James M. Nason : Citation Profile


Are you James M. Nason?

North Carolina State University

17

H index

26

i10 index

2721

Citations

RESEARCH PRODUCTION:

28

Articles

65

Papers

1

Chapters

RESEARCH ACTIVITY:

   33 years (1988 - 2021). See details.
   Cites by year: 82
   Journals where James M. Nason has often published
   Relations with other researchers
   Recent citing documents: 308.    Total self citations: 32 (1.16 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pna12
   Updated: 2022-01-15    RAS profile: 2021-10-18    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Smith, Gregor (3)

Mertens, Elmar (2)

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

Is cited by:

Wen, Yi (28)

Ravn, Morten (25)

Degiannakis, Stavros (24)

Clements, Adam (23)

Roventini, Andrea (20)

Aadland, David (19)

Kano, Takashi (18)

Mertens, Karel (18)

GUPTA, RANGAN (17)

Filis, George (17)

Jalles, Joao (16)

Cites to:

Galí, Jordi (21)

Watson, Mark (18)

Gertler, Mark (16)

West, Kenneth (15)

Nelson, Charles (15)

Cogley, Timothy (14)

King, Robert (14)

Christiano, Lawrence (13)

Engle, Robert (13)

Campbell, John (12)

Hansen, Lars (11)

Main data


Where James M. Nason has published?


Journals with more than one article published# docs
Journal of Applied Econometrics3
Journal of Econometrics3
American Economic Review2
Economics Letters2
Journal of International Economics2

Working Papers Series with more than one paper published# docs
FRB Atlanta Working Paper / Federal Reserve Bank of Atlanta16
Working Papers / Federal Reserve Bank of Philadelphia5
Working Paper / Economics Department, Queen's University5
International Finance Discussion Papers / Board of Governors of the Federal Reserve System (U.S.)3
Working Papers / Duke University, Department of Economics3
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)2
Working Papers in Applied Economic Theory / Federal Reserve Bank of San Francisco2
Discussion Papers / Graduate School of Economics, Hitotsubashi University2

Recent works citing James M. Nason (2021 and 2020)


YearTitle of citing document
2020Uncertainty and Monetary Policy during Extreme Events. (2020). Caggiano, Giovanni ; Castelnuovo, Efrem ; Pellegrino, Giovanni. In: Economics Working Papers. RePEc:aah:aarhec:2020-11.

Full description at Econpapers || Download paper

2021American Business Cycles 1889-1913: An Accounting Approach. (2021). Weder, Mark ; Jiang, Dou. In: Economics Working Papers. RePEc:aah:aarhec:2021-02.

Full description at Econpapers || Download paper

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

2020Predicting bond return predictability. (2020). Thyrsgaard, Martin ; Kjar, Mads M ; Eriksen, Jonas N ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2020-09.

Full description at Econpapers || Download paper

2020Entry Decision, the Option to Delay Entry, and Business Cycles. (2020). Vardishvili, Ia. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2020-07.

Full description at Econpapers || Download paper

2020Model Averaging and Its Use in Economics. (2020). , Mark. In: Journal of Economic Literature. RePEc:aea:jeclit:v:58:y:2020:i:3:p:644-719.

Full description at Econpapers || Download paper

2021TESTING THE WEAK FORM EFFICIENCY OF THE FRENCH ETF MARKET WITH LSTAR-ANLSTGARCH APPROACH USING A SEMIPARAMETRIC ESTIMATION. (2021). DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:09-21.

Full description at Econpapers || Download paper

2020Institutional Quality Explains the Difference of Natural Gas Revenues to Contribute in the Economy: Empirical Evidence from Tanzania. (2020). Kinyondo, Abel ; Byaro, Mwoyo. In: African Journal of Economic Review. RePEc:ags:afjecr:308777.

Full description at Econpapers || Download paper

2021Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: Papers. RePEc:arx:papers:1610.00332.

Full description at Econpapers || Download paper

2021A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework. (2018). Chen, Qian ; Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1807.02422.

Full description at Econpapers || Download paper

2021Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions. (2020). Schweikert, Karsten. In: Papers. RePEc:arx:papers:2001.07949.

Full description at Econpapers || Download paper

2020Forecasting Realized Volatility Matrix With Copula-Based Models. (2020). Tao, Minjing ; Wang, Wenjing. In: Papers. RePEc:arx:papers:2002.08849.

Full description at Econpapers || Download paper

2021Nonparametric Expected Shortfall Forecasting Incorporating Weighted Quantiles. (2020). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2005.04868.

Full description at Econpapers || Download paper

2020Doubly Multiplicative Error Models with Long- and Short-run Components. (2020). Amendola, Alessandra ; Gallo, Giampiero M ; Cipollini, Fabrizio ; Candila, Vincenzo. In: Papers. RePEc:arx:papers:2006.03458.

Full description at Econpapers || Download paper

2020A Model of the Feds View on Inflation. (2020). Pellegrino, Filippo ; Hasenzagl, Thomas ; Ricco, Giovanni ; Reichlin, Lucrezia. In: Papers. RePEc:arx:papers:2006.14110.

Full description at Econpapers || Download paper

2021Macroeconomic Data Transformations Matter. (2020). Stevanovic, Dalibor ; Surprenant, St'Ephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.01714.

Full description at Econpapers || Download paper

2020Tail risk forecasting using Bayesian realized EGARCH models. (2020). Wang, Chao ; Gerlach, Richard ; Tendenan, Vica. In: Papers. RePEc:arx:papers:2008.05147.

Full description at Econpapers || Download paper

2020How is Machine Learning Useful for Macroeconomic Forecasting?. (2020). Stevanovic, Dalibor ; Surprenant, St'Ephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.12477.

Full description at Econpapers || Download paper

2021Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552.

Full description at Econpapers || Download paper

2020A Multivariate Realized GARCH Model. (2020). Hansen, Peter Reinhard ; Archakov, Ilya ; Lunde, Asger. In: Papers. RePEc:arx:papers:2012.02708.

Full description at Econpapers || Download paper

2021Machine Learning Advances for Time Series Forecasting. (2020). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Papers. RePEc:arx:papers:2012.12802.

Full description at Econpapers || Download paper

2021Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions. (2021). Hecq, Alain ; Wilms, Ines ; Ternes, Marie. In: Papers. RePEc:arx:papers:2102.11780.

Full description at Econpapers || Download paper

2021Using social network and semantic analysis to analyze online travel forums and forecast tourism demand. (2021). Colladon, Fronzetti A ; Innarella, R ; Guardabascio, B. In: Papers. RePEc:arx:papers:2105.07727.

Full description at Econpapers || Download paper

2021Measuring the Business Cycle in Bulgaria. (2021). Karamisheva, Tania. In: Economic Studies journal. RePEc:bas:econst:y:2021:i:3:p:17-38.

Full description at Econpapers || Download paper

2020The NAIRU and Informality in the Mexican Labor Market. (2020). Alcaraz Pribaz, Carlo ; Rodriguez-Perez, Cid Alonso ; Ramirez, Claudia ; Aguilar-Argaez, Ana Maria . In: Working Papers. RePEc:bdm:wpaper:2020-09.

Full description at Econpapers || Download paper

2021On the neutrality of the exchange rate regime regarding real misalignments: Evidence from sub?Saharan Africa. (2021). Bikai, Jacques Landry ; Owoundi, Ferdinand. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:73:y:2021:i:3:p:327-345.

Full description at Econpapers || Download paper

2020ECONOMETRICS MEETS SENTIMENT: AN OVERVIEW OF METHODOLOGY AND APPLICATIONS. (2020). Boudt, Kris ; Algaba, Andres ; Borms, Samuel ; Bluteau, Keven ; Ardia, David. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:34:y:2020:i:3:p:512-547.

Full description at Econpapers || Download paper

2020A similarity‐based approach for macroeconomic forecasting. (2020). Marcellino, Massimiliano ; Kapetanios, G ; Dendramis, Y. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:183:y:2020:i:3:p:801-827.

Full description at Econpapers || Download paper

2020Measuring the Financial Cycle in South Africa. (2020). Farrell, Greg ; Kemp, Esti. In: South African Journal of Economics. RePEc:bla:sajeco:v:88:y:2020:i:2:p:123-144.

Full description at Econpapers || Download paper

2020The nature of trade, global production fragmentation and inflationary dynamics: Cross‐country evidence. (2020). Saygili, Hulya. In: The World Economy. RePEc:bla:worlde:v:43:y:2020:i:7:p:2007-2031.

Full description at Econpapers || Download paper

2020Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates. (2020). McAleer, Michael ; Allen, David ; David, Allen ; Shelton, Peiris ; Manabu, Asai . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:12:y:2020:i:1:p:18:n:2.

Full description at Econpapers || Download paper

2020Testing for cointegration with threshold adjustment in the presence of structural breaks. (2020). Karsten, Schweikert. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:24:y:2020:i:1:p:28:n:5.

Full description at Econpapers || Download paper

2021Augmented Real-Time GARCH: A Joint Model for Returns, Volatility and Volatility of Volatility. (2021). Ding, Y. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2112.

Full description at Econpapers || Download paper

2021Forecasting Canadian GDP Growth with Machine Learning. (2021). Demers, Fanny S ; Chu, BA ; Qureshi, Shafiullah. In: Carleton Economic Papers. RePEc:car:carecp:21-05.

Full description at Econpapers || Download paper

2020Uncertainty and Monetary Policy during Extreme Events. (2020). Castelnuovo, Efrem ; Caggiano, Giovanni ; Pellegrino, Giovanni. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8561.

Full description at Econpapers || Download paper

2021Uncertainty and Monetary Policy during the Great Recession. (2021). Caggiano, Giovanni ; Castelnuovo, Efrem ; Pellegrino, Giovanni. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8985.

Full description at Econpapers || Download paper

2021Intergenerational Actuarial Fairness when Longevity Increases: Amending the Retirement Age. (2021). Palmer, Edward ; Holzmann, Robert ; Ayuso, Mercedes ; Miguelbravo, Jorge. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9408.

Full description at Econpapers || Download paper

2021(Non-)Keynesian Effects of Fiscal Austerity: New Evidence from a Large Sample. (2021). Jalles, Joao ; Alves, José ; Afonso, Antonio. In: EconPol Working Paper. RePEc:ces:econwp:_55.

Full description at Econpapers || Download paper

2021Searching for the Best Inflation Forecasters within a Consumer Perceptions Survey: Microdata Evidence from Chile. (2021). Medel, Carlos A.. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:899.

Full description at Econpapers || Download paper

2021Forecasting Brazilian Inflation with the Hybrid New Keynesian Phillips Curve: Assessing the Predictive Role of Trading Partners. (2021). Medel, Carlos A.. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:900.

Full description at Econpapers || Download paper

2020Macroeconomic Data Transformations Matter. (2020). Stevanovic, Dalibor ; Surprenant, Stephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: CIRANO Working Papers. RePEc:cir:cirwor:2020s-42.

Full description at Econpapers || Download paper

2020Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models. (2020). Otranto, Edoardo ; Bauwens, L. In: Working Paper CRENoS. RePEc:cns:cnscwp:202007.

Full description at Econpapers || Download paper

2020Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models. (2020). Otranto, Edoardo ; Bauwens, Luc. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2020034.

Full description at Econpapers || Download paper

2020Optimal monetary policy in a New Keynesian model with heterogeneous expectations. (2020). Di Pietro, Marco ; Di Bartolomeo, Giovanni ; Giannini, Bianca . In: Dynare Working Papers. RePEc:cpm:dynare:054.

Full description at Econpapers || Download paper

2021Frictions financières et Dynamique macroéconomique : Examen des régularités cycliques. (2021). Katuala, Henock M. In: Dynare Working Papers. RePEc:cpm:dynare:066.

Full description at Econpapers || Download paper

2020Adaptative predictability of stock market returns. (2020). Veiga, Helena ; Lopes, Maria Helena ; Casas, Maria Isabel ; Mao, Xiuping. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:31648.

Full description at Econpapers || Download paper

2021How did the asset markets change after the Global Financial Crisis?. (2021). Leung, Charles ; Ka, Charles ; Chang, Kuang-Liang. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2021_004.

Full description at Econpapers || Download paper

2021How did the asset markets change after the Global Financial Crisis?. (2021). Leung, Charles ; Chang, Kuang-Liang. In: ISER Discussion Paper. RePEc:dpr:wpaper:1124.

Full description at Econpapers || Download paper

2020Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach. (2020). Hallin, Marc ; Trucios, Carlos. In: Working Papers ECARES. RePEc:eca:wpaper:2013/315983.

Full description at Econpapers || Download paper

2021Análisis de la sostenibilidad del sector exterior en la OCDE con técnicas de multicointegración. (2021). Camarero, Mariam ; Tamarit, Cecilio ; Carrion, Josep Lluis. In: Working Papers. RePEc:eec:wpaper:2112.

Full description at Econpapers || Download paper

2021Predicting risk in energy markets: Low-frequency data still matter. (2021). Výrost, Tomᚠ; Vrost, Toma ; Todorova, Neda ; Lyocsa, Tefan. In: Applied Energy. RePEc:eee:appene:v:282:y:2021:i:pa:s0306261920315567.

Full description at Econpapers || Download paper

2021A hybrid model for carbon price forecastingusing GARCH and long short-term memory network. (2021). Zhou, Dequn ; Wang, Qunwei ; Dai, Xingyu ; Huang, Yumeng. In: Applied Energy. RePEc:eee:appene:v:285:y:2021:i:c:s0306261921000489.

Full description at Econpapers || Download paper

2021A novel method for online real-time forecasting of crude oil price. (2021). Wang, Chao ; Gong, Xue ; Zhang, Weiguo ; Zhao, Yuan. In: Applied Energy. RePEc:eee:appene:v:303:y:2021:i:c:s0306261921009648.

Full description at Econpapers || Download paper

2021An intraday-return-based Value-at-Risk model driven by dynamic conditional score with censored generalized Pareto distribution. (2021). Li, Handong ; Tian, Fei ; Song, Shijia. In: Journal of Asian Economics. RePEc:eee:asieco:v:74:y:2021:i:c:s1049007821000439.

Full description at Econpapers || Download paper

2020Growth cycles and business cycles of the Chinese economy through the lens of the unobserved components model. (2020). Liu, Zehao ; Han, Yang ; Ma, Jun. In: China Economic Review. RePEc:eee:chieco:v:63:y:2020:i:c:s1043951x19300781.

Full description at Econpapers || Download paper

2020Forecasting stock market in high and low volatility periods: a modified multifractal volatility approach. (2020). Zhang, Tonghui ; Yuan, Ying. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:140:y:2020:i:c:s0960077920306482.

Full description at Econpapers || Download paper

2020Macroeconomic simulation comparison with a multivariate extension of the Markov information criterion. (2020). Barde, Sylvain. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s0165188919301927.

Full description at Econpapers || Download paper

2020The effects of conventional and unconventional monetary policy on forecasting the yield curve. (2020). Eo, Yunjong ; Ho, Kyu. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s016518891930209x.

Full description at Econpapers || Download paper

2020Exploiting ergodicity in forecasts of corporate profitability. (2020). Milaković, Mishael ; Alfarano, Simone ; Mundt, Philipp. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s0165188919302155.

Full description at Econpapers || Download paper

2020Labor market search, endogenous disasters and the equity premium puzzle. (2020). Heiberger, Christopher. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:114:y:2020:i:c:s0165188920300671.

Full description at Econpapers || Download paper

2020Time-Varying Consumer Disagreement and Future Inflation. (2020). Tsiaplias, Sarantis. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:116:y:2020:i:c:s0165188920300713.

Full description at Econpapers || Download paper

2020The effects of trade size and market depth on immediate price impact in a limit order book market. (2020). Anderson, Heather ; Pham, Manh Cuong ; Lajbcygier, Paul ; Duong, Huu Nhan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:120:y:2020:i:c:s0165188920301603.

Full description at Econpapers || Download paper

2021Projection-based inference with particle swarm optimization. (2021). Lin, Zhenjiang ; Khalaf, Lynda. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:128:y:2021:i:c:s0165188921000737.

Full description at Econpapers || Download paper

2021Multi-agent-based VaR forecasting. (2021). Poddig, Thorsten ; Fieberg, Christian ; Tubbenhauer, Tobias. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:131:y:2021:i:c:s0165188921001664.

Full description at Econpapers || Download paper

2020The volatility impact of social expenditure’s cyclicality in advanced economies. (2020). Jalles, Joao. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:66:y:2020:i:c:p:26-40.

Full description at Econpapers || Download paper

2021The long-run real effects of monetary shocks: Lessons from a hybrid post-Keynesian-DSGE-agent-based menu cost model. (2021). Vary, Miklos. In: Economic Modelling. RePEc:eee:ecmode:v:105:y:2021:i:c:s0264999321002637.

Full description at Econpapers || Download paper

2022Asymmetric multivariate HAR models for realized covariance matrix: A study based on volatility timing strategies. (2022). Zhang, YI ; Qu, Hui. In: Economic Modelling. RePEc:eee:ecmode:v:106:y:2022:i:c:s0264999321002881.

Full description at Econpapers || Download paper

2020Does measurement error matter in volatility forecasting? Empirical evidence from the Chinese stock market. (2020). Huang, Zhuo ; Wang, Tianyi ; Liang, Fang. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:148-157.

Full description at Econpapers || Download paper

2020Economic policy uncertainty and the Chinese stock market volatility: Novel evidence. (2020). Zhang, Yaojie ; Ma, Feng ; Li, Tao. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:24-33.

Full description at Econpapers || Download paper

2020Volatility forecasting using related markets’ information for the Tokyo stock exchange. (2020). Su, Jen-Je ; Li, Bin ; Todorova, Neda ; Jayawardena, Nirodha I. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:143-158.

Full description at Econpapers || Download paper

2020Further empirical evidence on the forecasting of volatility with smooth transition exponential smoothing. (2020). Choo, Wei-Chong ; Taylor, James W ; Liu, Min. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:651-659.

Full description at Econpapers || Download paper

2021Forecasting U.S. Yield Curve Using the Dynamic Nelson–Siegel Model with Random Level Shift Parameters. (2021). Xu, Jiawen ; Pang, Tao ; Luo, Deqing. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:340-350.

Full description at Econpapers || Download paper

2021Capital-labor substitution elasticity: A simulated method of moments approach. (2021). Wemy, Edouard . In: Economic Modelling. RePEc:eee:ecmode:v:97:y:2021:i:c:p:14-44.

Full description at Econpapers || Download paper

2020Is inflation driven by survey-based, VAR-based or myopic expectations? An empirical assessment from US real-time data. (2020). Bec, Frédérique ; Kanda, Patrick. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818305436.

Full description at Econpapers || Download paper

2020Forecasting volatility with component conditional autoregressive range model. (2020). Hou, Xinmeng ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s106294081930083x.

Full description at Econpapers || Download paper

2020Forecasting the Chinese stock market volatility with international market volatilities: The role of regime switching. (2020). Wei, YU ; Lei, Likun ; Zhang, Yaojie. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819302293.

Full description at Econpapers || Download paper

2021Identifying credit demand, financial intermediation, and supply of funds shocks: A structural VAR approach. (2021). Zhang, Ren ; Zeng, Zheng ; Balke, Nathan S. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940821000140.

Full description at Econpapers || Download paper

2021Dynamic volatility modelling of Bitcoin using time-varying transition probability Markov-switching GARCH model. (2021). Ng, Kooi-Huat ; Koh, You-Beng ; Tan, Chia-Yen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940821000164.

Full description at Econpapers || Download paper

2021Forecasting stock index price using the CEEMDAN-LSTM model. (2021). Yan, Yan ; Lin, YU ; Ma, Feng ; Liao, Ying ; Xu, Jiali. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000553.

Full description at Econpapers || Download paper

2021Economic policy uncertainty and stock market returns: New evidence. (2021). Liang, Chao ; Chen, Zhonglu ; Wang, Jianqiong ; Xu, Yongan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001418.

Full description at Econpapers || Download paper

2020Volatility forecasting accuracy for Bitcoin. (2020). Posch, Peter ; Schmidtke, Philipp ; Kochling, Gerrit. In: Economics Letters. RePEc:eee:ecolet:v:191:y:2020:i:c:s0165176519304239.

Full description at Econpapers || Download paper

2020On the credit-to-GDP gap and spurious medium-term cycles. (2020). Schüler, Yves ; Schuler, Yves S. In: Economics Letters. RePEc:eee:ecolet:v:192:y:2020:i:c:s0165176520301701.

Full description at Econpapers || Download paper

2020Estimating nonlinear dynamic equilibrium models by matching impulse responses. (2020). Ruge-Murcia, Francisco. In: Economics Letters. RePEc:eee:ecolet:v:197:y:2020:i:c:s0165176520303840.

Full description at Econpapers || Download paper

2020Multivariate leverage effects and realized semicovariance GARCH models. (2020). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:411-430.

Full description at Econpapers || Download paper

2020Incorporating overnight and intraday returns into multivariate GARCH volatility models. (2020). Wu, Jianbin ; Dhaene, Geert. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:471-495.

Full description at Econpapers || Download paper

2020Nonlinearities and regimes in conditional correlations with different dynamics. (2020). Bauwens, Luc ; Otranto, Edoardo. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:496-522.

Full description at Econpapers || Download paper

2021Choosing the frequency of volatility components within the Double Asymmetric GARCH–MIDAS–X model. (2021). Gallo, Giampiero ; Amendola, Alessandra ; Candila, Vincenzo. In: Econometrics and Statistics. RePEc:eee:ecosta:v:20:y:2021:i:c:p:12-28.

Full description at Econpapers || Download paper

2021Model calibration and validation via confidence sets. (2021). Centorrino, Samuele ; Secchi, Davide ; Martinoli, Mario ; Seri, Raffaello. In: Econometrics and Statistics. RePEc:eee:ecosta:v:20:y:2021:i:c:p:62-86.

Full description at Econpapers || Download paper

2020Social expenditure cyclicality: New time-varying evidence in developing economies. (2020). Jalles, Joao. In: Economic Systems. RePEc:eee:ecosys:v:44:y:2020:i:3:s0939362518302693.

Full description at Econpapers || Download paper

2021How expected inflation distorts the current account and the valuation effect. (2021). Saure, Philip ; Herkenhoff, Philipp. In: European Economic Review. RePEc:eee:eecrev:v:135:y:2021:i:c:s001429212100074x.

Full description at Econpapers || Download paper

2020Pricing and hedging in incomplete markets with model uncertainty. (2020). Pelsser, Antoon ; Balter, Anne G. In: European Journal of Operational Research. RePEc:eee:ejores:v:282:y:2020:i:3:p:911-925.

Full description at Econpapers || Download paper

2020VIX derivatives, hedging and vol-of-vol risk. (2020). Kaeck, Andreas ; Seeger, Norman J. In: European Journal of Operational Research. RePEc:eee:ejores:v:283:y:2020:i:2:p:767-782.

Full description at Econpapers || Download paper

2020Factor state–space models for high-dimensional realized covariance matrices of asset returns. (2020). Gribisch, Bastian ; Liesenfeld, Roman ; Hartkopf, Jan Patrick. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:1-20.

Full description at Econpapers || Download paper

2021Modeling the cross-section of stock returns using sensible models in a model pool. (2021). Zhou, Qing ; Liao, Yin ; Chiang, I-Hsuan Ethan ; I-Hsuan Ethan Chiang, . In: Journal of Empirical Finance. RePEc:eee:empfin:v:60:y:2021:i:c:p:56-73.

Full description at Econpapers || Download paper

2021Forecasting volatility using double shrinkage methods. (2021). Cheng, Mingmian ; Yang, Xiye ; Swanson, Norman R. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:46-61.

Full description at Econpapers || Download paper

2021Trading the foreign exchange market with technical analysis and Bayesian Statistics. (2021). Stasinakis, Charalampos ; Sermpinis, Georgios ; Hassanniakalager, Arman. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:230-251.

Full description at Econpapers || Download paper

2021What drives volatility of the U.S. oil and gas firms?. (2021). Todorova, Neda ; Lyocsa, Tefan. In: Energy Economics. RePEc:eee:eneeco:v:100:y:2021:i:c:s014098832100270x.

Full description at Econpapers || Download paper

2020Emissions and economic development in commodity exporting countries. (2020). Jalles, Joao ; Ge, Jun. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303676.

Full description at Econpapers || Download paper

2020Geopolitical risk uncertainty and oil future volatility: Evidence from MIDAS models. (2020). Ma, Feng ; Mei, Dexiang ; Wang, LU ; Liao, Yin. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304219.

Full description at Econpapers || Download paper

2020Forecasting volatility in the petroleum futures markets: A re-examination and extension. (2020). Shaiban, Mohammed Sharaf ; Hasanov, Akram Shavkatovich ; Al-Freedi, Ajab. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304232.

Full description at Econpapers || Download paper

2020Exploiting the heteroskedasticity in measurement error to improve volatility predictions in oil and biofuel feedstock markets. (2020). Smyth, Russell ; Bissoondoyal-Bheenick, Emawtee ; Brooks, Robert. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988320300281.

Full description at Econpapers || Download paper

More than 100 citations found, this list is not complete...

Works by James M. Nason:


YearTitleTypeCited
2010The Model Confidence Set In: CREATES Research Papers.
[Full Text][Citation analysis]
paper571
2011The Model Confidence Set.(2011) In: Econometrica.
[Citation analysis]
This paper has another version. Agregated cites: 571
article
1995Output Dynamics in Real-Business-Cycle Models. In: American Economic Review.
[Full Text][Citation analysis]
article479
1993Output dynamics in real business cycle models.(1993) In: Working Papers in Applied Economic Theory.
[Citation analysis]
This paper has another version. Agregated cites: 479
paper
2007The McKenna Rule and UK World War I Finance In: American Economic Review.
[Full Text][Citation analysis]
article1
2007The McKenna rule and U.K. World War I finance.(2007) In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2007The McKenna Rule and UK World War I Finance.(2007) In: Reserve Bank of New Zealand Discussion Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2012UK World War I and interwar data for business cycle and growth analysis In: Cliometrica, Journal of Historical Economics and Econometric History.
[Full Text][Citation analysis]
article2
2011UK World War I and Interwar Data for Business Cycle and Growth Analysis.(2011) In: CAMA Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2009U.K. World War I and interwar data for business cycle and growth analysis.(2009) In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2011UK World War I and interwar data for business cycle and growth analysis.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2018Inflation and professional forecast dynamics: an evaluation of stickiness, persistence, and volatility In: BIS Working Papers.
[Full Text][Citation analysis]
paper7
2015Inflation and Professional Forecast Dynamics: An Evaluation of Stickiness, Persistence, and Volatility.(2015) In: CAMA Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
2017Inflation and professional forecast dynamics: An evaluation of stickiness, persistence, and volatility.(2017) In: CAMA Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
2003Choosing the Best Volatility Models: The Model Confidence Set Approach* In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]
article91
2003Choosing the Best Volatility Models:The Model Confidence Set Approach.(2003) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 91
paper
2003Choosing the best volatility models: the model confidence set approach.(2003) In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 91
paper
2008Great Moderation(s) and US Interest Rates: Unconditional Evidence In: The B.E. Journal of Macroeconomics.
[Full Text][Citation analysis]
article11
2008Great moderations and U.S. interest rates: unconditional evidence.(2008) In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11
paper
2007Great Moderation(s) And U.s. Interest Rates: Unconditional Evidence.(2007) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11
paper
2009Business Cycle Implications of Internal Consumption Habit for New Keynesian Model In: CARF F-Series.
[Full Text][Citation analysis]
paper9
2010Business Cycle Implications of Internal Consumption Habit for New Keynesian Models.(2010) In: CAMA Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
2009Business cycle implications of internal consumption habit for New Keynesian models.(2009) In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
2012Business cycle implications of internal consumption habit for new Keynesian models.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
2012Business Cycle Implications of Internal Consumption Habit for New Keynesian Models.(2012) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
2009Business Cycle Implications of Internal Consumption Habit for New Keynesian Models.(2009) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
2014Business Cycle Implications of Internal Consumption Habit for New Keynesian Models.(2014) In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
article
2006Common trends and common cycles in Canada: who knew so much has been going on? In: Canadian Journal of Economics.
[Full Text][Citation analysis]
article11
2004Common trends and common cycles in Canada: who knew so much has been going on?.(2004) In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11
paper
2006Common trends and common cycles in Canada: who knew so much has been going on?.(2006) In: Canadian Journal of Economics/Revue canadienne d'économique.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11
article
1999Long Run Monetary Neutrality in Three Samples: The United Kingdom, the United States, and the Small In: Working Papers.
[Citation analysis]
paper2
2015BUSINESS CYCLES AND FINANCIAL CRISES: THE ROLES OF CREDIT SUPPLY AND DEMAND SHOCKS In: Macroeconomic Dynamics.
[Full Text][Citation analysis]
article18
2012Business Cycles and Financial Crises: The Roles of Credit Supply and Demand Shocks.(2012) In: CAMA Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 18
paper
2012Business cycles and financial crises: the roles of credit supply and demand shocks.(2012) In: Working Papers (Old Series).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 18
paper
2012Business cycles and financial crises: the roles of credit supply and demand shocks.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 18
paper
2007Information Criteria for Impulse Response Function Matching Estimation of DSGE Models In: Working Papers.
[Full Text][Citation analysis]
paper68
2009INFORMATION CRITERIA FOR IMPULSE RESPONSE FUNCTION MATCHING ESTIMATION OF DSGE MODELS.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 68
paper
2010Information Criteria for Impulse Response Function Matching Estimation of DSGE Models.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 68
paper
2012Information criteria for impulse response function matching estimation of DSGE models.(2012) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 68
article
2007Information criteria for impulse response function matching estimation of DSGE models.(2007) In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 68
paper
2009Information Criteria for Impulse Response Function Matching Estimation of DSGE Models.(2009) In: Centre for Growth and Business Cycle Research Discussion Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 68
paper
2004Business Cycle Implications of Habit Formation In: Econometric Society 2004 Far Eastern Meetings.
[Full Text][Citation analysis]
paper2
2004Business Cycle Implications of Habit Formation.(2004) In: Computing in Economics and Finance 2004.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
1995Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article482
1993Effects of the Hodrick-Prescott filter on trend and difference stationary time series: implications for business cycle research.(1993) In: Working Papers in Applied Economic Theory.
[Citation analysis]
This paper has another version. Agregated cites: 482
paper
1993Impulse dynamics and propagation mechanisms in a real business cycle model In: Economics Letters.
[Full Text][Citation analysis]
article30
2003The long-horizon regression approach to monetary neutrality: how should the evidence be interpreted? In: Economics Letters.
[Full Text][Citation analysis]
article17
2008Introduction: Journal of Econometrics special issue honoring the research contributions of Charles R. Nelson In: Journal of Econometrics.
[Full Text][Citation analysis]
article0
1996Testing for structural breaks in cointegrated relationships In: Journal of Econometrics.
[Full Text][Citation analysis]
article116
1990Nonparametric exchange rate prediction? In: Journal of International Economics.
[Full Text][Citation analysis]
article236
1989Nonparametric exchange rate prediction?.(1989) In: Finance and Economics Discussion Series.
[Citation analysis]
This paper has another version. Agregated cites: 236
paper
2006The present-value model of the current account has been rejected: Round up the usual suspects In: Journal of International Economics.
[Full Text][Citation analysis]
article114
2003The present-value model of the current account has been rejected: Round up the usual suspects.(2003) In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 114
paper
2003The present-value model of the current account has been rejected: round up the usual suspects.(2003) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 114
paper
2001The Present Value Model of the Current Account Has Been Rejected: Round Up the Usual Subjects.(2001) In: Computing in Economics and Finance 2001.
[Citation analysis]
This paper has another version. Agregated cites: 114
paper
2007Simple versus optimal rules as guides to policy In: Journal of Monetary Economics.
[Full Text][Citation analysis]
article36
2007Simple versus optimal rules as guides to policy.(2007) In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 36
paper
2012Bayesian Estimation of DSGE Models In: CAMA Working Papers.
[Full Text][Citation analysis]
paper8
2013Bayesian estimation of DSGE models.(2013) In: Chapters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
chapter
2012Bayesian estimation of DSGE models.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
paper
2014Measuring the Slowly Evolving Trend in US Inflation with Professional Forecasts In: CAMA Working Papers.
[Full Text][Citation analysis]
paper2
2013Measuring The Slowly Evolving Trend In Us Inflation With Professional Forecasts.(2013) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2021Measuring the slowly evolving trend in US inflation with professional forecasts.(2021) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
article
2014Bringing Financial Stability into Monetary Policy In: CAMA Working Papers.
[Full Text][Citation analysis]
paper8
2015Bringing Financial Stability into Monetary Policy*.(2015) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
paper
2014Bringing Financial Stability into Monetary Policy.(2014) In: CAEPR Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
paper
2021UK inflation forecasts since the thirteenth century In: CAMA Working Papers.
[Full Text][Citation analysis]
paper0
2021UK Inflation Forecasts since the Thirteenth Century.(2021) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2006Instability in U.S. inflation: 1967-2005 In: Economic Review.
[Full Text][Citation analysis]
article6
2003Bulk commodities and the Liverpool and London markets of the mid-19th century In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]
paper0
2004Along the New Keynesian Phillips curve with nominal and real rigidities In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]
paper7
2003Along the New Keynesian Phillips Curve with Nominal and Real Rigidities.(2003) In: Computing in Economics and Finance 2003.
[Citation analysis]
This paper has another version. Agregated cites: 7
paper
2005Identifying the New Keynesian Phillips curve In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]
paper131
2008Identifying the new Keynesian Phillips curve.(2008) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 131
article
2005Identifying The New Keynesian Phillips Curve.(2005) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 131
paper
2005Testing the significance of calendar effects In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]
paper17
2005Model confidence sets for forecasting models In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]
paper17
2006Interwar U.K. unemployment: the Benjamin and Kochin hypothesis or the legacy of “just” taxes? In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]
paper1
2008Exchange rates and fundamentals: a generalization In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]
paper11
2008Exchange rates and fundamentals: a generalization.(2008) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11
paper
1991Effects of the Hodrick-Prescott filter on integrated time series In: Proceedings.
[Citation analysis]
article16
1988The equity premium and time-varying risk behavior In: Finance and Economics Discussion Series.
[Citation analysis]
paper13
1999Investment and the current account in the short run and the long run In: International Finance Discussion Papers.
[Full Text][Citation analysis]
paper57
2002Investment and the Current Account in the Short Run and the Long Run..(2002) In: Journal of Money, Credit and Banking.
[Citation analysis]
This paper has another version. Agregated cites: 57
article
1991The permanent income hypothesis when the bliss point is stochastic In: Discussion Paper / Institute for Empirical Macroeconomics.
[Full Text][Citation analysis]
paper1
2012Time-consistency and credible monetary policy after the crisis In: Business Review.
[Full Text][Citation analysis]
article0
2013Reverse Kalman filtering U.S. inflation with sticky professional forecasts In: Working Papers.
[Full Text][Citation analysis]
paper2
2008The New Keynesian Phillips curve : lessons from single-equation econometric estimation In: Economic Quarterly.
[Full Text][Citation analysis]
article37
2012Appendix: Business Cycle Implications of Internal Consumption Habit for New Keynesian Models In: Discussion Papers.
[Full Text][Citation analysis]
paper1
2004Long-run monetary neutrality and long-horizon regressions In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article18
1994Testing the Implications of Long-Run Neutrality for Monetary Business Cycle Models. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article38
1991Testing For Structural Breaks In: Working Paper.
[Full Text][Citation analysis]
paper13
2007Information Criteria for Impulse Response Function Matching Estimation In: 2007 Meeting Papers.
[Citation analysis]
paper14
2005Over the Top: U.K. World War I Finance and Its Aftermath In: Computing in Economics and Finance 2005.
[Citation analysis]
paper0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 2 2022. Contact: CitEc Team