..(2002) In: Journal of Money, Credit and Banking. [Citation analysis] This paper has another version. Agregated cites: 190 | article | |
2000 | A Re-examination of the Predictability of Economic Activity Using the Yield Spread.(2000) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 190 | paper | |
2015 | Robust Bond Risk Premia In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 63 |
2015 | Robust bond risk premia.(2015) In: Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 63 | paper | |
2017 | Robust Bond Risk Premia.(2017) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 63 | paper | |
2017 | Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 255 |
2017 | Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks.(2017) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 255 | paper | |
2018 | Inference in Structural Vector Autoregressions When the Identifying Assumptions are Not Fully Believed: Re-evaluating the Role of Monetary Policy in Economic Fluctuations In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 52 |
2018 | Inference in structural vector autoregressions when the identifying assumptions are not fully believed: Re-evaluating the role of monetary policy in economic fluctuations.(2018) In: Journal of Monetary Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 52 | article | |
2018 | Inference in Structural Vector Autoregressions When the Identifying Assumptions are Not Fully Believed: Re-evaluating the Role of Monetary Policy in Economic Fluctuations.(2018) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 52 | paper | |
2020 | Drawing Conclusions from Structural Vector Autoregressions Identified on the Basis of Sign Restrictions In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 27 |
2020 | Drawing conclusions from structural vector autoregressions identified on the basis of sign restrictions.(2020) In: Journal of International Money and Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 27 | article | |
2020 | Drawing Conclusions from Structural Vector Autoregressions Identified on the Basis of Sign Restrictions.(2020) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 27 | paper | |
2020 | Advances in Structural Vector Autoregressions with Imperfect Identifying Information In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2008 | INSIDE THE ECONOMISTS MIND In: Macroeconomic Dynamics. [Full Text][Citation analysis] | article | 0 |
2011 | NONLINEARITIES AND THE MACROECONOMIC EFFECTS OF OIL PRICES In: Macroeconomic Dynamics. [Full Text][Citation analysis] | article | 268 |
2010 | Nonlinearities and the Macroeconomic Effects of Oil Prices.(2010) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 268 | paper | |
1989 | A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. In: Econometrica. [Full Text][Citation analysis] | article | 4475 |
1988 | Are the macroeconomic effects of oil-price changes symmetric? : A comment In: Carnegie-Rochester Conference Series on Public Policy. [Full Text][Citation analysis] | article | 23 |
1998 | The supply and demand for Federal Reserve deposits In: Carnegie-Rochester Conference Series on Public Policy. [Full Text][Citation analysis] | article | 19 |
1988 | Rational-expectations econometric analysis of changes in regime : An investigation of the term structure of interest rates In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 455 |
2002 | On the interpretation of cointegration in the linear-quadratic inventory model In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 13 |
2003 | Comment on A comparison of two business cycle dating methods In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 31 |
1986 | State-space models In: Handbook of Econometrics. [Full Text][Citation analysis] | chapter | 10 |
2003 | What is an oil shock? In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1330 |
2000 | What is an Oil Shock?.(2000) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1330 | paper | |
2012 | Identification and estimation of Gaussian affine term structure models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 110 |
2012 | Identification and Estimation of Gaussian Affine Term Structure Models.(2012) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 110 | paper | |
2014 | Testable implications of affine term structure models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 30 |
2011 | Testable Implications of Affine Term Structure Models.(2011) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 30 | paper | |
1986 | A standard error for the estimated state vector of a state-space model In: Journal of Econometrics. [Full Text][Citation analysis] | article | 86 |
1990 | Analysis of time series subject to changes in regime In: Journal of Econometrics. [Full Text][Citation analysis] | article | 904 |
1994 | Autoregressive conditional heteroskedasticity and changes in regime In: Journal of Econometrics. [Full Text][Citation analysis] | article | 843 |
1996 | Specification testing in Markov-switching time-series models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 219 |
2011 | Calling recessions in real time In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 111 |
2010 | Calling Recessions in Real Time.(2010) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 111 | paper | |
2011 | Response to comments In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 0 |
2021 | Reprint: Drawing conclusions from structural vector autoregressions identified on the basis of sign restrictions In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 0 |
2014 | Risk premia in crude oil futures prices In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 164 |
2013 | Risk Premia in Crude Oil Futures Prices.(2013) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 164 | paper | |
2019 | Comments on “Foreign Effects of Higher U.S. Interest Rates” by Matteo Iacoviello and Gaston Navarro In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 0 |
2016 | Macroeconomic Regimes and Regime Shifts In: Handbook of Macroeconomics. [Full Text][Citation analysis] | chapter | 47 |
2016 | Macroeconomic Regimes and Regime Shifts.(2016) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 47 | paper | |
1985 | The observable implications of self-fulfilling expectations In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 100 |
1987 | Monetary factors in the great depression In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 115 |
1989 | The long-run behavior of the velocity of circulation : A review essay In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 9 |
1996 | This is what happened to the oil price-macroeconomy relationship In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 904 |
1998 | The augmented Solow model and the productivity slowdown In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 53 |
2008 | Daily monetary policy shocks and new home sales In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 62 |
2016 | Heterogeneity and Unemployment Dynamics In: Working Papers. [Full Text][Citation analysis] | paper | 9 |
2016 | Heterogeneity and Unemployment Dynamics.(2016) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
2016 | Heterogeneity and Unemployment Dynamics.(2016) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
2004 | Normalization in econometrics In: FRB Atlanta Working Paper. [Full Text][Citation analysis] | paper | 74 |
2007 | Normalization in Econometrics.(2007) In: Econometric Reviews. [Full Text][Citation analysis] This paper has another version. Agregated cites: 74 | article | |
2016 | Do macro variables help forecast interest rates? In: FRBSF Economic Letter. [Full Text][Citation analysis] | article | 0 |
2004 | Regime shifts in a dynamic term structure model of U.S. Treasury bond yields, comments In: Proceedings. [Full Text][Citation analysis] | article | 0 |
2019 | Measuring Labor-Force Participation and the Incidence and Duration of Unemployment In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 8 |
2020 | Measuring Labor-Force Participation and the Incidence and Duration of Unemployment.(2020) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2022 | Measuring Labor-Force Participation and the Incidence and Duration of Unemployment.(2022) In: Review of Economic Dynamics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | article | |
2018 | Factors in Unemployment Dynamics In: FEDS Notes. [Full Text][Citation analysis] | paper | 0 |
2009 | The market-perceived monetary policy rule In: International Finance Discussion Papers. [Full Text][Citation analysis] | paper | 12 |
2007 | Housing and the monetary transmission mechanism: commentary In: Proceedings - Economic Policy Symposium - Jackson Hole. [Full Text][Citation analysis] | article | 0 |
2005 | Whats real about the business cycle? In: Review. [Full Text][Citation analysis] | article | 33 |
2005 | Whats Real About the Business Cycle?.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 33 | paper | |
2008 | Assessing monetary policy effects using daily federal funds futures contracts In: Review. [Full Text][Citation analysis] | article | 8 |
2009 | The propagation of regional recessions In: Working Papers. [Full Text][Citation analysis] | paper | 103 |
2011 | The Propagation of Regional Recessions.(2011) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 103 | paper | |
2012 | The Propagation of Regional Recessions.(2012) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 103 | article | |
1999 | A model for the federal funds rate target In: Department of Economics. [Full Text][Citation analysis] | paper | 182 |
2000 | A Model for the Federal Funds Rate Target.(2000) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 182 | paper | |
2002 | A Model of the Federal Funds Rate Target.(2002) In: Journal of Political Economy. [Full Text][Citation analysis] This paper has another version. Agregated cites: 182 | article | |
2009 | Concerns about the Feds New Balance Sheet In: Book Chapters. [Full Text][Citation analysis] | chapter | 1 |
1986 | On Testing for Self-fulfilling Speculative Price Bubbles. In: International Economic Review. [Full Text][Citation analysis] | article | 33 |
2012 | Import Prices and Inflation In: International Journal of Central Banking. [Full Text][Citation analysis] | article | 6 |
1996 | Stock Market Volatility and the Business Cycle. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 333 |
1991 | The Sustainability of Budget Deficits with Lump-Sum and with Income-Based Taxation: Comment. In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] | article | 0 |
2004 | Why Are Prices Sticky? The Dynamics of Wholesale Gasoline Prices. In: Journal of Money, Credit and Banking. [Citation analysis] | article | 99 |
2003 | Why Are Prices Sticky? The Dynamics of Wholesale Gasoline Prices.(2003) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 99 | paper | |
2004 | Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy: Comment. In: Journal of Money, Credit and Banking. [Citation analysis] | article | 442 |
2009 | Daily Changes in Fed Funds Futures Prices In: Journal of Money, Credit and Banking. [Citation analysis] | article | 41 |
2007 | Daily Changes in Fed Funds Futures Prices.(2007) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 41 | paper | |
2012 | The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] | article | 469 |
2011 | The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment.(2011) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 469 | paper | |
2005 | Dating Business Cycle Turning Points In: NBER Working Papers. [Full Text][Citation analysis] | paper | 68 |
2007 | Assessing Monetary Policy Effects Using Daily Fed Funds Futures Contracts In: NBER Working Papers. [Full Text][Citation analysis] | paper | 4 |
2008 | Macroeconomics and ARCH In: NBER Working Papers. [Full Text][Citation analysis] | paper | 43 |
2008 | Daily Monetary Policy Shocks and the Delayed Response of New Home Sales In: NBER Working Papers. [Full Text][Citation analysis] | paper | 51 |
2010 | Sources of Variation in Holding Returns for Fed Funds Futures Contracts In: NBER Working Papers. [Full Text][Citation analysis] | paper | 9 |
2011 | Sources of variation in holding returns for fed funds futures contracts.(2011) In: Journal of Futures Markets. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | article | |
2011 | Historical Oil Shocks In: NBER Working Papers. [Full Text][Citation analysis] | paper | 155 |
2012 | Oil Prices, Exhaustible Resources, and Economic Growth In: NBER Working Papers. [Full Text][Citation analysis] | paper | 26 |
2013 | Off-Balance-Sheet Federal Liabilities In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2013 | Crunch Time: Fiscal Crises and the Role of Monetary Policy In: NBER Working Papers. [Full Text][Citation analysis] | paper | 59 |
2014 | Effects of Index-Fund Investing on Commodity Futures Prices In: NBER Working Papers. [Full Text][Citation analysis] | paper | 27 |
2014 | The Changing Face of World Oil Markets In: NBER Working Papers. [Full Text][Citation analysis] | paper | 12 |
2014 | Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information In: NBER Working Papers. [Full Text][Citation analysis] | paper | 210 |
2015 | Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information.(2015) In: Econometrica. [Full Text][Citation analysis] This paper has another version. Agregated cites: 210 | article | |
2015 | The Equilibrium Real Funds Rate: Past, Present and Future In: NBER Working Papers. [Full Text][Citation analysis] | paper | 221 |
2016 | The Equilibrium Real Funds Rate: Past, Present, and Future.(2016) In: IMF Economic Review. [Full Text][Citation analysis] This paper has another version. Agregated cites: 221 | article | |
2017 | Why You Should Never Use the Hodrick-Prescott Filter In: NBER Working Papers. [Full Text][Citation analysis] | paper | 152 |
2018 | A Skeptical View of the Impact of the Fed’s Balance Sheet In: NBER Working Papers. [Full Text][Citation analysis] | paper | 14 |
2019 | Measuring Global Economic Activity In: NBER Working Papers. [Full Text][Citation analysis] | paper | 46 |
2019 | Perspectives on U.S. Monetary Policy Tools and Instruments In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | Advances in Using Vector Autoregressions to Estimate Structural Magnitudes In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1 |
2021 | Supply, Demand, and Specialized Production In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1 |
1989 | Long Swings in the Exchange Rate: Are they in the Data and Do Markets Know It? In: NBER Working Papers. [Full Text][Citation analysis] | paper | 11 |
2021 | Online Appendix to Measuring Labor-Force Participation and the Incidence and Duration of Unemployment In: Online Appendices. [Full Text][Citation analysis] | paper | 0 |
2022 | Measuring Labor-Force Participation and the Incidence and Duration of Unemployment.(2022) In: Review of Economic Dynamics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
1997 | Comment on U.S. Oil Consumption, Oil Prices, and the Macroeconomy. In: Empirical Economics. [Citation analysis] | article | 1 |
2002 | New directions in business cycle research and financial analysis In: Empirical Economics. [Full Text][Citation analysis] | article | 26 |
2000 | Book review In: Econometric Reviews. [Full Text][Citation analysis] | article | 2 |
1996 | What Do the Leading Indicators Lead? In: The Journal of Business. [Full Text][Citation analysis] | article | 84 |
1996 | The Daily Market for Federal Funds. In: Journal of Political Economy. [Full Text][Citation analysis] | article | 281 |
1983 | Oil and the Macroeconomy since World War II. In: Journal of Political Economy. [Full Text][Citation analysis] | article | 1858 |
1985 | Uncovering Financial Market Expectations of Inflation. In: Journal of Political Economy. [Full Text][Citation analysis] | article | 43 |
1988 | A Neoclassical Model of Unemployment and the Business Cycle. In: Journal of Political Economy. [Full Text][Citation analysis] | article | 317 |
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