James Hamilton : Citation Profile

Are you James Hamilton?

University of California-San Diego (UCSD)

49

H index

73

i10 index

19688

Citations

RESEARCH PRODUCTION:

72

Articles

65

Papers

3

Chapters

RESEARCH ACTIVITY:

   39 years (1983 - 2022). See details.
   Cites by year: 504
   Journals where James Hamilton has often published
   Relations with other researchers
   Recent citing documents: 1425.    Total self citations: 58 (0.29 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pha60
   Updated: 2023-01-28    RAS profile: 2022-04-23    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Baumeister, Christiane (12)

Authors registered in RePEc who have co-authored more than one work in the last five years with James Hamilton.

Is cited by:

GUPTA, RANGAN (249)

Kilian, Lutz (243)

Balcilar, Mehmet (119)

Ratti, Ronald (117)

Filis, George (115)

Baumeister, Christiane (114)

Owyang, Michael (106)

Wang, Yudong (106)

Degiannakis, Stavros (86)

Ferrara, Laurent (85)

MORANA, CLAUDIO (74)

Cites to:

Kilian, Lutz (49)

Swanson, Eric (41)

Baumeister, Christiane (38)

Gürkaynak, Refet (33)

Rudebusch, Glenn (30)

Watson, Mark (25)

Peersman, Gert (21)

Zha, Tao (21)

Canova, Fabio (21)

Piazzesi, Monika (19)

Ang, Andrew (18)

Main data

Where James Hamilton has published?

Journals with more than one article published# docs
Journal of Monetary Economics7
Journal of Econometrics7
Journal of Money, Credit and Banking6
Journal of Political Economy5
Journal of International Money and Finance4
American Economic Review4
Journal of Economic Dynamics and Control3
Journal of Business & Economic Statistics3
Econometric Reviews2
Review of Economic Dynamics2
Macroeconomic Dynamics2
Carnegie-Rochester Conference Series on Public Policy2
International Journal of Forecasting2
Review2
The Energy Journal2
Econometrica2
Empirical Economics2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc44
CEPR Discussion Papers / C.E.P.R. Discussion Papers4
University of California at San Diego, Economics Working Paper Series / Department of Economics, UC San Diego3
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)2

Recent works citing James Hamilton (2022 and 2021)

YearTitle of citing document
2021Uncertainty 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

2021Is 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

2022Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-02.

Full description at Econpapers || Download paper

2022Working 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

2022Working 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

2021Feedbacks: 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

2022Expected 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

2021Navigating 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

2021Dating 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

2022Financial 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

2021Oil 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

2021Market 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

2021The 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

2022Forecasting 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

2021Markov 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

2021Common 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

2022The 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

2021Maximum 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

2022Geometrically 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

2021A 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

2022Inference 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

2022Predicting 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

2021Revealing 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

2021Clustering 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

2021A 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

2022What 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

2021Existence and uniqueness of recursive utilities without boundedness. (2020). Christensen, Timothy M. In: Papers. RePEc:arx:papers:2008.00963.

Full description at Econpapers || Download paper

2021Asymptotic 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

2022Synchronization 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

2021Transitional 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

2021Unraveling 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

2021Identification 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

2021Simultaneous 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

2021Theory 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

2021Theory 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

2021Oil-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

2021Optimal 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

2021Numerical 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

2022A 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

2021Deep 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

2021Estimating high-dimensional Markov-switching VARs. (2021). Maung, Kenwin. In: Papers. RePEc:arx:papers:2107.12552.

Full description at Econpapers || Download paper

2021Heterogeneous 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

2021Collective 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

2021Fully 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

2021A 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

2021Detection 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

2022Option Pricing under Bayesian MS-VAR Process. (2021). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2109.05998.

Full description at Econpapers || Download paper

2021Identifying 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

2021Clustering 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

2021Optimal Regime-Switching Density Forecasts. (2021). Moramarco, Graziano. In: Papers. RePEc:arx:papers:2110.13761.

Full description at Econpapers || Download paper

2021Regime 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

2022Optimal 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

2022Equity--Linked Life Insurances on Maximum of Several Assets. (2021). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2111.04038.

Full description at Econpapers || Download paper

2021Asymmetric Conjugate Priors for Large Bayesian VARs. (2021). Chan, Joshua. In: Papers. RePEc:arx:papers:2111.07170.

Full description at Econpapers || Download paper

2022Gaussian 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

2022Option 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

2022Rainbow Options under Bayesian MS-VAR Process. (2021). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2112.10447.

Full description at Econpapers || Download paper

2021Regime 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

2022Evolutionary 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

2022Augmented Dynamic Gordon Growth Model. (2022). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2201.06012.

Full description at Econpapers || Download paper

2022Regime 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

2022A 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

2022Deep Learning Macroeconomics. (2022). , Rafael ; Rafael, . In: Papers. RePEc:arx:papers:2201.13380.

Full description at Econpapers || Download paper

2022CTMSTOU 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

2022Risk 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

2022Portfolio Diversification Revisited. (2022). Shaw, Charles. In: Papers. RePEc:arx:papers:2204.13398.

Full description at Econpapers || Download paper

2022Efficient 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

2022Policy 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

2022Estimation 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

2022A 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

2022Parameter 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

2022The Log Private Company Valuation Model. (2022). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2206.09666.

Full description at Econpapers || Download paper

2022Mertons Default Risk Model for Private Company. (2022). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2208.01974.

Full description at Econpapers || Download paper

2022The 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

2022Regime-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

2022Macroeconomic Predictions using Payments Data and Machine Learning. (2022). Desai, Ajit ; James, . In: Papers. RePEc:arx:papers:2209.00948.

Full description at Econpapers || Download paper

2022Fast 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

2022Modelling 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

2022Enhanced 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

2022Macroeconomic 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

2022Optimal 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

2022Fractional integration and cointegration. (2022). Nielsen, Morten ; Hualde, Javier. In: Papers. RePEc:arx:papers:2211.10235.

Full description at Econpapers || Download paper

2022Spatial-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

2021The 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

2021Financial, 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

2021COVID-19 and Daily Oil Price Pass-Through. (2021). YILMAZKUDAY, HAKAN. In: Energy RESEARCH LETTERS. RePEc:ayb:jrnerl:2.

Full description at Econpapers || Download paper

2021Crude 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

2021Occasionally 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

2021Energy 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

2021Discount 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

2022Macroeconomic 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

2022House 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

2021Machine 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

2021Transfer Learning for Business Cycle Identification. (2021). , Rafael ; Rafael, ; Chauvet, Marcelle. In: Working Papers Series. RePEc:bcb:wpaper:545.

Full description at Econpapers || Download paper

2021Learning, expectations and monetary policy. (2021). Garcia Sanchez, Pablo. In: BCL working papers. RePEc:bcl:bclwop:bclwp153.

Full description at Econpapers || Download paper

2021A 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

2021An 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

2022Skewed 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...

Works by James Hamilton:

YearTitleTypeCited
1986On the Limitations of Government Borrowing: A Framework for EmpiricalTesting. In: American Economic Review.
[Full Text][Citation analysis]		article480
1985On the Limitations of Government Borrowing: A Framework for Empirical Testing.(1985) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 480		paper
1990Long Swings in the Dollar: Are They in the Data and Do Markets Know It? In: American Economic Review.
[Full Text][Citation analysis]		article606
1992Was the Deflation during the Great Depression Anticipated? Evidence from the Commodity Futures Market. In: American Economic Review.
[Full Text][Citation analysis]		article83
1997Measuring the Liquidity Effect. In: American Economic Review.
[Full Text][Citation analysis]		article133
1996Measuring the liquidity effect.(1996) In: Working Papers in Applied Economic Theory.
[Citation analysis]
This paper has another version. Agregated cites: 133		paper
2011Estimating the Market-Perceived Monetary Policy Rule In: American Economic Journal: Macroeconomics.
[Full Text][Citation analysis]		article27
2010Estimating the Market-Perceived Monetary Policy Rule.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27		paper
1985Historical Causes of Postwar Oil Shocks and Recessions In: The Energy Journal.
[Full Text][Citation analysis]		article112
2009Understanding Crude Oil Prices In: The Energy Journal.
[Full Text][Citation analysis]		article669
2008Understanding Crude Oil Prices.(2008) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 669		paper
1986Estimation of Unobserved Expected Monthly Inflation Using Kalman Filtering. In: Journal of Business & Economic Statistics.
[Citation analysis]		article27
1991A Quasi-Bayesian Approach to Estimating Parameters for Mixtures of Normal Distributions. In: Journal of Business & Economic Statistics.
[Citation analysis]		article63
1991The Quantitative Significance of the Lucas Critique: Comment. In: Journal of Business & Economic Statistics.
[Citation analysis]		article0
2009Causes and Consequences of the Oil Shock of 2007-08 In: Brookings Papers on Economic Activity.
[Full Text][Citation analysis]		article682
2010Causes and consequences of the oil shock of 2007–08.(2010) In: FRB Atlanta CQER Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 682		paper
2009Causes and Consequences of the Oil Shock of 2007-08.(2009) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 682		paper
1988ROLE OF THE INTERNATIONAL GOLD STANDARD IN PROPAGATING THE GREAT DEPRESSION In: Contemporary Economic Policy.
[Full Text][Citation analysis]		article27
2018Inference in structural vector auto regressions when the identifying assumptions are not fully believed : Re-evaluating the role of monetary policy in economic fluctuations In: Research Discussion Papers.
[Full Text][Citation analysis]		paper50
2005Comment on Investigating Nonlinearity In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article5
2001Oil 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]		paper49
1999A Parametric Approach to Flexible Nonlinear Inference In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]		paper131
2001A Parametric Approach to Flexible Nonlinear Inference..(2001) In: Econometrica.
[Citation analysis]
This paper has another version. Agregated cites: 131		article
2000A 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]		paper190
2002A 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
2000A 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
2015Robust Bond Risk Premia In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper63
2015Robust bond risk premia.(2015) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 63		paper
2017Robust Bond Risk Premia.(2017) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 63		paper
2017Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper255
2017Structural 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
2018Inference 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]		paper52
2018Inference 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
2018Inference 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
2020Drawing Conclusions from Structural Vector Autoregressions Identified on the Basis of Sign Restrictions In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper27
2020Drawing 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
2020Drawing 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
2020Advances in Structural Vector Autoregressions with Imperfect Identifying Information In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper1
2008INSIDE THE ECONOMISTS MIND In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		article0
2011NONLINEARITIES AND THE MACROECONOMIC EFFECTS OF OIL PRICES In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		article268
2010Nonlinearities 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
1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. In: Econometrica.
[Full Text][Citation analysis]		article4475
1988Are the macroeconomic effects of oil-price changes symmetric? : A comment In: Carnegie-Rochester Conference Series on Public Policy.
[Full Text][Citation analysis]		article23
1998The supply and demand for Federal Reserve deposits In: Carnegie-Rochester Conference Series on Public Policy.
[Full Text][Citation analysis]		article19
1988Rational-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]		article455
2002On the interpretation of cointegration in the linear-quadratic inventory model In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article13
2003Comment on A comparison of two business cycle dating methods In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article31
1986State-space models In: Handbook of Econometrics.
[Full Text][Citation analysis]		chapter10
2003What is an oil shock? In: Journal of Econometrics.
[Full Text][Citation analysis]		article1330
2000What is an Oil Shock?.(2000) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1330		paper
2012Identification and estimation of Gaussian affine term structure models In: Journal of Econometrics.
[Full Text][Citation analysis]		article110
2012Identification 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
2014Testable implications of affine term structure models In: Journal of Econometrics.
[Full Text][Citation analysis]		article30
2011Testable Implications of Affine Term Structure Models.(2011) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 30		paper
1986A standard error for the estimated state vector of a state-space model In: Journal of Econometrics.
[Full Text][Citation analysis]		article86
1990Analysis of time series subject to changes in regime In: Journal of Econometrics.
[Full Text][Citation analysis]		article904
1994Autoregressive conditional heteroskedasticity and changes in regime In: Journal of Econometrics.
[Full Text][Citation analysis]		article843
1996Specification testing in Markov-switching time-series models In: Journal of Econometrics.
[Full Text][Citation analysis]		article219
2011Calling recessions in real time In: International Journal of Forecasting.
[Full Text][Citation analysis]		article111
2010Calling Recessions in Real Time.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 111		paper
2011Response to comments In: International Journal of Forecasting.
[Full Text][Citation analysis]		article0
2021Reprint: Drawing conclusions from structural vector autoregressions identified on the basis of sign restrictions In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article0
2014Risk premia in crude oil futures prices In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article164
2013Risk Premia in Crude Oil Futures Prices.(2013) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 164		paper
2019Comments 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]		article0
2016Macroeconomic Regimes and Regime Shifts In: Handbook of Macroeconomics.
[Full Text][Citation analysis]		chapter47
2016Macroeconomic Regimes and Regime Shifts.(2016) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 47		paper
1985The observable implications of self-fulfilling expectations In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article100
1987Monetary factors in the great depression In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article115
1989The long-run behavior of the velocity of circulation : A review essay In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article9
1996This is what happened to the oil price-macroeconomy relationship In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article904
1998The augmented Solow model and the productivity slowdown In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article53
2008Daily monetary policy shocks and new home sales In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article62
2016Heterogeneity and Unemployment Dynamics In: Working Papers.
[Full Text][Citation analysis]		paper9
2016Heterogeneity and Unemployment Dynamics.(2016) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9		paper
2016Heterogeneity and Unemployment Dynamics.(2016) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9		paper
2004Normalization in econometrics In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper74
2007Normalization in Econometrics.(2007) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 74		article
2016Do macro variables help forecast interest rates? In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article0
2004Regime shifts in a dynamic term structure model of U.S. Treasury bond yields, comments In: Proceedings.
[Full Text][Citation analysis]		article0
2019Measuring Labor-Force Participation and the Incidence and Duration of Unemployment In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper8
2020Measuring 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
2022Measuring 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
2018Factors in Unemployment Dynamics In: FEDS Notes.
[Full Text][Citation analysis]		paper0
2009The market-perceived monetary policy rule In: International Finance Discussion Papers.
[Full Text][Citation analysis]		paper12
2007Housing and the monetary transmission mechanism: commentary In: Proceedings - Economic Policy Symposium - Jackson Hole.
[Full Text][Citation analysis]		article0
2005Whats real about the business cycle? In: Review.
[Full Text][Citation analysis]		article33
2005Whats Real About the Business Cycle?.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 33		paper
2008Assessing monetary policy effects using daily federal funds futures contracts In: Review.
[Full Text][Citation analysis]		article8
2009The propagation of regional recessions In: Working Papers.
[Full Text][Citation analysis]		paper103
2011The Propagation of Regional Recessions.(2011) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 103		paper
2012The 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
1999A model for the federal funds rate target In: Department of Economics.
[Full Text][Citation analysis]		paper182
2000A 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
2002A 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
2009Concerns about the Feds New Balance Sheet In: Book Chapters.
[Full Text][Citation analysis]		chapter1
1986On Testing for Self-fulfilling Speculative Price Bubbles. In: International Economic Review.
[Full Text][Citation analysis]		article33
2012Import Prices and Inflation In: International Journal of Central Banking.
[Full Text][Citation analysis]		article6
1996Stock Market Volatility and the Business Cycle. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article333
1991The Sustainability of Budget Deficits with Lump-Sum and with Income-Based Taxation: Comment. In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]		article0
2004Why Are Prices Sticky? The Dynamics of Wholesale Gasoline Prices. In: Journal of Money, Credit and Banking.
[Citation analysis]		article99
2003Why 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
2004Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy: Comment. In: Journal of Money, Credit and Banking.
[Citation analysis]		article442
2009Daily Changes in Fed Funds Futures Prices In: Journal of Money, Credit and Banking.
[Citation analysis]		article41
2007Daily Changes in Fed Funds Futures Prices.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 41		paper
2012The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]		article469
2011The 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
2005Dating Business Cycle Turning Points In: NBER Working Papers.
[Full Text][Citation analysis]		paper68
2007Assessing Monetary Policy Effects Using Daily Fed Funds Futures Contracts In: NBER Working Papers.
[Full Text][Citation analysis]		paper4
2008Macroeconomics and ARCH In: NBER Working Papers.
[Full Text][Citation analysis]		paper43
2008Daily Monetary Policy Shocks and the Delayed Response of New Home Sales In: NBER Working Papers.
[Full Text][Citation analysis]		paper51
2010Sources of Variation in Holding Returns for Fed Funds Futures Contracts In: NBER Working Papers.
[Full Text][Citation analysis]		paper9
2011Sources 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
2011Historical Oil Shocks In: NBER Working Papers.
[Full Text][Citation analysis]		paper155
2012Oil Prices, Exhaustible Resources, and Economic Growth In: NBER Working Papers.
[Full Text][Citation analysis]		paper26
2013Off-Balance-Sheet Federal Liabilities In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2013Crunch Time: Fiscal Crises and the Role of Monetary Policy In: NBER Working Papers.
[Full Text][Citation analysis]		paper59
2014Effects of Index-Fund Investing on Commodity Futures Prices In: NBER Working Papers.
[Full Text][Citation analysis]		paper27
2014The Changing Face of World Oil Markets In: NBER Working Papers.
[Full Text][Citation analysis]		paper12
2014Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information In: NBER Working Papers.
[Full Text][Citation analysis]		paper210
2015Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information.(2015) In: Econometrica.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 210		article
2015The Equilibrium Real Funds Rate: Past, Present and Future In: NBER Working Papers.
[Full Text][Citation analysis]		paper221
2016The 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
2017Why You Should Never Use the Hodrick-Prescott Filter In: NBER Working Papers.
[Full Text][Citation analysis]		paper152
2018A Skeptical View of the Impact of the Fed’s Balance Sheet In: NBER Working Papers.
[Full Text][Citation analysis]		paper14
2019Measuring Global Economic Activity In: NBER Working Papers.
[Full Text][Citation analysis]		paper46
2019Perspectives on U.S. Monetary Policy Tools and Instruments In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2020Advances in Using Vector Autoregressions to Estimate Structural Magnitudes In: NBER Working Papers.
[Full Text][Citation analysis]		paper1
2021Supply, Demand, and Specialized Production In: NBER Working Papers.
[Full Text][Citation analysis]		paper1
1989Long Swings in the Exchange Rate: Are they in the Data and Do Markets Know It? In: NBER Working Papers.
[Full Text][Citation analysis]		paper11
2021Online Appendix to Measuring Labor-Force Participation and the Incidence and Duration of Unemployment In: Online Appendices.
[Full Text][Citation analysis]		paper0
2022Measuring 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
1997Comment on U.S. Oil Consumption, Oil Prices, and the Macroeconomy. In: Empirical Economics.
[Citation analysis]		article1
2002New directions in business cycle research and financial analysis In: Empirical Economics.
[Full Text][Citation analysis]		article26
2000Book review In: Econometric Reviews.
[Full Text][Citation analysis]		article2
1996What Do the Leading Indicators Lead? In: The Journal of Business.
[Full Text][Citation analysis]		article84
1996The Daily Market for Federal Funds. In: Journal of Political Economy.
[Full Text][Citation analysis]		article281
1983Oil and the Macroeconomy since World War II. In: Journal of Political Economy.
[Full Text][Citation analysis]		article1858
1985Uncovering Financial Market Expectations of Inflation. In: Journal of Political Economy.
[Full Text][Citation analysis]		article43
1988A Neoclassical Model of Unemployment and the Business Cycle. In: Journal of Political Economy.
[Full Text][Citation analysis]		article317

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated January, 6 2023. Contact: CitEc Team