30
H index
46
i10 index
7213
Citations
Charles R. Nelson : Citation Profile
University of Washington | RESEARCH PRODUCTION: 68 Articles 93 Papers 1 Books RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
40 years (1970 - 2010). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Charles R. Nelson. | Is cited by:
| Cites to:
|
Main data
Where Charles R. Nelson has published?
Recent works citing Charles R. Nelson (2018 and 2017)
| Year | Title of citing document | |
|---|---|---|
| 2017 | Dynamics of Variance Risk Premia, Investors Sentiment and Return Predictability. (2017). Violante, Francesco ; Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2017-10. Full description at Econpapers || Download paper | |
| 2017 | Does the ARFIMA really shift?. (2017). Santucci de Magistris, Paolo ; Delle Monache, Davide ; Grassi, Stefano. In: CREATES Research Papers. RePEc:aah:create:2017-16. Full description at Econpapers || Download paper | |
| 2017 | Variance swap payoffs, risk premia and extreme market conditions. (2017). Stentoft, Lars ; Violante, Francesco . In: CREATES Research Papers. RePEc:aah:create:2017-21. Full description at Econpapers || Download paper | |
| 2017 | Improving Forecast Accuracy of Financial Vulnerability: PLS Factor Model Approach. (2017). Kim, Hyeongwoo ; Ko, Kyunghwan. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2017-03. Full description at Econpapers || Download paper | |
| 2017 | London Calling: Nonlinear Mean Reversion across National Stock Markets. (2017). Kim, Hyeongwoo. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2017-05. Full description at Econpapers || Download paper | |
| 2018 | London Calling: Nonlinear Mean Reversion across National Stock Markets. (2018). Kim, Hyeongwoo. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2018-01. Full description at Econpapers || Download paper | |
| 2017 | Twenty Years of Time Series Econometrics in Ten Pictures. (2017). Watson, Mark ; Stock, James H. In: Journal of Economic Perspectives. RePEc:aea:jecper:v:31:y:2017:i:2:p:59-86. Full description at Econpapers || Download paper | |
| 2018 | Effect of exchange rate policy on GDP and GDP components: The Kyrgyz Republic Case. (2018). Sekmen, Fuat ; Madmarov, Nurbek. In: Theoretical and Applied Economics. RePEc:agr:journl:v:1(614):y:2018:i:1(614):p:137-166. 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 | |
| 2018 | Examining the Sustainability of the US Shale Oil Boom. (2018). Bejan, Vladimir . In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:274314. Full description at Econpapers || Download paper | |
| 2018 | Relevance of Declining Agriculture in Economic Development of South Asian Countries: An Empirical Analysis. (2018). Ansari, S A ; Khan, W. In: AGRIS on-line Papers in Economics and Informatics. RePEc:ags:aolpei:276108. Full description at Econpapers || Download paper | |
| 2018 | Time Series Analysis of the Behaviour of Import and Export of Agricultural and Non-Agricultural Goods in West Africa: A Case Study of Nigeria. (2018). YAYA, OLAOLUWA ; Aromolaran, O ; Akinlana, D M ; Awe, O O. In: AGRIS on-line Papers in Economics and Informatics. RePEc:ags:aolpei:276109. Full description at Econpapers || Download paper | |
| 2017 | Price Discovery in Agricultural Futures Markets: Should We Look Beyond the Best Bid-Ask Spread?. (2017). Arzandeh, Mehdi ; Frank, Julieta . In: Annual Meeting, 2017, June 18-21, Montreal, Canada. RePEc:ags:caes17:259344. Full description at Econpapers || Download paper | |
| 2017 | A Model of the Fed’s View on Inflation. (2017). Ricco, Giovanni ; Reichlin, Lucrezia ; Pellegrino, Filippo ; Hasenzagl, Thomas. In: Economic Research Papers. RePEc:ags:uwarer:269087. Full description at Econpapers || Download paper | |
| 2017 | “Unbiased estimation of autoregressive models forbounded stochastic processes. (2017). Gadea, MarÃa ; Carrion-i-Silvestre, Josep ; Montaes, Antonio. In: AQR Working Papers. RePEc:aqr:wpaper:201710. Full description at Econpapers || Download paper | |
| 2018 | Local Parametric Estimation in High Frequency Data. (2018). Potiron, Yoann. In: Papers. RePEc:arx:papers:1603.05700. Full description at Econpapers || Download paper | |
| 2018 | Exact Smooth Term-Structure Estimation. (2018). Willems, Sander ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1606.03899. Full description at Econpapers || Download paper | |
| 2018 | Fragmentation, integration and macroprudential surveillance of the US financial industry: Insights from network science. (2018). Gnabo, Jean-Yves ; Geraci, Marco Valerio ; Gandica, Y'Erali . In: Papers. RePEc:arx:papers:1707.00296. Full description at Econpapers || Download paper | |
| 2018 | Option Pricing in a Regime Switching Stochastic Volatility Model. (2018). Biswas, Arunangshu ; Goswami, Anindya. In: Papers. RePEc:arx:papers:1707.01237. Full description at Econpapers || Download paper | |
| 2018 | Arbitrage-Free Regularization. (2018). Kratsios, Anastasis ; Hyndman, Cody B. In: Papers. RePEc:arx:papers:1710.05114. 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 | Determining the dimension of factor structures in non-stationary large datasets. (2018). Trapani, Lorenzo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1806.03647. Full description at Econpapers || Download paper | |
| 2018 | Stochastic model specification in Markov switching vector error correction models. (2018). Zoerner, Thomas ; Pfarrhofer, Michael ; Huber, Florian ; Zorner, Thomas O. In: Papers. RePEc:arx:papers:1807.00529. Full description at Econpapers || Download paper | |
| 2018 | Non-Asymptotic Inference in Instrumental Variables Estimation. (2018). Horowitz, Joel L. In: Papers. RePEc:arx:papers:1809.03600. Full description at Econpapers || Download paper | |
| 2018 | Modeling Nelson-Siegel Yield Curve using Bayesian Approach. (2018). Das, Sourish. In: Papers. RePEc:arx:papers:1809.06077. Full description at Econpapers || Download paper | |
| 2018 | Central Bank Communication and the Yield Curve: A Semi-Automatic Approach using Non-Negative Matrix Factorization. (2018). Crayton, Ancil. In: Papers. RePEc:arx:papers:1809.08718. Full description at Econpapers || Download paper | |
| 2018 | Option Pricing in a Regime Switching Jump Diffusion Model. (2018). Goswami, Anindya ; Manjarekar, Omkar. In: Papers. RePEc:arx:papers:1811.11379. Full description at Econpapers || Download paper | |
| 2018 | The Determinants of CPI Inflation in Bangladesh, 1980-2016. (2018). Alam, Mohammad Mahabub. In: Asian Journal of Economic Modelling. RePEc:asi:ajemod:2018:p:441-461. Full description at Econpapers || Download paper | |
| 2018 | R2 bounds for predictive models: what univariate properties tell us about multivariate predictability. (2018). wright, stephen ; Mitchell, James ; Robertson, Donald. In: Birkbeck Working Papers in Economics and Finance. RePEc:bbk:bbkefp:1804. Full description at Econpapers || Download paper | |
| 2017 | Detecting Scapegoat Effects in the Relationship Between Exchange Rates and Macroeconomic Fundamentals. (2017). Sadaba, Barbara ; Pozzi, Lorenzo. In: Staff Working Papers. RePEc:bca:bocawp:17-22. Full description at Econpapers || Download paper | |
| 2018 | State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models. (2018). Uzeda, Luis. In: Staff Working Papers. RePEc:bca:bocawp:18-14. Full description at Econpapers || Download paper | |
| 2017 | Estimating the Credibility of Brazilian Monetary Policy using Forward Measures and a State-Space Model. (2017). Gaglianone, Wagner ; Figueiredo, Antonio Carlos ; Klotzle, Marcelo Cabus ; de Freitas, Flavio. In: Working Papers Series. RePEc:bcb:wpaper:463. Full description at Econpapers || Download paper | |
| 2017 | A menu on output gap estimation methods. (2017). Gómez-Loscos, Ana ; Alvarez, Luis ; Gomez-Loscos, Ana. In: Working Papers. RePEc:bde:wpaper:1720. 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 | Model averaging in markov-switching models: predicting national recessions with regional data. (2017). Leiva-Leon, Danilo ; Guérin, Pierre. In: Working Papers. RePEc:bde:wpaper:1727. Full description at Econpapers || Download paper | |
| 2017 | Monetary policy, stock market and sectoral comovement. (2017). Leiva-Leon, Danilo ; Guérin, Pierre ; Guerin, Pierre . In: Working Papers. RePEc:bde:wpaper:1731. Full description at Econpapers || Download paper | |
| 2017 | Markov-switching three-pass regression filter. (2017). Marcellino, Massimiliano ; Leiva-Leon, Danilo ; Guérin, Pierre. In: Working Papers. RePEc:bde:wpaper:1748. Full description at Econpapers || Download paper | |
| 2017 | Using the payment system data to forecast the Italian GDP. (2017). Monteforte, Libero ; Ardizzi, Guerino ; Aprigliano, Valentina . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1098_17. Full description at Econpapers || Download paper | |
| 2017 | Investment decisions by European firms and financing constraints. (2017). Silvestrini, Andrea ; Mäkinen, Taneli ; Makinen, Taneli ; Mercatanti, Andrea. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1148_17. Full description at Econpapers || Download paper | |
| 2017 | CAPITAL PRODUCTIVITY IN INDUSTRIALISED ECONOMIES: EVIDENCE FROM ERROR-CORRECTION MODEL AND LAGRANGE MULTIPLIER TESTS. (2017). Trofimov, Ivan D. In: Economic Annals. RePEc:beo:journl:v:62:y:2017:i:215:p:53-80. Full description at Econpapers || Download paper | |
| 2017 | Time-varying fiscal spending multipliers in the UK. (2017). Towbin, Pascal ; Sestieri, Giulia ; Glocker, Christian. In: Working papers. RePEc:bfr:banfra:643. Full description at Econpapers || Download paper | |
| 2017 | Arbitrage costs and the persistent non-zero CDS-bond basis: Evidence from intraday euro area sovereign debt markets. (2017). Hördahl, Peter ; Gyntelberg, Jacob ; Urban, Jorg ; Ters, Kristyna ; Hordahl, Peter. In: BIS Working Papers. RePEc:bis:biswps:631. Full description at Econpapers || Download paper | |
| 2017 | Chinas evolving monetary policy rule: from inflation-accommodating to anti-inflation policy. (2017). Ma, Guonan ; girardin, eric ; Lunven, Sandrine . In: BIS Working Papers. RePEc:bis:biswps:641. Full description at Econpapers || Download paper | |
| 2018 | Global factors and trend inflation. (2018). Wong, Benjamin ; Kamber, Gunes. In: BIS Working Papers. RePEc:bis:biswps:688. Full description at Econpapers || Download paper | |
| 2018 | Inflation and professional forecast dynamics: an evaluation of stickiness, persistence, and volatility. (2018). Nason, James ; Mertens, Elmar. In: BIS Working Papers. RePEc:bis:biswps:713. Full description at Econpapers || Download paper | |
| 2018 | A time series model of interest rates with the effective lower bound. (2018). Mertens, Elmar ; Johannsen, Benjamin K. In: BIS Working Papers. RePEc:bis:biswps:715. Full description at Econpapers || Download paper | |
| 2018 | When are credit gap estimates reliable?. (2018). Ponomarenko, Alexey ; Deryugina, Elena ; Rozhkova, Anna. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps34. Full description at Econpapers || Download paper | |
| 2017 | Successive short‐selling ban lifts and gradual price efficiency: evidence from China. (2017). Xiong, Xiong ; Feng, XU ; Gao, YA. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:5:p:1557-1604. Full description at Econpapers || Download paper | |
| 2018 | Dividend persistence and dividend behaviour. (2018). Chan, Kam Fong ; Smith, Tom ; Shi, Jing ; Powell, John G. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:1:p:127-147. Full description at Econpapers || Download paper | |
| 2018 | Growth and Volatility Nexus in Sub†Saharan Africa. (2018). Mekonnen, Jemberu Lulie ; Dogruel, Ali Suut . In: African Development Review. RePEc:bla:afrdev:v:30:y:2018:i:2:p:175-186. Full description at Econpapers || Download paper | |
| 2017 | Real exchange rate misalignment of Asian currencies. (2017). Toulaboe, Dosse. In: Asian-Pacific Economic Literature. RePEc:bla:apacel:v:31:y:2017:i:1:p:39-52. Full description at Econpapers || Download paper | |
| 2018 | TAYLOR RULE REACTION COEFFICIENTS AND REAL EXCHANGE RATE PERSISTENCE. (2018). Kempa, Bernd. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:70:y:2018:i:1:p:64-73. Full description at Econpapers || Download paper | |
| 2017 | OUTPUT GROWTH AND STRUCTURAL REFORM IN LATIN AMERICA: HAVE BUSINESS CYCLES CHANGED?. (2017). Fossati, Sebastian. In: Contemporary Economic Policy. RePEc:bla:coecpo:v:35:y:2017:i:1:p:62-75. Full description at Econpapers || Download paper | |
| 2018 | MEASURING THE WORLD NATURAL RATE OF INTEREST. (2018). Wynne, Mark ; Zhang, Ren. In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:1:p:530-544. Full description at Econpapers || Download paper | |
| 2018 | INEQUALITY AND GROWTH IN THE UNITED STATES: WHY PHYSICAL AND HUMAN CAPITAL MATTER. (2018). Karagiannis, Stelios ; Benos, Nikos. In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:1:p:572-619. Full description at Econpapers || Download paper | |
| 2018 | DOES THE GREAT RECESSION IMPLY THE END OF THE GREAT MODERATION? INTERNATIONAL EVIDENCE. (2018). Darné, Olivier ; Charles, Amlie ; Ferrara, Laurent ; Darne, Olivier. In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:2:p:745-760. Full description at Econpapers || Download paper | |
| 2018 | A Rotated Dynamic Nelson†Siegel Model. (2018). Nyholm, Ken. In: Economic Notes. RePEc:bla:ecnote:v:47:y:2018:i:1:p:113-124. Full description at Econpapers || Download paper | |
| 2017 | The Dynamic Behaviour of Implicit Inflation Targets for ‘Inflation Targeting Lite’ Economies. (2017). Kishor, N ; Hosny, Amr ; Bhatt, Vipul. In: The Economic Record. RePEc:bla:ecorec:v:93:y:2017:i:300:p:67-88. Full description at Econpapers || Download paper | |
| 2017 | Aggregate and Firm-level Volatility in the Japanese Economy. (2017). KWON, Hyeog Ug ; Kim, YoungGak ; Ug, Hyeog. In: The Japanese Economic Review. RePEc:bla:jecrev:v:68:y:2017:i:2:p:158-172. Full description at Econpapers || Download paper | |
| 2018 | Inference for instrumental variables: a randomization inference approach. (2018). Kang, Hyunseung ; Keele, Luke ; Peck, Laura . In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:181:y:2018:i:4:p:1231-1254. Full description at Econpapers || Download paper | |
| 2017 | Time-Varying Transition Probabilities for Markov Regime Switching Models. (2017). Lucas, Andre ; Koopman, Siem Jan ; Blasques, Francisco ; Bazzi, Marco . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:3:p:458-478. Full description at Econpapers || Download paper | |
| 2017 | Cointegrated Linear Processes in Hilbert Space. (2017). Beare, Brendan ; Seo, Won-Ki. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:6:p:1010-1027. Full description at Econpapers || Download paper | |
| 2017 | A Robbins–Monro Algorithm for Non-Parametric Estimation of NAR Process with Markov Switching: Consistency. (2017). Fermin, Lisandro Javier ; Rodriguez, Luis Angel ; Rios, Ricardo. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:6:p:809-837. Full description at Econpapers || Download paper | |
| 2018 | Modeling the Interactions between Volatility and Returns using EGARCH‐M. (2018). Lange, Rutger-Jan ; Harvey, Andrew. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:909-919. Full description at Econpapers || Download paper | |
| 2017 | Measuring Business Cycles Intra-Synchronization in US: A Regime-switching Interdependence Framework. (2017). Leiva-Leon, Danilo. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:79:y:2017:i:4:p:513-545. Full description at Econpapers || Download paper | |
| 2017 | Bilateral Tax Treaties and GDP Comovement. (2017). Weber, Caroline ; Sly, Nicholas. In: Review of International Economics. RePEc:bla:reviec:v:25:y:2017:i:2:p:292-319. Full description at Econpapers || Download paper | |
| 2017 | IDENTIFYING US BUSINESS CYCLE REGIMES USING FACTOR AUGMENTED NEURAL NETWORK MODELS. (2017). Soybilgen, Baris. In: Working Papers. RePEc:bli:wpaper:1703. Full description at Econpapers || Download paper | |
| 2017 | Oil and macroeconomic (in)stability. (2017). Maih, Junior ; Larsen, Vegard ; Bjørnland, Hilde. In: Working Papers. RePEc:bny:wpaper:0055. Full description at Econpapers || Download paper | |
| 2017 | Multi yield curve stress-testing framework incorporating temporal and cross tenor structural dependencies. (2017). Karimalis, Emmanouil ; Peters, Gareth ; Kosmidis, Ioannis . In: Bank of England working papers. RePEc:boe:boeewp:0655. Full description at Econpapers || Download paper | |
| 2018 | Is Chinese monetary policy forward-looking?. (2018). Zhang, Chengsi ; Dang, Chao. In: BOFIT Discussion Papers. RePEc:bof:bofitp:2018_006. Full description at Econpapers || Download paper | |
| 2018 | Paradise lost? A brief history of DSGE macroeconomics. (2018). Gulan, Adam. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_022. Full description at Econpapers || Download paper | |
| 2018 | Interaction between Business Cycles and Economic Growth. (2018). Kaihatsu, Sohei ; Hara, Naoko ; Sakata, Tomoya ; Koga, Maiko. In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp18e12. Full description at Econpapers || Download paper | |
| 2017 | The Role of Unobservable Fundamentals in Korea Exchange Rate Fluctuations: Bayesian Approach. (2017). Kim, Youngmin ; Lee, Seojin. In: Economic Analysis (Quarterly). RePEc:bok:journl:v:23:y:2017:i:3:p:1-22. Full description at Econpapers || Download paper | |
| 2017 | Which Monetary Shocks Matter in Small Open Economies? Evidence from SVARs. (2017). Ha, Jongrim ; So, Inhwan. In: Working Papers. RePEc:bok:wpaper:1702. Full description at Econpapers || Download paper | |
| 2017 | Improving Forecast Accuracy of Financial Vulnerability: Partial Least Squares Factor Model Approach. (2017). Kim, Hyeongwoo ; Ko, Kyunghwan. In: Working Papers. RePEc:bok:wpaper:1714. Full description at Econpapers || Download paper | |
| 2017 | Linear Model IV Estimation When Instruments Are Many or Weak. (2017). Murray, Michael ; Michael, Murray . In: Journal of Econometric Methods. RePEc:bpj:jecome:v:6:y:2017:i:1:p:22:n:1. Full description at Econpapers || Download paper | |
| 2017 | Detecting Change-Point via Saddlepoint Approximations. (2017). Zhaoyuan, LI ; Maozai, Tian. In: Journal of Systems Science and Information. RePEc:bpj:jossai:v:5:y:2017:i:1:p:48-73:n:4. Full description at Econpapers || Download paper | |
| 2018 | Examining the success of the central banks in inflation targeting countries: the dynamics of the inflation gap and institutional characteristics. (2018). Kishor, N ; Kundan, Kishor N ; Omid, Ardakani. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:22:y:2018:i:1:p:19:n:7. Full description at Econpapers || Download paper | |
| 2018 | Markov-switching quantile autoregression: a Gibbs sampling approach. (2018). Luger, Richard ; Liu, Xiaochun ; Richard, LUGER ; Xiaochun, Liu. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:22:y:2018:i:2:p:0:n:4. Full description at Econpapers || Download paper | |
| 2018 | Optimal Asset Allocation with Multivariate Bayesian Dynamic Linear Models. (2018). Carvalho, Carlos ; Pettenuzzo, Davide ; Fisher, Jared D. In: Working Papers. RePEc:brd:wpaper:123. Full description at Econpapers || Download paper | |
| 2018 | AUTOREGRESSIVE EVOLUTIONS FOR MACROECONOMIC INDICATORS DO CONFIRM CHAOS THEORIES IN UNITED STATES. (2018). Anca-Iuliana, Nicolae. In: Annals - Economy Series. RePEc:cbu:jrnlec:y:2018:v:4:p:29-45. Full description at Econpapers || Download paper | |
| 2017 | Separating Yolk from White: A Filter based on Economic Properties of Trend and Cycle. (2017). Zhou, Peng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2017/1. Full description at Econpapers || Download paper | |
| 2017 | Fat tails and spurious estimation of consumption-based asset pricing models. (2017). Toda, Alexis Akira ; Walsh, Kieran James. In: University of California at San Diego, Economics Working Paper Series. RePEc:cdl:ucsdec:qt8df3x7gw. Full description at Econpapers || Download paper | |
| 2017 | Métodos de Estimación de Curvas de Rendimiento Cupón Cero en Argentina. (2017). Delfau, Emiliano. In: CEMA Working Papers: Serie Documentos de Trabajo.. RePEc:cem:doctra:623. Full description at Econpapers || Download paper | |
| 2018 | Risk Framework Analysis in the Management of Sovereign Debt: The Argentine case. (2018). Delfau, Emiliano. In: CEMA Working Papers: Serie Documentos de Trabajo.. RePEc:cem:doctra:634. Full description at Econpapers || Download paper | |
| 2017 | Predicting Ordinary and Severe Recessions with a Three-State Markov-Switching Dynamic Factor Model. An Application to the German Business Cycle. (2017). Wolters, Maik ; Reif, Magnus ; Carstensen, Kai ; Heinrich, Markus. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6457. Full description at Econpapers || Download paper | |
| 2017 | Testing the Fisher Hypothesis in the G-7 Countries Using I(d) Techniques. (2017). Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6482. Full description at Econpapers || Download paper | |
| 2017 | Trends and Cycles in Macro Series: The Case of US Real GDP. (2017). Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6728. Full description at Econpapers || Download paper | |
| 2018 | Prospects for a Monetary Union in the East Africa Community: Some Empirical Evidence. (2018). Gil-Alana, Luis ; Carcel, Hector ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7073. Full description at Econpapers || Download paper | |
| 2018 | Why is there so much Inertia in Inflation and Output? A Behavioral Explanation. (2018). Ji, Yuemei. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7181. Full description at Econpapers || Download paper | |
| 2018 | The Impact of Business and Political News on the GCC Stock Markets. (2018). Spagnolo, Nicola ; Caporale, Guglielmo Maria ; Al-Maadid, Alanoud. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7353. Full description at Econpapers || Download paper | |
| 2018 | Low Inflation: High Default Risk AND High Equity Valuations. (2018). Bhamra, Harjaat S ; Weber, Michael ; Jeanneret, Alexandre ; Dorion, Christian. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7391. Full description at Econpapers || Download paper | |
| 2018 | Forecasting using mixed-frequency VARs with time-varying parameters. (2018). Reif, Magnus ; Heinrich, Markus. In: ifo Working Paper Series. RePEc:ces:ifowps:_273. Full description at Econpapers || Download paper | |
| 2017 | Stress test on market risk: sensitivity of banks’ balance sheet structure to interest rate shocks. (2017). Pedersen, Michael ; Oda, Daniel A ; Martinez, Juan F. In: Notas de Investigación Journal Economía Chilena (The Chilean Economy). RePEc:chb:bcchni:v:20:y:2017:i:1:p:072-079. Full description at Econpapers || Download paper | |
| 2017 | Pruebas de Tensión Bancaria del Banco Central de Chile: Actualización. (2017). Martinez, Juan-Francisco ; Becerra, Juan Sebastian ; Cifuentes, Rodrigo . In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:801. Full description at Econpapers || Download paper | |
| 2018 | Expectativas Financieras y Tasas Forward en Chile. (2018). Sagner, Andres ; Fernandois, Antonio ; Alfaro, Rodrigo. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:814. Full description at Econpapers || Download paper | |
| 2018 | Pension Funds and the Yield Curve: The Role of Preference for Maturity. (2018). Alfaro, Rodrigo ; Calani, Mauricio . In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:821. Full description at Econpapers || Download paper | |
| 2017 | Application of the Government of Jamaica Zero-coupon Curve to Modeling Yield Curve Risk. (2017). Coke, Oma. In: Monetaria. RePEc:cml:moneta:v:xxxix:y:2017:i:1:p:1-38. Full description at Econpapers || Download paper | |
| 2017 | Decomposition of the Czech government bond yield curve. (2017). Kucera, Adam ; Komarkova, Zlatuse ; Dvorak, Michal. In: Occasional Publications - Chapters in Edited Volumes. RePEc:cnb:ocpubc:fsr1617/3. Full description at Econpapers || Download paper | |
| 2017 | Updating the Ultimate Forward Rate over Time: A Possible Approach. (2017). Zigraiova, Diana ; JakubÃk, Petr ; Jakubik, Petr . In: Working Papers. RePEc:cnb:wpaper:2017/03. Full description at Econpapers || Download paper | |
| More than 100 citations found, this list is not complete... |
Works by Charles R. Nelson:
| Year | Title | Type | Cited |
|---|---|---|---|
| 1972 | The Prediction Performance of the FRB-MIT-PENN Model of the U.S. Economy. In: American Economic Review. [Full Text][Citation analysis] | article | 44 |
| 1974 | The Stochastic Structure of the Velocity of Money. In: American Economic Review. [Full Text][Citation analysis] | article | 9 |
| 1977 | Short-Term Interest Rates as Predictors of Inflation: On Testing the Hypothesis That the Real Rate of Interest is Constant. In: American Economic Review. [Full Text][Citation analysis] | article | 75 |
| 1989 | The NERC Fan in Retrospect and Lessons for the Future In: The Energy Journal. [Full Text][Citation analysis] | article | 4 |
| 2005 | Welfare Impacts of Alternative Public Policies for Environmental Protection in Agriculture in an Open Economy: A General Equilibrium Framework In: 2005 Annual meeting, July 24-27, Providence, RI. [Full Text][Citation analysis] | paper | 3 |
| 2001 | Markov Regime Switching and Unit-Root Tests. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 59 |
| 2000 | Markov regime-switching and unit root tests.(2000) In: International Finance Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 59 | paper | |
| 2001 | Markov regime switching and unit root tests.(2001) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 59 | paper | |
| 2004 | The Less-Volatile U.S. Economy: A Bayesian Investigation of Timing, Breadth, and Potential Explanations. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 102 |
| 2001 | The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations.(2001) In: International Finance Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 102 | paper | |
| 2003 | The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations.(2003) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 102 | paper | |
| 2005 | The Structural Break in the Equity Premium In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 30 |
| 1984 | Pitfalls in the Use of Time as an Explanatory Variable in Regression. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 65 |
| 1983 | Pitfalls in the use of Time as an Explanatory Variable in Regression.(1983) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 65 | paper | |
| 1985 | The NERC Fan: A Retrospective Analysis of the NERC Summary Forecasts. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 2 |
| 1989 | The Time-Varying-Parameter Model for Modeling Changing Conditional Variance: The Case of the Lucas Hypothesis. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 23 |
| 1976 | Inflation and Rates of Return on Common Stocks. In: Journal of Finance. [Full Text][Citation analysis] | article | 143 |
| 1976 | Inflation and Capital Budgeting. In: Journal of Finance. [Full Text][Citation analysis] | article | 3 |
| 1993 | Predictable Stock Returns: The Role of Small Sample Bias. In: Journal of Finance. [Full Text][Citation analysis] | article | 226 |
| Nelson_Plosser In: Instructional Stata datasets for econometrics. [Full Text][Citation analysis] | paper | 0 | |
| 2007 | Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 11 |
| 2007 | Spurious Inference in the GARCH(1,1) Model When It Is Weakly Identified.(2007) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
| 1988 | Long-Term Behavior of Yield Curves In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 20 |
| 1986 | Long-Term Behavior of Yield Curves.(1986) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | paper | |
| 2006 | BUSINESS-CYCLE FILTERING OF MACROECONOMIC DATA VIA A LATENT BUSINESS-CYCLE INDEX In: Macroeconomic Dynamics. [Full Text][Citation analysis] | article | 7 |
| 2006 | Business-Cycle Filtering of Macroeconomic Data Via A Latent Business-Cycle Index.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 1972 | Estimation of Term Premiums from Average Yield Differentials in the Term Structure of Interest Rates. In: Econometrica. [Full Text][Citation analysis] | article | 4 |
| 1981 | Spurious Periodicity in Inappropriately Detrended Time Series. In: Econometrica. [Full Text][Citation analysis] | article | 139 |
| 1979 | Spurious Periodicity in Inappropriately Detrended Time Series.(1979) In: The Warwick Economics Research Paper Series (TWERPS). [Full Text][Citation analysis] This paper has another version. Agregated cites: 139 | paper | |
| 1990 | Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator. In: Econometrica. [Full Text][Citation analysis] | article | 211 |
| 1988 | SOME FURTHERE RESULTS ON THE EXACT SMALL SAMPLE PROPERTIES OF THE INSTRUMENTAL VARIABLE ESTIMATOR..(1988) In: Discussion Papers in Economics at the University of Washington. [Citation analysis] This paper has another version. Agregated cites: 211 | paper | |
| 1988 | Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator.(1988) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 211 | paper | |
| 1988 | SOME FURTHERE RESULTS ON THE EXACT SMALL SAMPLE PROPERTIES OF THE INSTRUMENTAL VARIABLE ESTIMATOR..(1988) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 211 | paper | |
| 2004 | Earnings Growth and the Bull Market of the 1990s: Is There a Case for Rational Exuberance? In: Econometric Society 2004 Far Eastern Meetings. [Citation analysis] | paper | 2 |
| 2007 | Earnings growth and the bull market of the 1990s: Is there a case for rational exuberance?.(2007) In: Journal of Macroeconomics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
| 2004 | The Zero-Information-Limit Condition and Spurious Inference In: Econometric Society 2004 North American Winter Meetings. [Citation analysis] | paper | 1 |
| 2000 | Why are Beveridge-Nelson and Unobserved-Component Decompositions of GDP so Different? In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] | paper | 170 |
| 2000 | Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different?.(2000) In: Discussion Papers in Economics at the University of Washington. [Full Text][Citation analysis] This paper has another version. Agregated cites: 170 | paper | |
| 2000 | Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different?.(2000) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 170 | paper | |
| 2002 | Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different?.(2002) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 170 | paper | |
| 2003 | Why are Beveridge-Nelson and Unobserved-component decompositions of GDP so Different?.(2003) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 170 | paper | |
| 2000 | Improved Inference for the Instrumental Variables Estimator In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] | paper | 12 |
| 1999 | Improved Inference for the Instrumental Variable Estimator.(1999) In: Discussion Papers in Economics at the University of Washington. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
| 1999 | Improved Inference for the Instrumental Variable Estimator.(1999) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
| 1999 | Improved Inference for the Instrumental Variable Estimator.(1999) In: Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
| 1979 | Discussion of the Zellner and Schwert papers In: Carnegie-Rochester Conference Series on Public Policy. [Full Text][Citation analysis] | article | 1 |
| 1985 | Macroeconomic time-series, business cycles, and macroeconomic policies A comment In: Carnegie-Rochester Conference Series on Public Policy. [Full Text][Citation analysis] | article | 1 |
| 1988 | Spurious trend and cycle in the state space decomposition of a time series with a unit root In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 17 |
| 1987 | Spurious Trend and Cycle in the State Space Decomposition of a Time Series with a Unit Root.(1987) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | paper | |
| 1979 | Hypothesis testing based on goodness-of-fit in the moving average time series model In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2007 | The zero-information-limit condition and spurious inference in weakly identified models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 18 |
| 2004 | The Zero-Information-Limit Condition and Spurious Inference in Weakly Identified Models.(2004) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
| 2007 | The Zero-Information-Limit-Condition and Spurious Inference in Weakly Identified Models.(2007) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
| 2008 | The Beveridge-Nelson decomposition in retrospect and prospect In: Journal of Econometrics. [Full Text][Citation analysis] | article | 16 |
| 2006 | The Beveridge-Nelson Decomposition in Retrospect and Prospect.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | paper | |
| 1974 | The first-order moving average process : Identification, estimation and prediction In: Journal of Econometrics. [Full Text][Citation analysis] | article | 3 |
| 1976 | Gains in efficiency from joint estimation of systems of autoregressive-moving average processes In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2007 | Why are stock returns and volatility negatively correlated? In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 31 |
| 1998 | Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization1 In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 67 |
| 1998 | Testing for mean reversion in heteroskedastic data II: Autoregression tests based on Gibbs-sampling-augmented randomization1 In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 34 |
| 2001 | Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices? In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 10 |
| 2000 | Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?.(2000) In: Discussion Papers in Economics at the University of Washington. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
| 1999 | Does an Intertemporal Tradeoff between Risk and Return Explain Mean Reversion in Stock Prices?.(1999) In: Discussion Papers in Economics at the University of Washington. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
| 2000 | Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?.(2000) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
| 1999 | Does an Intertemporal Tradeoff between Risk and Return Explain Mean Reversion in Stock Prices?.(1999) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
| 1989 | A Markov model of heteroskedasticity, risk, and learning in the stock market In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 189 |
| 1989 | A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market.(1989) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 189 | paper | |
| 1982 | Trends and random walks in macroeconmic time series : Some evidence and implications In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 1647 |
| 2000 | The uncertain trend in U.S. GDP In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 70 |
| 1998 | The Uncertain Trend in U.S. GDP.(1998) In: Discussion Papers in Economics at the University of Washington. [Full Text][Citation analysis] This paper has another version. Agregated cites: 70 | paper | |
| 1997 | The Uncertain Trend in U.S. GDP..(1997) In: Discussion Papers in Economics at the University of Washington. [Citation analysis] This paper has another version. Agregated cites: 70 | paper | |
| 1998 | The Uncertain Trend in U.S. GDP.(1998) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 70 | paper | |
| 1997 | The Uncertain Trend in U.S. GDP..(1997) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 70 | paper | |
| 1997 | The Uncertain Trend in U.S. GDP.(1997) In: Computational Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 70 | paper | |
| 1978 | The stochastic properties of velocity and the quantity theory of money In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 2 |
| 2006 | Estimation of a forward-looking monetary policy rule: A time-varying parameter model using ex post data In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 78 |
| 2007 | New measures of the output gap based on the forward-looking new Keynesian Phillips curve In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 46 |
| 1981 | A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the `business cycle In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 668 |
| 1976 | Recursive structure in U.S. income, prices and output In: Proceedings. [Citation analysis] | article | 6 |
| 1979 | Recursive Structure in U.S. Income, Prices, and Output..(1979) In: Journal of Political Economy. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
| 1979 | Adjustment lags vs. information lags: a test of alternative explanations of the Phillips curve phenomenon In: Proceedings. [Citation analysis] | article | 0 |
| 2000 | Output fluctuations in the United States: what has changed since the early 1980s? comments In: Proceedings. [Full Text][Citation analysis] | article | 9 |
| 1994 | Empirical evidence on the recent behavior and usefulness of simple-sum and weighted measures of the money stock (commentary) In: Review. [Full Text][Citation analysis] | article | 0 |
| 2003 | Business cycle detrending of macroeconomic data via a latent business cycle index In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2000 | The Great Depression and Output Persistence In: Discussion Papers in Economics at the University of Washington. [Full Text][Citation analysis] | paper | 9 |
| 2002 | The Great Depression and Output Persistence..(2002) In: Journal of Money, Credit and Banking. [Citation analysis] This paper has another version. Agregated cites: 9 | article | |
| 2000 | The Great Depression and Output Persistence.(2000) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
| 2000 | State-Space Modeling of the Relationship Between Air Quality and Mortality In: Discussion Papers in Economics at the University of Washington. [Full Text][Citation analysis] | paper | 2 |
| 2000 | State-Space Modeling of the Relationship Between Air Quality and Mortality.(2000) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2000 | Is There a Positive Relationship between Stock Market Volatility and the Equity Premium? In: Discussion Papers in Economics at the University of Washington. [Full Text][Citation analysis] | paper | 45 |
| 2004 | Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?.(2004) In: Journal of Money, Credit and Banking. [Citation analysis] This paper has another version. Agregated cites: 45 | article | |
| 2000 | Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?.(2000) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 45 | paper | |
| 2000 | Is There a Structural Break in the Equity Premium? In: Discussion Papers in Economics at the University of Washington. [Full Text][Citation analysis] | paper | 1 |
| 2000 | Is There a Structural Break in the Equity Premium?.(2000) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 1999 | A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models In: Discussion Papers in Economics at the University of Washington. [Full Text][Citation analysis] | paper | 23 |
| 1998 | A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models.(1998) In: Discussion Papers in Economics at the University of Washington. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
| 2001 | A Bayesian Approach to Testing for Markov-Switching in Univariate and Dynamic Factor Models..(2001) In: International Economic Review. [Citation analysis] This paper has another version. Agregated cites: 23 | article | |
| 1999 | A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models.(1999) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
| 1998 | A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models.(1998) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
| 1999 | Unit Root Tests in the Presence of Markov Regime-Switching In: Discussion Papers in Economics at the University of Washington. [Full Text][Citation analysis] | paper | 4 |
| 1999 | Unit Root Tests in the Presence of Markov Regime-Switching.(1999) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
| 1988 | THE DISTRIBUTION OF THE INSTRUMENTAL VARIABLES ESTIMATOR AND ITS T-RATIO WHEN THE INSTRUMENT IS A POOR ONE. In: Discussion Papers in Economics at the University of Washington. [Citation analysis] | paper | 212 |
| 1988 | The Distribution of the Instrumental Variables Estimator and Its t-RatioWhen the Instrument is a Poor One.(1988) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 212 | paper | |
| 1990 | The Distribution of the Instrumental Variables Estimator and Its t-Ratio When the Instrument Is a Poor One..(1990) In: The Journal of Business. [Full Text][Citation analysis] This paper has another version. Agregated cites: 212 | article | |
| 1988 | THE DISTRIBUTION OF THE INSTRUMENTAL VARIABLES ESTIMATOR AND ITS T-RATIO WHEN THE INSTRUMENT IS A POOR ONE..(1988) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 212 | paper | |
| 1988 | THE TIME-VARYING-PARAMETER MODEL AS AN ALTERNATIVE TO ARCH FOR MODELING CHANGING CONDITIONAL VARIANCE: THE CASE OF THE LUCAS HYPOTHESIS. In: Discussion Papers in Economics at the University of Washington. [Citation analysis] | paper | 3 |
| 1988 | THE TIME-VARYING-PARAMETER MODEL AS AN ALTERNATIVE TO ARCH FOR MODELING CHANGING CONDITIONAL VARIANCE: THE CASE OF THE LUCAS HYPOTHESIS..(1988) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 1988 | MEAN REVERSION IN STOCK PRICES? A REAPPRAISAL OF EMPIRICAL EVIDENCE. In: Discussion Papers in Economics at the University of Washington. [Citation analysis] | paper | 9 |
| 1988 | MEAN REVERSION IN STOCK PRICES? A REAPPRAISAL OF EMPIRICAL EVIDENCE..(1988) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
| 1989 | THE MARKOV MODEL OF HETEROSKEDASTICITY, RISK AND LEARNING IN THE STOCK MARKET. In: Discussion Papers in Economics at the University of Washington. [Citation analysis] | paper | 156 |
| 1989 | THE MARKOV MODEL OF HETEROSKEDASTICITY, RISK AND LEARNING IN THE STOCK MARKET..(1989) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 156 | paper | |
| 1989 | GRANT FUNDING IN ECONOMICS FROM THE NATIONAL SCIENCE FOUNDATION DURING FISCAL YEAR 1987. In: Discussion Papers in Economics at the University of Washington. [Citation analysis] | paper | 0 |
| 1989 | GRANT FUNDING IN ECONOMICS FROM THE NATIONAL SCIENCE FOUNDATION DURING FISCAL YEAR 1987..(1989) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 1990 | PREDICTABLE STOCK RETURNS: REALITY OR STATISTICAL ILLUSION?. In: Discussion Papers in Economics at the University of Washington. [Citation analysis] | paper | 2 |
| 1990 | Predictable Stock Returns: Reality or Statistical Illusion?.(1990) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 1990 | PREDICTABLE STOCK RETURNS: REALITY OR STATISTICAL ILLUSION?..(1990) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 1990 | More on the Exact Small Sample Distribution of the Instrumental Variable Estimator: A Reply to Maddala and Jeong. In: Discussion Papers in Economics at the University of Washington. [Citation analysis] | paper | 1 |
| 1990 | More on the Exact Small Sample Distribution of the Instrumental Variable Estimator: A Reply to Maddala and Jeong..(1990) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 1996 | Testing for Men reversion in Heteroskedastic data Based on Gibbs-Simpling-Augmented Randomization. In: Discussion Papers in Economics at the University of Washington. [Citation analysis] | paper | 0 |
| 1996 | Testing for Men reversion in Heteroskedastic data Based on Gibbs-Simpling-Augmented Randomization..(1996) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 1996 | Valid Confidence Intervals and Inference in the Presence of Weak Instruments. In: Discussion Papers in Economics at the University of Washington. [Citation analysis] | paper | 44 |
| 1997 | Valid Confidence Intervals and Inference in the Presence of Weak Instruments..(1997) In: Discussion Papers in Economics at the University of Washington. [Citation analysis] This paper has another version. Agregated cites: 44 | paper | |
| 1998 | Valid Confidence Intervals and Inference in the Presence of Weak Instruments..(1998) In: International Economic Review. [Citation analysis] This paper has another version. Agregated cites: 44 | article | |
| 1996 | Valid Confidence Intervals and Inference in the Presence of Weak Instruments..(1996) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 44 | paper | |
| 1997 | Valid Confidence Intervals and Inference in the Presence of Weak Instruments..(1997) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 44 | paper | |
| 1996 | Valid Confidence Intervals and Inference in the Presence of Weak Instruments.(1996) In: Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 44 | paper | |
| 1997 | Friedmans Plucking Model of Business Fluctuations : Tests and Estimates of Permanent and Transitory Components. In: Discussion Papers in Economics at the University of Washington. [Citation analysis] | paper | 69 |
| 1999 | Friedmans Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components..(1999) In: Journal of Money, Credit and Banking. [Citation analysis] This paper has another version. Agregated cites: 69 | article | |
| 1997 | Friedmans Plucking Model of Business Fluctuations : Tests and Estimates of Permanent and Transitory Components..(1997) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 69 | paper | |
| 1997 | Testing for Mean Reversion in Heteroskedastic Data II : Autoregression Tests Based on Gibbs-Sampling-Augmented Randomization. In: Discussion Papers in Economics at the University of Washington. [Citation analysis] | paper | 0 |
| 1997 | Testing for Mean Reversion in Heteroskedastic Data II : Autoregression Tests Based on Gibbs-Sampling-Augmented Randomization..(1997) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 1975 | Rational Expectations and the Estimation of Econometric Models. In: International Economic Review. [Full Text][Citation analysis] | article | 11 |
| 2010 | Valid Inference for a Class of Models Where Standard Inference Performs Poorly: Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components In: Economics Series. [Full Text][Citation analysis] | paper | 2 |
| 2008 | Valid Inference for a Class of Models Where Standard Inference Performs Poorly: Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2007 | Expectation horizon and the Phillips Curve: the solution to an empirical puzzle In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 29 |
| 1981 | Adjustment Lags versus Information Lags: A Test of Alternative Explanations of the Phillips Curve Phenomenon. In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] | article | 1 |
| 1981 | Adjustment Lags versus Information Lags: A Test of Alternative Explanations of the Phillips Curve Phenomenon: A Reply. In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] | article | 1 |
| 1982 | Comment on Policy Robustness: Specification and Simulation of a Monthly Money Market Model. In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] | article | 0 |
| 2004 | The Great Depression and Output Persistence: A Reply to Papell and Prodan. In: Journal of Money, Credit and Banking. [Citation analysis] | article | 5 |
| 1975 | The Ex Ante Prediction Performance of the St. Louis and FRB-MIT-PENN Econometric Models and Some Results on Composite Predictors. In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] | article | 18 |
| 1999 | State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications In: MIT Press Books. [Citation analysis] | book | 649 |
| 1988 | The Time-Varying-Parameter Model as an Alternative to ARCH for Modeling Changing Conditional Variance: The Case of Lucas Hypothesis In: NBER Technical Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 1985 | Parsimoneous Modeling of Yield Curves for U.S. Treasury Bills In: NBER Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 1985 | A Reappraisal of Recent Tests of the Permanent Income Hypothesis In: NBER Working Papers. [Full Text][Citation analysis] | paper | 15 |
| 1987 | Implicit Estimates of Natural, Trend, and Cyclical Components of Real GNP In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 1988 | Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence In: NBER Working Papers. [Full Text][Citation analysis] | paper | 134 |
| 2007 | Sleep and psychological well-being In: Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement. [Full Text][Citation analysis] | article | 6 |
| 1998 | Book reviews In: Econometric Reviews. [Full Text][Citation analysis] | article | 0 |
| 1998 | Business Cycle Turning Points, A New Coincident Index, And Tests Of Duration Dependence Based On A Dynamic Factor Model With Regime Switching In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 168 |
| 1999 | Has The U.S. Economy Become More Stable? A Bayesian Approach Based On A Markov-Switching Model Of The Business Cycle In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 366 |
| 2003 | Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different? In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 166 |
| 1975 | Rational Expectations and the Predictive Efficiency of Economic Models. In: The Journal of Business. [Full Text][Citation analysis] | article | 17 |
| 1987 | Parsimonious Modeling of Yield Curves. In: The Journal of Business. [Full Text][Citation analysis] | article | 739 |
| 1970 | A Critique of Some Recent Empirical Research on the Explanation of the Term Structure of Interest Rates: Comment. In: Journal of Political Economy. [Full Text][Citation analysis] | article | 0 |
| 1972 | Testing a Model of the Term Structure of Interest Rates in an Error-learning Framework. In: Journal of Political Economy. [Full Text][Citation analysis] | article | 0 |
| 1979 | Granger Causality and the Natural Rate Hypothesis. In: Journal of Political Economy. [Full Text][Citation analysis] | article | 3 |
| 1987 | A Reappraisal of Recent Tests of the Permanent Income Hypothesis [Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence]. In: Journal of Political Economy. [Full Text][Citation analysis] | article | 0 |
| 1996 | Valid Confidence Regions and Inference in the Presence of Weak Instruments In: Working Papers. [Citation analysis] | paper | 0 |
| 1996 | Valid Confidence Regions and Inference in the Presence of Weak Instruments.(1996) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2006 | A General Approach to Constructing a Valid Test in Weakly Identified Models Where Zero-Limit-Information Condition (ZILC) Holds In: Working Papers. [Citation analysis] | paper | 0 |
| 2008 | Pricing Stock Market Volatility: Does It Matter Whether the Volatility is Related to the Business Cycle? In: Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 2006 | A Time-Varying Parameter Model for a Forward-Looking Monetary Policy Rule Based on Real-Time Data In: Working Papers. [Full Text][Citation analysis] | paper | 11 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated February, 1st 2019. Contact: CitEc Team