41
H index
63
i10 index
12608
Citations
James Hamilton : Citation Profile
University of California-San Diego (UCSD) | RESEARCH PRODUCTION: 66 Articles 52 Papers 2 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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35 years (1983 - 2018). Relations with other researchers
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:
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Main data
Where James Hamilton has published?
| Working Papers Series with more than one paper published | # docs |
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| University of California at San Diego, Economics Working Paper Series / Department of Economics, UC San Diego | 3 |
Recent works citing James Hamilton (2018 and 2017)
| Year | Title of citing document | |
|---|---|---|
| 2018 | Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium. (2018). Veiga, Helena ; Casas, Isabel ; Mao, Xiuping. In: CREATES Research Papers. RePEc:aah:create:2018-10. Full description at Econpapers || Download paper | |
| 2017 | The Determinants of the Benchmark Interest Rates in China: A Discrete Choice Model Approach. (2017). Kim, Hyeongwoo ; Shi, Wen. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2017-04. Full description at Econpapers || Download paper | |
| 2018 | Linkages Between Oil Price Shocks and Stock Returns Revisited. (2018). Masson, Virginie ; Doko Tchatoka, Firmin ; Parry, Sean. In: School of Economics Working Papers. RePEc:adl:wpaper:2018-01. Full description at Econpapers || Download paper | |
| 2018 | Do We Really Know that U.S. Monetary Policy was Destabilizing in the 1970s?. (2018). Weder, Mark ; Haque, Qazi ; Groshenny, Nicolas. In: School of Economics Working Papers. RePEc:adl:wpaper:2018-03. Full description at Econpapers || Download paper | |
| 2017 | Twenty Years of Time Series Econometrics in Ten Pictures. (2017). Stock, James H ; Watson, Mark W. In: Journal of Economic Perspectives. RePEc:aea:jecper:v:31:y:2017:i:2:p:59-86. Full description at Econpapers || Download paper | |
| 2017 | International Monetary Relations: Taking Finance Seriously. (2017). Obstfeld, Maurice ; Taylor, Alan M. In: Journal of Economic Perspectives. RePEc:aea:jecper:v:31:y:2017:i:3:p:3-28. Full description at Econpapers || Download paper | |
| 2017 | Fundamental and Financial Influences on the Co-movement of Oil and Gas Prices. (2017). Sévi, Benoît ; Chevallier, Julien ; Sevi, Benoit ; Derek, Julien Chevallier . In: The Energy Journal. RePEc:aen:journl:ej38-2-bunn. Full description at Econpapers || Download paper | |
| 2017 | Speculation in Commodity Futures Markets, Inventories and the Price of Crude Oil. (2017). Byun, Sung Je ; Je, Sung. In: The Energy Journal. RePEc:aen:journl:ej38-5-byun. Full description at Econpapers || Download paper | |
| 2017 | The Historical Roots of U.S. Energy Price Shocks. (2017). Huntington, Hillard. In: The Energy Journal. RePEc:aen:journl:ej38-5-huntington. Full description at Econpapers || Download paper | |
| 2017 | Fossil Fuel Price Shocks and CO2 Emissions: The Case of Spain. (2017). perez, rafaela ; Blazquez, Jorge ; Ruiz, Jesus ; Martin-Moreno, Jose Maria . In: The Energy Journal. RePEc:aen:journl:ej38-6-martinmoreno. Full description at Econpapers || Download paper | |
| 2017 | The Environmental Cost of Global Fuel Subsidies. (2017). Davis, Lucas. In: The Energy Journal. RePEc:aen:journl:ej38-si1-davis. Full description at Econpapers || Download paper | |
| 2017 | THE IMPACT OF OIL SHOCK ON NIGERIA ECONOMY: ASYMMETRY EFFECT ANALYSIS. (2017). Adi, Agya ; Friday, Udoh. In: Journal of Social and Economic Statistics. RePEc:aes:jsesro:v:6:y:2017:i:1:p:60-74. Full description at Econpapers || Download paper | |
| 2017 | An empirical assessment of fiscal sustainability for selected South Asian economies. (2017). Mohapatra, Geetilaxmi ; Giri, A K ; Shastri, Shruti. In: Theoretical and Applied Economics. RePEc:agr:journl:v:1(610):y:2017:i:1(610):p:163-178. Full description at Econpapers || Download paper | |
| 2018 | Macroprudential stability indicators of financial systems: Analysis of Bosnia and Herzegovina and Croatia. (2018). Kasumovi, Merim ; Mei, Mirna. In: Theoretical and Applied Economics. RePEc:agr:journl:v:1(614):y:2018:i:1(614):p:41-54. Full description at Econpapers || Download paper | |
| 2017 | An empirical assessment of fiscal sustainability for selected South Asian economies. (2017). Shastri, Shruti ; Mohapatra, Geetilaxmi ; Giri, A K. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxiv:y:2017:i:1(610):p:163-178. Full description at Econpapers || Download paper | |
| 2017 | An enquiry into the dynamics of real oil prices: A state space approach. (2017). Hazrana, Jaweriah ; Nazrana, Aaisha . In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxiv:y:2017:i:2(611):p:197-212. Full description at Econpapers || Download paper | |
| 2017 | Modeling of stock indices with HMM-SV models. (2017). Nkemnole, E B ; Wulu, J T. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxiv:y:2017:i:2(611):p:45-60. Full description at Econpapers || Download paper | |
| 2017 | Identifying the Impact of Financialization in Commodity Futures Prices from Index Rebalancing. (2017). Yan, Lei ; Sanders, Dwight R ; Irwin, Scott H. In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:258504. Full description at Econpapers || Download paper | |
| 2017 | Quality Forecasts: Predicting When and How Much Markets Value Higher Protein Wheat. (2017). Bekkerman, Anton. In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:259119. Full description at Econpapers || Download paper | |
| 2017 | The Effects of Private Stocks versus Public Stocks on Food Price Volatility. (2017). Chavas, Jean-Paul ; Li, Jian. In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:259185. Full description at Econpapers || Download paper | |
| 2018 | Does Economic Policy Uncertainty Affect Energy Market Volatility and Vice-Versa?. (2018). Scarcioffolo, Alexandre Ribeiro ; Etienne, Xiaoli L. In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:273976. Full description at Econpapers || Download paper | |
| 2018 | A Model-Free Bubble Detection Method: Application to the World Market for Superstar Wines. (2018). Tolhurst, Tor N. In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:274387. Full description at Econpapers || Download paper | |
| 2018 | Is the Halloween Effect Present on the Markets for Agricultural Commodities?. (2018). Burakov, D ; Freidin, M. In: AGRIS on-line Papers in Economics and Informatics. RePEc:ags:aolpei:276110. Full description at Econpapers || Download paper | |
| 2017 | The impact of index funds on grain futures markets revisited. (2017). Steinhubel, Linda ; Will, Matthias Georg ; Pies, Ingo ; Brummer, Bernhard ; Prehn, Soren. In: 2017 International Congress, August 28-September 1, 2017, Parma, Italy. RePEc:ags:eaae17:261428. Full description at Econpapers || Download paper | |
| 2018 | The Effects of Private Stocks versus Public Stocks on Food Price Volatility. (2018). Chavas, J.-P., ; Li, J. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:275976. Full description at Econpapers || Download paper | |
| 2018 | The Bayesian MS-GARCH model and Value-at-Risk in South African agricultural commodity price markets. (2018). Shiferaw, Y. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:275991. Full description at Econpapers || Download paper | |
| 2018 | How Have China s Agricultural Price Support Policies Affected Market Prices?: A Quantile Regression Evaluation. (2018). Li, J ; Chavas, J.-P., . In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:277557. Full description at Econpapers || Download paper | |
| 2017 | Can U.S. EIA Retail Gasoline Price Forecasts Be Improved Upon?. (2017). Senia, Mark C ; Arunanondchai, Panit . In: 2017 Annual Meeting, February 4-7, 2017, Mobile, Alabama. RePEc:ags:saea17:252717. Full description at Econpapers || Download paper | |
| 2017 | An analysis of the interdependence between cash crop and staple food futures prices. (2017). Heckelei, Thomas ; Grosche, Stephanie-Carolin ; Mamoun, EL. In: Discussion Papers. RePEc:ags:ubfred:265665. Full description at Econpapers || Download paper | |
| 2017 | Was Colonialism Fiscally Sustainable? An Empirical Examination of the Colonial Finances of Spanish America.. (2017). Arnaut, Javier L. In: Documentos de Trabajo (DT-AEHE). RePEc:ahe:dtaehe:1703. Full description at Econpapers || Download paper | |
| 2017 | Revisiting the Effect of Crude Oil Price Movements on US Stock Market Returns and Volatility. (2017). Sonenshine, Ralph ; Cauvel, Michael . In: Working Papers. RePEc:amu:wpaper:2017-01. Full description at Econpapers || Download paper | |
| 2017 | Fiscal sustainability of the Visegrad Group countries in the aftermath of global economic crisis. (2017). Włodarczyk, Przemysław. In: Lodz Economics Working Papers. RePEc:ann:wpaper:2/2017. Full description at Econpapers || Download paper | |
| 2018 | Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models - A Review. (2018). Staszewska-Bystrova, Anna ; Winker, Peter ; Lutkepohl, Helmut. In: Lodz Economics Working Papers. RePEc:ann:wpaper:4/2018. Full description at Econpapers || Download paper | |
| 2018 | Measuring the Natural Rates of Interest in Germany and Italy. (2018). Victor, Bystrov. In: Lodz Economics Working Papers. RePEc:ann:wpaper:7/2018. Full description at Econpapers || Download paper | |
| 2017 | Yield Curve and Momentum Effects in Monthly U.S. Equity Returns: Some Nonparametric Evidence. (2017). Siddiqui, Sikandar ; Tyagi, Somya. In: Asian Journal of Economics and Empirical Research. RePEc:aoj:ajeaer:2017:p:61-67. Full description at Econpapers || Download paper | |
| 2017 | Measuring the Stance of Monetary Policy in a Time-Varying. (2017). Pérez Forero, Fernando. In: Working Papers. RePEc:apc:wpaper:2017-102. Full description at Econpapers || Download paper | |
| 2017 | Market Efficiency and Government Interventions in Prewar Japanese Rice Futures Markets. (2017). Noda, Akihiko ; Maeda, Kiyotaka ; Ito, Mikio. In: Papers. RePEc:arx:papers:1404.1164. Full description at Econpapers || Download paper | |
| 2017 | The Futures Premium and Rice Market Efficiency in Prewar Japan. (2017). Noda, Akihiko ; Maeda, Kiyotaka ; Ito, Mikio. In: Papers. RePEc:arx:papers:1404.5381. Full description at Econpapers || Download paper | |
| 2017 | Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets. (2017). Krehlik, Tomas ; BarunÃk, Jozef. In: Papers. RePEc:arx:papers:1603.07020. Full description at Econpapers || Download paper | |
| 2017 | On the Optimal Management of Public Debt: a Singular Stochastic Control Problem. (2017). Ferrari, Giorgio. In: Papers. RePEc:arx:papers:1607.04153. Full description at Econpapers || Download paper | |
| 2018 | Optimal Extraction and Taxation of Strategic Natural Resources: A Differential Game Approach. (2018). Pemy, Moustapha. In: Papers. RePEc:arx:papers:1611.02547. Full description at Econpapers || Download paper | |
| 2018 | 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 | |
| 2017 | Option Pricing and Hedging for Discrete Time Autoregressive Hidden Markov Model. (2017). Caccia, Massimo ; Bruno, . In: Papers. RePEc:arx:papers:1707.02019. Full description at Econpapers || Download paper | |
| 2017 | Markov-Modulated Information Flows. (2017). Hoyle, Edward ; Menguturk, Levent A ; Macrina, Andrea. In: Papers. RePEc:arx:papers:1708.06948. Full description at Econpapers || Download paper | |
| 2017 | Multivariate Density Modeling for Retirement Finance. (2017). Rook, Christopher J. In: Papers. RePEc:arx:papers:1709.04070. Full description at Econpapers || Download paper | |
| 2018 | Structural Estimation of Behavioral Heterogeneity. (2018). Shi, Zhentao ; Zheng, Huanhuan. In: Papers. RePEc:arx:papers:1802.03735. Full description at Econpapers || Download paper | |
| 2018 | The determinants of bank loan recovery rates in good times and bad - new evidence. (2018). Wang, Hong ; Vaz, John ; Fenech, Jean-Pierre ; Forbes, Catherine S. In: Papers. RePEc:arx:papers:1804.07022. Full description at Econpapers || Download paper | |
| 2018 | Explicit solutions to utility maximization problems in a regime-switching market model via Laplace transforms. (2018). Ocejo, Adriana. In: Papers. RePEc:arx:papers:1804.08442. Full description at Econpapers || Download paper | |
| 2018 | Application of Probabilistic Graphical Models in Forecasting Crude Oil Price. (2018). Alvi, Danish A. In: Papers. RePEc:arx:papers:1804.10869. Full description at Econpapers || Download paper | |
| 2018 | Total, asymmetric and frequency connectedness between oil and forex markets. (2018). Kočenda, Evžen ; BarunÃk, Jozef ; Kovcenda, Evvzen. In: Papers. RePEc:arx:papers:1805.03980. Full description at Econpapers || Download paper | |
| 2018 | Explicit Solutions for Optimal Resource Extraction Problems under Regime Switching L\evy Models. (2018). Pemy, Moustapha. In: Papers. RePEc:arx:papers:1806.06105. Full description at Econpapers || Download paper | |
| 2018 | Testing of Binary Regime Switching Models using Squeeze Duration Analysis. (2018). Das, Milan Kumar ; Goswami, Anindya. In: Papers. RePEc:arx:papers:1807.04393. Full description at Econpapers || Download paper | |
| 2018 | Entropy Analysis of Financial Time Series. (2018). Schwill, Stephan. In: Papers. RePEc:arx:papers:1807.09423. Full description at Econpapers || Download paper | |
| 2018 | A Predictive Model for Oil Market under Uncertainty: Data-Driven System Dynamics Approach. (2018). Aghaei, Sina ; Fekri, Masoud ; Langroudi, Amirreza Safari. In: Papers. RePEc:arx:papers:1808.04150. Full description at Econpapers || Download paper | |
| 2018 | Regime-Switching Temperature Dynamics Model for Weather Derivatives. (2018). Gyamerah, Samuel Asante ; Ikpe, Dennis ; Ngare, Philip. In: Papers. RePEc:arx:papers:1808.04710. Full description at Econpapers || Download paper | |
| 2018 | Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures. (2018). Gatfaoui, Hayette. In: Papers. RePEc:arx:papers:1811.02382. Full description at Econpapers || Download paper | |
| 2018 | Nonparametric Analysis of Finite Mixtures. (2018). Kitamura, Yuichi ; Laage, Louise. In: Papers. RePEc:arx:papers:1811.02727. Full description at Econpapers || Download paper | |
| 2017 | Are Tunisian and Egyptian Share IPO Markets Hot or Cold?. (2017). kammoun, aida ; Zaier, Hedhili L ; Abdelmoula, Kammoun A. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2017:p:133-151. Full description at Econpapers || Download paper | |
| 2017 | Explore the Impact of the Trading Value, The Oil Price and Quantitative Easing Policy on the Taiwan and Korea Stock Market Return with Quantile Regression. (2017). Hsu, Tzu-Kuang ; Tsai, Chin-Chang . In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2017:p:15-26. Full description at Econpapers || Download paper | |
| 2017 | The Power of a Leading Indicators Fluctuation Trend for Forecasting Taiwans Real Estate Business Cycle: An Application of a Hidden Markov Model. (2017). Wu, Yun-Ling ; Lee, Chun-Chang ; Tung, Cheng-Huang . In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2017:p:81-98. Full description at Econpapers || Download paper | |
| 2018 | Asymmetric Effects of Chinas Monetary Policy on the Stock Market: Evidence from a Nonlinear VAR Mode. (2018). Sun, Yunpeng ; Wang, Xueying. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2018:p:745-761. Full description at Econpapers || Download paper | |
| 2017 | Linear and Nonlinear Predictability in Investment Style Factors: Multivariate Evidence*. (2017). Guidolin, Massimo ; Chincoli, Francesco . In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1754. Full description at Econpapers || Download paper | |
| 2018 | Forecasting Commodity Futures Returns: An Economic Value Analysis of Macroeconomic vs. Specific Factors. (2018). Guidolin, Massimo ; Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1886. Full description at Econpapers || Download paper | |
| 2017 | A Mixtured Localized Likelihood Method for GARCH Models with Multiple Change-points. (2017). Xing, Haipeng ; Zhou, Sichen ; Yuan, Hongsong . In: Review of Economics & Finance. RePEc:bap:journl:170204. Full description at Econpapers || Download paper | |
| 2017 | Posterior Means and Precisions of the Coefficients in Linear Models with Highly Collinear Regressors. (2017). Smith, Ronald ; Pesaran, M. In: BCAM Working Papers. RePEc:bbk:bbkcam:1707. Full description at Econpapers || Download paper | |
| 2018 | Measuring the Impact of Monetary Policy Attention on Global Asset Volatility Using Search Data. (2018). Wohlfarth, Paul. In: Birkbeck Working Papers in Economics and Finance. RePEc:bbk:bbkefp:1803. Full description at Econpapers || Download paper | |
| 2017 | Business cycle phases in Spain. (2017). Camacho, Maximo ; Ulloa, Camilo ; Pacce, Matias. In: Working Papers. RePEc:bbv:wpaper:1720. Full description at Econpapers || Download paper | |
| 2018 | Consumer confidence’s boom and bust in Latin America. (2018). Camacho, Maximo ; Soto, Fernando. In: Working Papers. RePEc:bbv:wpaper:1802. Full description at Econpapers || Download paper | |
| 2018 | Natural interest rates in the U.S., Canada and Mexico. (2018). Chen, Kan ; Karp, Nathaniel . In: Working Papers. RePEc:bbv:wpaper:1807. Full description at Econpapers || Download paper | |
| 2017 | What Explains Month-End Funding Pressure in Canada?. (2017). Sutherland, Christopher S. In: Discussion Papers. RePEc:bca:bocadp:17-9. Full description at Econpapers || Download paper | |
| 2018 | Assessing the Impact of Demand Shocks on the US Term Premium. (2018). Barnett, Russell ; Zmitrowicz, Konrad. In: Discussion Papers. RePEc:bca:bocadp:18-7. Full description at Econpapers || Download paper | |
| 2018 | The Government of Canada Debt Securities Data Set. (2018). Rivadeneyra, Francisco ; Rondon, Gabriel Rodriguez ; Gao, Jeffrey. In: Technical Reports. RePEc:bca:bocatr:112. Full description at Econpapers || Download paper | |
| 2017 | Markov-Switching Three-Pass Regression Filter. (2017). Marcellino, Massimiliano ; Leiva-Leon, Danilo ; Guérin, Pierre ; Guerin, Pierre . In: Staff Working Papers. RePEc:bca:bocawp:17-13. Full description at Econpapers || Download paper | |
| 2017 | Quantitative Easing and Long-Term Yields in Small Open Economies. (2017). Diez de los Rios, Antonio ; Shamloo, Maral . In: Staff Working Papers. RePEc:bca:bocawp:17-26. Full description at Econpapers || Download paper | |
| 2017 | Optimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions. (2017). Diez de los Rios, Antonio. In: Staff Working Papers. RePEc:bca:bocawp:17-33. Full description at Econpapers || Download paper | |
| 2017 | Did the Renewable Fuel Standard Shift Market Expectations of the Price of Ethanol?. (2017). Kilian, Lutz ; Baumeister, Christiane ; Ellwanger, Reinhard. In: Staff Working Papers. RePEc:bca:bocawp:17-35. Full description at Econpapers || Download paper | |
| 2017 | Policy Rules for Capital Controls. (2017). Pasricha, Gurnain. In: Staff Working Papers. RePEc:bca:bocawp:17-42. Full description at Econpapers || Download paper | |
| 2017 | Which Model to Forecast the Target Rate?. (2017). van Oordt, Maarten . In: Staff Working Papers. RePEc:bca:bocawp:17-60. Full description at Econpapers || Download paper | |
| 2018 | Could a Higher Inflation Target Enhance Macroeconomic Stability?. (2018). Mendes, Rhys ; Lepetyuk, Vadym ; Labelle, Nicholas ; Dorich, Jose. In: Staff Working Papers. RePEc:bca:bocawp:18-17. Full description at Econpapers || Download paper | |
| 2018 | Analysis of Asymmetric GARCH Volatility Models with Applications to Margin Measurement. (2018). Goldman, Elena ; Shen, Xiangjin . In: Staff Working Papers. RePEc:bca:bocawp:18-21. Full description at Econpapers || Download paper | |
| 2017 | Regional business cycles across europe. (2017). Gómez-Loscos, Ana ; Gadea, MarÃa ; Bandres, Eduardo ; Gomez-Loscos, Ana ; Gadea-Rivas, Maria Dolores . In: Occasional Papers. RePEc:bde:opaper:1702. Full description at Econpapers || Download paper | |
| 2017 | The evolution of regional economic interlinkages in Europe. (2017). Leiva-Leon, Danilo ; Gómez-Loscos, Ana ; Gadea, MarÃa ; Gadea-Rivas, Maria Dolores ; Gomez-Loscos, Ana . In: Working Papers. RePEc:bde:wpaper:1705. Full description at Econpapers || Download paper | |
| 2017 | The eurozone (expected) inflation: an option’s eyes view.. (2017). Ibáñez, Alfredo ; Gimeno, Ricardo ; Ibaez, Alfredo . In: Working Papers. RePEc:bde:wpaper:1722. Full description at Econpapers || Download paper | |
| 2017 | Measuring business cycles intra-synchronization in us: a regime-switching interdependence framework. (2017). Leiva-Leon, Danilo. In: Working Papers. RePEc:bde:wpaper:1726. Full description at Econpapers || Download paper | |
| 2017 | The propagation of industrial business cycles. (2017). Leiva-Leon, Danilo ; Camacho, Maximo. In: Working Papers. RePEc:bde:wpaper:1728. Full description at Econpapers || Download paper | |
| 2017 | Clustering regional business cycles. (2017). Gómez-Loscos, Ana ; Gadea, MarÃa ; Bandres, Eduardo ; Gomez-Loscos, Ana ; Gadea-Rivas, M D. In: Working Papers. RePEc:bde:wpaper:1744. Full description at Econpapers || Download paper | |
| 2018 | The rise and fall of the natural interest rate. (2018). Sentana, Enrique ; Galesi, Alessandro ; Fiorentini, Gabriele ; Perez-Quiros, Gabriel. In: Working Papers. RePEc:bde:wpaper:1822. Full description at Econpapers || Download paper | |
| 2018 | Analyzing the structural transformation of commodity markets: financialization revisited. (2018). Natoli, Filippo. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_419_18. Full description at Econpapers || Download paper | |
| 2018 | Financial markets effects of ECB unconventional monetary policy announcements. (2018). Bulligan, Guido ; delle Monache, Davide. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_424_18. Full description at Econpapers || Download paper | |
| 2018 | A Survey of Systemic Risk Indicators. (2018). Di Cesare, Antonio ; Picco, Anna Rogantini . In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_458_18. Full description at Econpapers || Download paper | |
| 2017 | Low frequency drivers of the real interest rate: a band spectrum regression approach. (2017). Busetti, Fabio ; Caivano, Michele . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1132_17. Full description at Econpapers || Download paper | |
| 2017 | Natural rates across the Atlantic. (2017). Neri, Stefano ; Gerali, Andrea. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1140_17. Full description at Econpapers || Download paper | |
| 2017 | A quantitative analysis of risk premia in the corporate bond market. (2017). Cecchetti, Sara . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1141_17. Full description at Econpapers || Download paper | |
| 2018 | Nearly exact Bayesian estimation of non-linear no-arbitrage term structure models. (2018). Taboga, Marco ; Pericoli, Marcello. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1189_18. Full description at Econpapers || Download paper | |
| 2017 | Explaining Inflation with a Classical Dichotomy Model and Switching Monetary Regimes: Mexico 1932-2013. (2017). Daniel, Garces Diaz . In: Working Papers. RePEc:bdm:wpaper:2017-20. Full description at Econpapers || Download paper | |
| 2018 | TIIE-28 Swaps as Risk-Adjusted Forecasts of Monetary Policy in Mexico. (2018). Santiago, Garcia-Verdu ; Manuel, Sanchez-Martinez. In: Working Papers. RePEc:bdm:wpaper:2018-16. Full description at Econpapers || Download paper | |
| 2018 | Non-Linear Fiscal Multipliers for Public Expenditure and Tax Revenue in Colombia. (2018). Pinchao-Rosero, Andres ; Rodriguez-Nio, Norberto ; Lopez-Vera, Alejandro. In: Revista ESPE - Ensayos sobre Política Económica. RePEc:bdr:ensayo:v:36:y:2018:i:85:p:48-64. Full description at Econpapers || Download paper | |
| 2018 | ECONOMETRIC TESTING OF UNCOVERED INTEREST RATE PARITY IN SERBIA. (2018). Mladenovi, Zorica ; Rakovi, Jelena. In: Economic Annals. RePEc:beo:journl:v:62:y:2018:i:216:p:35-62. Full description at Econpapers || Download paper | |
| 2018 | ECONOMETRIC TESTING OF UNCOVERED INTEREST RATE PARITY IN SERBIA. (2018). Mladenovi, Zorica ; Rakovi, Jelena. In: Economic Annals. RePEc:beo:journl:v:63:y:2018:i:216:p:35-62. Full description at Econpapers || Download paper | |
| 2018 | STRUCTURAL AND CYCLICAL FACTORS OF SERBIA’S CURRENT ACCOUNT. (2018). Kovaevi, Radovan. In: Economic Annals. RePEc:beo:journl:v:63:y:2018:i:217:p:75-98. Full description at Econpapers || Download paper | |
| 2017 | Price impact of bond supply shocks: Evidence from the Eurosystems asset purchase program.. (2017). Nguyen, Benoît ; Arrata, W. In: Working papers. RePEc:bfr:banfra:623. Full description at Econpapers || Download paper | |
| More than 100 citations found, this list is not complete... |
Works by James Hamilton:
| Year | Title | Type | Cited |
|---|---|---|---|
| 1986 | On the Limitations of Government Borrowing: A Framework for EmpiricalTesting. In: American Economic Review. [Full Text][Citation analysis] | article | 378 |
| 1985 | On 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: 378 | paper | |
| 1990 | Long Swings in the Dollar: Are They in the Data and Do Markets Know It? In: American Economic Review. [Full Text][Citation analysis] | article | 446 |
| 1992 | Was the Deflation during the Great Depression Anticipated? Evidence from the Commodity Futures Market. In: American Economic Review. [Full Text][Citation analysis] | article | 43 |
| 1997 | Measuring the Liquidity Effect. In: American Economic Review. [Full Text][Citation analysis] | article | 105 |
| 1996 | Measuring the liquidity effect.(1996) In: Working Papers in Applied Economic Theory. [Citation analysis] This paper has another version. Agregated cites: 105 | paper | |
| 2011 | Estimating the Market-Perceived Monetary Policy Rule In: American Economic Journal: Macroeconomics. [Full Text][Citation analysis] | article | 15 |
| 2010 | Estimating the Market-Perceived Monetary Policy Rule.(2010) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 15 | paper | |
| 1985 | Historical Causes of Postwar Oil Shocks and Recessions In: The Energy Journal. [Full Text][Citation analysis] | article | 70 |
| 2009 | Understanding Crude Oil Prices In: The Energy Journal. [Full Text][Citation analysis] | article | 412 |
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| 1986 | Estimation of Unobserved Expected Monthly Inflation Using Kalman Filtering. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 23 |
| 1991 | A Quasi-Bayesian Approach to Estimating Parameters for Mixtures of Normal Distributions. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 43 |
| 1991 | The Quantitative Significance of the Lucas Critique: Comment. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 0 |
| 2009 | Causes and Consequences of the Oil Shock of 2007-08 In: Brookings Papers on Economic Activity. [Full Text][Citation analysis] | article | 324 |
| 2010 | Causes 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: 324 | paper | |
| 2009 | Causes 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: 324 | paper | |
| 1988 | ROLE OF THE INTERNATIONAL GOLD STANDARD IN PROPAGATING THE GREAT DEPRESSION In: Contemporary Economic Policy. [Full Text][Citation analysis] | article | 18 |
| 2005 | Comment on Investigating Nonlinearity In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2003 | A model for the federal funds rate target. In: Working Papers. [Full Text][Citation analysis] | paper | 142 |
| 1999 | A model for the federal funds rate target.(1999) In: Department of Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 142 | paper | |
| 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: 142 | 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: 142 | article | |
| 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 | 23 |
| 1999 | A Parametric Approach to Flexible Nonlinear Inference In: University of California at San Diego, Economics Working Paper Series. [Full Text][Citation analysis] | paper | 115 |
| 2001 | A Parametric Approach to Flexible Nonlinear Inference..(2001) In: Econometrica. [Citation analysis] This paper has another version. Agregated cites: 115 | 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 | 148 |
| 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: 148 | 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: 148 | paper | |
| 2015 | Robust Bond Risk Premia In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 2015 | Robust bond risk premia.(2015) In: Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2017 | Robust Bond Risk Premia.(2017) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 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 | 125 |
| 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: 125 | paper | |
| 1989 | A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. In: Econometrica. [Full Text][Citation analysis] | article | 2883 |
| 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 | 12 |
| 1998 | The supply and demand for Federal Reserve deposits In: Carnegie-Rochester Conference Series on Public Policy. [Full Text][Citation analysis] | article | 9 |
| 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 | 331 |
| 2002 | On the interpretation of cointegration in the linear-quadratic inventory model In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 7 |
| 2003 | Comment on A comparison of two business cycle dating methods In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 22 |
| 1986 | State-space models In: Handbook of Econometrics. [Full Text][Citation analysis] | chapter | 11 |
| 2003 | What is an oil shock? In: Journal of Econometrics. [Full Text][Citation analysis] | article | 873 |
| 2000 | What is an Oil Shock?.(2000) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 873 | paper | |
| 2012 | Identification and estimation of Gaussian affine term structure models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 61 |
| 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: 61 | paper | |
| 2014 | Testable implications of affine term structure models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 17 |
| 2011 | Testable Implications of Affine Term Structure Models.(2011) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | paper | |
| 1986 | A standard error for the estimated state vector of a state-space model In: Journal of Econometrics. [Full Text][Citation analysis] | article | 74 |
| 1990 | Analysis of time series subject to changes in regime In: Journal of Econometrics. [Full Text][Citation analysis] | article | 678 |
| 1994 | Autoregressive conditional heteroskedasticity and changes in regime In: Journal of Econometrics. [Full Text][Citation analysis] | article | 672 |
| 1996 | Specification testing in Markov-switching time-series models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 203 |
| 2011 | Calling recessions in real time In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 71 |
| 2010 | Calling Recessions in Real Time.(2010) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 71 | paper | |
| 2011 | Response to comments In: International Journal of Forecasting. [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 | 72 |
| 2013 | Risk Premia in Crude Oil Futures Prices.(2013) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 72 | paper | |
| 1985 | The observable implications of self-fulfilling expectations In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 86 |
| 1987 | Monetary factors in the great depression In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 93 |
| 1989 | The long-run behavior of the velocity of circulation : A review essay In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 4 |
| 1996 | This is what happened to the oil price-macroeconomy relationship In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 619 |
| 1998 | The augmented Solow model and the productivity slowdown In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 44 |
| 2008 | Daily monetary policy shocks and new home sales In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 27 |
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| 2018 | Heterogeneity and Unemployment Dynamics.(2018) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 2016 | Heterogeneity and Unemployment Dynamics.(2016) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 2004 | Normalization in econometrics In: FRB Atlanta Working Paper. [Full Text][Citation analysis] | paper | 66 |
| 2007 | Normalization in Econometrics.(2007) In: Econometric Reviews. [Full Text][Citation analysis] This paper has another version. Agregated cites: 66 | 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 |
| 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 | 29 |
| 2005 | Whats Real About the Business Cycle?.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 29 | paper | |
| 2008 | Assessing monetary policy effects using daily federal funds futures contracts In: Review. [Full Text][Citation analysis] | article | 4 |
| 2009 | The propagation of regional recessions In: Working Papers. [Full Text][Citation analysis] | paper | 49 |
| 2011 | The Propagation of Regional Recessions.(2011) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 49 | 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: 49 | 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 | 23 |
| 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 | 232 |
| 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 | 78 |
| 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: 78 | paper | |
| 2004 | Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy: Comment. In: Journal of Money, Credit and Banking. [Citation analysis] | article | 303 |
| 2009 | Daily Changes in Fed Funds Futures Prices In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] | article | 29 |
| 2007 | Daily Changes in Fed Funds Futures Prices.(2007) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 29 | 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 | 252 |
| 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: 252 | paper | |
| 2005 | Dating Business Cycle Turning Points In: NBER Working Papers. [Full Text][Citation analysis] | paper | 57 |
| 2007 | Assessing Monetary Policy Effects Using Daily Fed Funds Futures Contracts In: NBER Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2008 | Macroeconomics and ARCH In: NBER Working Papers. [Full Text][Citation analysis] | paper | 20 |
| 2008 | Daily Monetary Policy Shocks and the Delayed Response of New Home Sales In: NBER Working Papers. [Full Text][Citation analysis] | paper | 23 |
| 2010 | Sources of Variation in Holding Returns for Fed Funds Futures Contracts In: NBER Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 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: 5 | article | |
| 2011 | Historical Oil Shocks In: NBER Working Papers. [Full Text][Citation analysis] | paper | 60 |
| 2012 | Oil Prices, Exhaustible Resources, and Economic Growth In: NBER Working Papers. [Full Text][Citation analysis] | paper | 10 |
| 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 | 34 |
| 2014 | Effects of Index-Fund Investing on Commodity Futures Prices In: NBER Working Papers. [Full Text][Citation analysis] | paper | 36 |
| 2015 | EFFECTS OF INDEX‐FUND INVESTING ON COMMODITY FUTURES PRICES.(2015) In: International Economic Review. [Full Text][Citation analysis] This paper has another version. Agregated cites: 36 | article | |
| 2014 | The Changing Face of World Oil Markets In: NBER Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 2014 | Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information In: NBER Working Papers. [Full Text][Citation analysis] | paper | 41 |
| 2015 | Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information.(2015) In: Econometrica. [Full Text][Citation analysis] This paper has another version. Agregated cites: 41 | article | |
| 2015 | The Equilibrium Real Funds Rate: Past, Present and Future In: NBER Working Papers. [Full Text][Citation analysis] | paper | 73 |
| 2016 | Macroeconomic Regimes and Regime Shifts In: NBER Working Papers. [Full Text][Citation analysis] | paper | 11 |
| 2017 | Why You Should Never Use the Hodrick-Prescott Filter In: NBER Working Papers. [Full Text][Citation analysis] | paper | 45 |
| 2017 | Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks In: NBER Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 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: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | A Skeptical View of the Impact of the Fed’s Balance Sheet In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 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 |
| 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 | 23 |
| 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 | 72 |
| 1996 | The Daily Market for Federal Funds. In: Journal of Political Economy. [Full Text][Citation analysis] | article | 224 |
| 1983 | Oil and the Macroeconomy since World War II. In: Journal of Political Economy. [Full Text][Citation analysis] | article | 1195 |
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| 1988 | A Neoclassical Model of Unemployment and the Business Cycle. In: Journal of Political Economy. [Full Text][Citation analysis] | article | 227 |
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