Charles R. Nelson : Citation Profile


Are you Charles R. Nelson?

University of Washington

29

H index

48

i10 index

7929

Citations

RESEARCH PRODUCTION:

73

Articles

96

Papers

1

Books

RESEARCH ACTIVITY:

   44 years (1970 - 2014). See details.
   Cites by year: 180
   Journals where Charles R. Nelson has often published
   Relations with other researchers
   Recent citing documents: 293.    Total self citations: 38 (0.48 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pne247
   Updated: 2021-03-01    RAS profile: 2020-07-06    
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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:

Gil-Alana, Luis (91)

Morley, James (74)

GUPTA, RANGAN (68)

Piger, Jeremy (66)

Kim, Chang-Jin (51)

Diebold, Francis (44)

Miller, Stephen (42)

Perron, Pierre (40)

Kishor, N (38)

Balcilar, Mehmet (37)

Campbell, John (34)

Cites to:

Startz, Richard (21)

Kim, Chang-Jin (19)

Hamilton, James (11)

Stock, James (10)

Galí, Jordi (10)

Gertler, Mark (9)

Perron, Pierre (9)

Watson, Mark (8)

Harvey, Andrew (8)

Orphanides, Athanasios (7)

Morley, James (6)

Main data


Where Charles R. Nelson has published?


Journals with more than one article published# docs
Journal of Money, Credit and Banking8
Journal of Business & Economic Statistics6
Journal of Monetary Economics6
Journal of Political Economy5
Journal of Econometrics5
Journal of Empirical Finance4
The Journal of Business3
Journal of Finance3
American Economic Review3
Proceedings3
Econometrica3
International Economic Review3
The Review of Economics and Statistics3
Carnegie-Rochester Conference Series on Public Policy2

Working Papers Series with more than one paper published# docs
Working Papers / University of Washington, Department of Economics38
Working Papers / Federal Reserve Bank of St. Louis3
Econometric Society World Congress 2000 Contributed Papers / Econometric Society2
Econometrics / University Library of Munich, Germany2
International Finance Discussion Papers / Board of Governors of the Federal Reserve System (U.S.)2

Recent works citing Charles R. Nelson (2021 and 2020)


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

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2020Foreign trade policy and economic growth: Indian evidence. (2020). Roy, Subrata. In: Theoretical and Applied Economics. RePEc:agr:journl:v:3(624):y:2020:i:3(624):p:107-126.

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2020Fiscal sustainability in Romania. (2020). Vladu, Liana ; Lolea, Iulian Cornel ; Vilcu, Lucian Constantin ; Petrariu, Ioan-Radu. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(625):y:2020:i:4(625):p:357-368.

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2020Affine term structure models : a time-changed approach with perfect fit to market curves. (2019). Fr'ed'eric Vrins, ; Mbaye, Cheikh. In: Papers. RePEc:arx:papers:1903.04211.

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2020Theory of Weak Identification in Semiparametric Models. (2019). Kaji, Tetsuya. In: Papers. RePEc:arx:papers:1908.10478.

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2020Trading Strategies and Market Color: The Benefits of Friendship with Quantitative Analysts and Financial Engineers. (2019). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1910.02144.

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2020Bayesian state-space modeling for analyzing heterogeneous network effects of US monetary policy. (2019). Pfarrhofer, Michael ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:1911.06206.

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2020Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections. (2019). Diebold, Francis ; Rudebusch, Glenn D. In: Papers. RePEc:arx:papers:1912.10774.

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2020A multi-country dynamic factor model with stochastic volatility for euro area business cycle analysis. (2020). Huber, Florian ; Piribauer, Philipp ; Pfarrhofer, Michael. In: Papers. RePEc:arx:papers:2001.03935.

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2020Markov Switching. (2020). Wo, Tomasz ; Song, Yong. In: Papers. RePEc:arx:papers:2002.03598.

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2020Unit-root test within a threshold ARMA framework. (2020). Tong, Howell ; Goracci, Greta ; Giannerini, Simone ; Chan, Kung-Sik. In: Papers. RePEc:arx:papers:2002.09968.

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2020Machine Learning Treasury Yields. (2020). Yu, Willie ; Kakushadze, Zura. In: Papers. RePEc:arx:papers:2003.05095.

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2020Multidimensional Analysis of Monthly Stock Market Returns. (2020). Gulseven, Osman. In: Papers. RePEc:arx:papers:2003.05750.

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2020Consistent Calibration of Economic Scenario Generators: The Case for Conditional Simulation. (2020). van Beek, Misha. In: Papers. RePEc:arx:papers:2004.09042.

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2020Long short-term memory networks and laglasso for bond yield forecasting: Peeping inside the black box. (2020). Niranjan, Mahesan ; McGroarty, Frank ; Gerding, Enrico ; Nunes, Manuel. In: Papers. RePEc:arx:papers:2005.02217.

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2020Fractional trends in unobserved components models. (2020). Weber, Enzo ; Hartl, Tobias ; Tschernig, Rolf. In: Papers. RePEc:arx:papers:2005.03988.

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2020Fractional trends and cycles in macroeconomic time series. (2020). Weber, Enzo ; Hartl, Tobias ; Tschernig, Rolf. In: Papers. RePEc:arx:papers:2005.05266.

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2020Accuracy of Deep Learning in Calibrating HJM Forward Curves. (2020). Lavagnini, Silvia ; Detering, Nils ; Benth, Fred Espen. In: Papers. RePEc:arx:papers:2006.01911.

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2020Estimating TVP-VAR models with time invariant long-run multipliers. (2020). Polbin, Andrey ; Krymova, Ekaterina ; Belomestny, Denis. In: Papers. RePEc:arx:papers:2008.00718.

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2020A Class of Time-Varying Vector Moving Average Models: Nonparametric Kernel Estimation and Application. (2020). GAO, Jiti ; Peng, Bin ; Yan, Yayi. In: Papers. RePEc:arx:papers:2010.01492.

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2020Developments on the Bayesian Structural Time Series Model: Trending Growth. (2020). Kohns, David ; Bhattacharjee, Arnab. In: Papers. RePEc:arx:papers:2011.00938.

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2020Development and similarity of insurance markets of European Union countries after the enlargement in 2004. (2020). Wanat, Stanislaw ; Denkowska, Anna. In: Papers. RePEc:arx:papers:2012.15078.

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2020Learning, Equilibrium Trend, Cycle, and Spread in Bond Yields. (2020). Zhao, Guihai. In: Staff Working Papers. RePEc:bca:bocawp:20-14.

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2020Monetary Policy Independence and the Strength of the Global Financial Cycle. (2020). Leiva-Leon, Danilo ; Guérin, Pierre ; Friedrich, Christian. In: Staff Working Papers. RePEc:bca:bocawp:20-25.

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2020Commodity Prices and Global Economic Activity: a derived-demand approach. (2020). Gaglianone, Wagner ; Duarte, Angelo Montalverne ; Issler, Joo Victor ; de Carvalho, Osmani Teixeira. In: Working Papers Series. RePEc:bcb:wpaper:539.

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2020Eurozone prices: a tale of convergence and divergence. (2020). Guerrero, David E ; Gonzalez-Perez, Maria T ; Garcia-Hiernaux, Alfredo. In: Working Papers. RePEc:bde:wpaper:2010.

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2020Spillover effects in international business cycles. (2020). Perez Quiros, Gabriel ; Pacce, Matías ; Camacho, Maximo ; Perez-Quiros, Gabriel. In: Working Papers. RePEc:bde:wpaper:2034.

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2020Forecast Comparison of the Term Structure of Interest Rates of Mexico for Different Specifications of the Affine Model. (2020). Lelo-De, Alejandra. In: Working Papers. RePEc:bdm:wpaper:2020-01.

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2020A Plucking Model of Business Cycles. (2020). Dupraz, Stéphane ; Steinsson, Jon ; Nakamura, Emi. In: Working papers. RePEc:bfr:banfra:748.

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2021Sovereign credit and exchange rate risks: evidence from Asia-Pacific local currency bonds. (2021). Creal, Drew ; Chernov, Mikhail ; Hordahl, Peter. In: BIS Working Papers. RePEc:bis:biswps:918.

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2020Do ETF flows increase market efficiency? Evidence from China. (2020). Xu, Liao ; Chen, Jilong ; Zhao, Yang. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:5:p:4795-4819.

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2020On Mendelian randomization analysis of case‐control study. (2020). Yu, Kai ; Gail, Mitchell H ; Deng, LU ; Albanes, Demetrius ; Berndt, Sonja I ; Qin, Jing ; Zhang, Han. In: Biometrics. RePEc:bla:biomet:v:76:y:2020:i:2:p:380-391.

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2020A forecast evaluation of the Riksbanks policy‐rate projections. (2020). Nordstrom, Martin. In: Economic Notes. RePEc:bla:ecnote:v:49:y:2020:i:3:n:e12167.

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2020A Factor Model Analysis of the Australian Economy and the Effects of Inflation Targeting. (2020). Hartigan, Luke ; Morley, James. In: The Economic Record. RePEc:bla:ecorec:v:96:y:2020:i:314:p:271-293.

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2020Financing seasonal demand. (2020). Fairhurst, Douglas. In: Financial Management. RePEc:bla:finmgt:v:49:y:2020:i:3:p:839-870.

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2020Term structure determinants of time‐varying risk of 1‐year bond returns. (2020). Khanapure, Revansiddha Basavaraj. In: The Financial Review. RePEc:bla:finrev:v:55:y:2020:i:3:p:365-384.

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2020Consumption Fluctuations and Expected Returns. (2020). Priestley, Richard ; Moller, Stig V ; Atanasov, Victoria. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:3:p:1677-1713.

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2020What Matters to Individual Investors? Evidence from the Horses Mouth. (2020). Choi, James ; Robertson, Adriana Z. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:4:p:1965-2020.

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2020The Banking View of Bond Risk Premia. (2020). Sraer, David ; Haddad, Valentin. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:5:p:2465-2502.

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2020Market Price of Longevity Risk for a Multi‐Cohort Mortality Model With Application to Longevity Bond Option Pricing. (2020). Ziveyi, Jonathan ; Sherris, Michael ; Xu, Yajing. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:87:y:2020:i:3:p:571-595.

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2020An Asymptotic F Test for Uncorrelatedness in the Presence of Time Series Dependence. (2020). Sun, Yixiao ; Wang, Xuexin. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:4:p:536-550.

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2020Estimating Excess Sensitivity and Habit Persistence in Consumption Using Greenbook Forecasts. (2020). Kishor, N ; Bhatt, Vipul ; Marfatia, Hardik. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:82:y:2020:i:2:p:257-284.

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2020Prospects for a Monetary Union in the East Africa Community: Some Empirical Evidence. (2020). Gil-Alana, Luis ; GilAlana, Luis ; Caporale, Guglielmo Maria. In: South African Journal of Economics. RePEc:bla:sajeco:v:88:y:2020:i:2:p:174-185.

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2020From carry trades to curvy trades. (2020). Kostka, Thomas ; Gräb, Johannes ; Grab, Johannes ; Dreher, Ferdinand. In: The World Economy. RePEc:bla:worlde:v:43:y:2020:i:3:p:758-780.

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2021Do Central Banks Respond to Exchange Rate Movements? A Markov-Switching Structural Investigation of Commodity Exporters and Importers. (2021). Maih, Junior ; Alstadheim, Ragna ; Bjornland, Hilde Christiane. In: Working Papers. RePEc:bny:wpaper:0095.

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2020The effects of conventional and unconventional monetary policy : identification through the yield curve. (2020). Nelimarkka, Jaakko ; Kortela, Tomi . In: Research Discussion Papers. RePEc:bof:bofrdp:2020_003.

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2020Forecasting inflation with the New Keynesian Phillips curve : Frequency matters. (2020). Verona, Fabio ; Martins, Manuel. In: Research Discussion Papers. RePEc:bof:bofrdp:2020_004.

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2020Instruments with Heterogeneous Effects: Bias, Monotonicity, and Localness. (2020). Huntington-Klein, Nick. In: Journal of Causal Inference. RePEc:bpj:causin:v:8:y:2020:i:1:p:182-208:n:9.

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2020Economic Policy Uncertainty: Persistence and Cross-Country Linkages. (2020). Caporale, Guglielmo Maria ; Gil-Alana, Luis A ; Aikins, Emmanuel Joel. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8289.

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2020Investment under Rational Inattention: Evidence from US Sectoral Data. (2020). Zorn, Peter. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8436.

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2020Persistence and Long Memory in Monetary Policy Spreads. (2020). Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8664.

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2020Modelling Loans to Non-Financial Corporations within the Eurozone: A Long-Memory Approach. (2020). Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8674.

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2020Macroeconomics, Nonlinearities, and the Business Cycle. (2020). Reif, Magnus. In: ifo Beiträge zur Wirtschaftsforschung. RePEc:ces:ifobei:87.

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2020Trend, Seasonal, and Sectorial Inflation in the Euro Area. (2020). Watson, Mark W ; Stock, James H. In: Central Banking, Analysis, and Economic Policies Book Series. RePEc:chb:bcchsb:v27c09pp317-344.

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2020Global Macro-Financial Cycles and Spillovers. (2020). Ha, Jongrim ; Kose, Ayhan ; Otrok, Christopher ; Prasad, Eswar. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14404.

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2020Forecasting Economic Activity Using the Yield Curve: Quasi-Real-Time Applications for New Zealand, Australia and the US. (2020). Phillips, Peter ; Henry, Todd . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2259.

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2020Monetary policy and the term structure of Inflation expectations with information frictions. (2020). McNeil, James. In: Working Papers. RePEc:dal:wpaper:daleconwp2020-07.

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2020Natural Rate Chimera and Bond Pricing Reality. (2020). Brand, Claus ; Lemke, Wolfgang ; Goy, Gavin. In: DNB Working Papers. RePEc:dnb:dnbwpp:666.

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2020International remittances, poverty and growth into WAEMU countries: evidence from panel cointegration approach. (2020). Siani, Joseph . In: Economics Bulletin. RePEc:ebl:ecbull:eb-20-00139.

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2020Spillover effects in international business cycles. (2020). Pacce, Matías ; Camacho, Maximo ; Perez-Quiros, Gabriel. In: Working Paper Series. RePEc:ecb:ecbwps:20202484.

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2020The Relationship among GDP, Carbon Dioxide Emissions, Energy Consumption, and Energy Production from Oil and Gas in Saudi Arabia. (2020). Algarini, Abdullah. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-01-39.

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2021The Causal Relationship between, Electricity Consumption and Economic Growth in Kingdom of Saudi Arabia: A Dynamic Causality Test. (2021). Khader, Sumaya Awad ; Mohammed, Ibrahim Abdelrasoul ; Boujedra, Faouzi Hedi. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2021-01-41.

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2021A Markov Switching VECM Model for Russian Real GDP, Real Exchange Rate and Oil Prices. (2021). Kulikov, Alexander Vladimirovich ; Bedin, Andrey Feliksovich ; Polbin, Andrey Vladimirovich. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2021-02-48.

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2020Synchronization of regional growth dynamics in China. (2020). Ma, Jun ; Bian, Zhicun ; Stewart, Shamar ; Ni, Jinlan. In: China Economic Review. RePEc:eee:chieco:v:61:y:2020:i:c:s1043951x18301305.

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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.

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2020Skill, syndication, and performance: Evidence from leveraged buyouts. (2020). Stanfield, Jared. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119917305916.

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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.

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2020Government spending and heterogeneous consumption dynamics. (2020). Laumer, Sebastian. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:114:y:2020:i:c:s0165188920300373.

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2021Effects of US quantitative easing on emerging market economies. (2021). Park, Woong Yong ; Bhattarai, Saroj ; Chatterjee, Arpita. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:122:y:2021:i:c:s0165188920301998.

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2020When are credit gap estimates reliable?. (2020). Ponomarenko, Alexey ; Rozhkova, Anna ; Deryugina, Elena. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:67:y:2020:i:c:p:221-238.

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2020Is the slope of the Phillips curve time-varying? Evidence from unobserved components models. (2020). Fu, Bowen. In: Economic Modelling. RePEc:eee:ecmode:v:88:y:2020:i:c:p:320-340.

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2020Improving forecast accuracy of financial vulnerability: PLS factor model approach. (2020). Kim, Hyeongwoo ; Ko, Kyunghwan. In: Economic Modelling. RePEc:eee:ecmode:v:88:y:2020:i:c:p:341-355.

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2020Quantile nonlinear unit root test with covariates and an application to the PPP hypothesis. (2020). Zhao, Zhao ; Yang, Yang. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:728-736.

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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.

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2020A fractional cointegration var analysis of exchange rate dynamics. (2020). Gil-Alana, Luis ; Carcel, Hector. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818302547.

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2020Risk spillover between the US and the remaining G7 stock markets using time-varying copulas with Markov switching: Evidence from over a century of data. (2020). Ji, Qiang ; GUPTA, RANGAN ; Cunado, Juncal ; Liu, Bing-Yue. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s106294081830319x.

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2020What do movements in financial traders’ net long positions reveal about aggregate stock returns?. (2020). Dunbar, Kwamie ; Jiang, Jing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818303474.

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2020“Global factors, international spillovers, and the term structure of interest rates: New evidence for Asian Countries”. (2020). Tronzano, Marco ; Guerello, Chiara. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819300166.

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2020Industry risk transmission channels and the spillover effects of specific determinants in China’s stock market: A spatial econometrics approach. (2020). Jin, Xiu ; Chen, NA. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819301986.

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2020Predictability in international stock returns using currency fluctuations and forward rate forecasts. (2020). Yost-Bremm, Chris ; Huang, Emily J ; Han, Xue ; Wang, Jiexin . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819303195.

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2020Foreign direct investment and financial markets influences: Results from the United States. (2020). Malladi, Rama ; Yavas, Burhan F. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820300796.

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2020Identification of triggers of U.S. yield curve movements. (2020). Kučera, Adam ; Kuera, Adam. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301789.

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2020Identification of business cycles and the Great Moderation in the post-war U.S. economy. (2020). Jiang, YU. In: Economics Letters. RePEc:eee:ecolet:v:190:y:2020:i:c:s0165176520300732.

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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.

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2020Adaptive estimation of AR? models with time-varying variances. (2020). Wu, Jilin ; Zhang, Erhua. In: Economics Letters. RePEc:eee:ecolet:v:197:y:2020:i:c:s0165176520304018.

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2020Sequential monitoring for changes from stationarity to mild non-stationarity. (2020). Wang, Shixuan ; Horvath, Lajos ; Liu, Zhenya ; Rice, Gregory. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:1:p:209-238.

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2020Hybrid stochastic local unit roots. (2020). Phillips, Peter ; Lieberman, Offer. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:1:p:257-285.

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2020Threshold factor models for high-dimensional time series. (2020). Chen, Rong ; Liu, Xialu. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:53-70.

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2020Dynamics of variance risk premia: A new model for disentangling the price of risk. (2020). Violante, Francesco ; Stentoft, Lars. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:312-334.

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2020Financial conditions and monetary policy in the US. (2020). Çevik, Emrah ; Dibooglu, Sel ; Cevik, Emrah Ismail ; Yildirim, Durmus Cagri ; Erdogan, Seyfettin. In: Economic Systems. RePEc:eee:ecosys:v:44:y:2020:i:4:s0939362518303947.

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2020Unifying Gaussian dynamic term structure models from a Heath–Jarrow–Morton perspective. (2020). Yu, Fan ; Ye, Xiaoxia ; Li, Haitao. In: European Journal of Operational Research. RePEc:eee:ejores:v:286:y:2020:i:3:p:1153-1167.

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2020The information content of the term structure of risk-neutral skewness. (2020). Wu, Yangru ; Chang, Hao ; Borochin, Paul. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:247-274.

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2020Economic determinants of oil futures volatility: A term structure perspective. (2020). Prokopczuk, Marcel ; Nikitopoulos-Sklibosios, Christina ; Kang, Boda. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320300827.

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2020Explaining the nonlinear response of stock markets to oil price shocks. (2020). Sharma, Shahil ; Escobari, Diego. In: Energy. RePEc:eee:energy:v:213:y:2020:i:c:s0360544220318855.

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2021Is there a bubble in the shale gas market?. (2021). Wang, LI ; Han, Xin ; Yang, Haijun. In: Energy. RePEc:eee:energy:v:215:y:2021:i:pa:s0360544220322088.

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2020Inflation expectations and the recovery from the Great Depression in Germany. (2020). Steege, Lucas Ter ; Daniel, Volker. In: Explorations in Economic History. RePEc:eee:exehis:v:75:y:2020:i:c:s0014498318301554.

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2020The volatility linkage between energy and agricultural futures markets with external shocks. (2020). Zeng, Hongchao ; Wu, Lei ; Jin, Jiayu ; Han, Liyan. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521918305209.

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2020Collateral haircuts and bond yields in the European government bond markets. (2020). Nguyen, Minh. In: International Review of Financial Analysis. RePEc:eee:finana:v:69:y:2020:i:c:s1057521920301113.

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2020Information-based trading and information propagation: Evidence from the exchange traded fund market. (2020). Zhao, Yang ; Xu, LU. In: International Review of Financial Analysis. RePEc:eee:finana:v:70:y:2020:i:c:s1057521920301393.

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2020An encyclopedia for stock markets? Wikipedia searches and stock returns. (2020). Peter, Franziska J ; Behrendt, Simon ; Zimmermann, David J. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302076.

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2020Regime switching in the present value models: A backward-solving method. (2020). Chung, Keunsuk ; Kim, Jan R. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s154461231830881x.

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

Works by Charles R. Nelson:


YearTitleTypeCited
1972The Prediction Performance of the FRB-MIT-PENN Model of the U.S. Economy. In: American Economic Review.
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article54
1974The Stochastic Structure of the Velocity of Money. In: American Economic Review.
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article10
1977Short-Term Interest Rates as Predictors of Inflation: On Testing the Hypothesis That the Real Rate of Interest is Constant. In: American Economic Review.
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article82
1989The NERC Fan in Retrospect and Lessons for the Future In: The Energy Journal.
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article4
2005Welfare 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.
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paper3
1979SPURIOUS PERIODICITY IN INAPPROPRIATELY DETRENDED TIME SERIES In: Economic Research Papers.
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paper149
1981Spurious Periodicity in Inappropriately Detrended Time Series..(1981) In: Econometrica.
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article
1979Spurious Periodicity in Inappropriately Detrended Time Series.(1979) In: The Warwick Economics Research Paper Series (TWERPS).
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paper
2001Markov Regime Switching and Unit-Root Tests. In: Journal of Business & Economic Statistics.
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article65
2000Markov regime-switching and unit root tests.(2000) In: International Finance Discussion Papers.
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paper
2001Markov regime switching and unit root tests.(2001) In: Working Papers.
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paper
2004The Less-Volatile U.S. Economy: A Bayesian Investigation of Timing, Breadth, and Potential Explanations. In: Journal of Business & Economic Statistics.
[Citation analysis]
article107
2001The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations.(2001) In: International Finance Discussion Papers.
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paper
2003The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations.(2003) In: Working Papers.
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This paper has another version. Agregated cites: 107
paper
2005The Structural Break in the Equity Premium In: Journal of Business & Economic Statistics.
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article33
1984Pitfalls in the Use of Time as an Explanatory Variable in Regression. In: Journal of Business & Economic Statistics.
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article66
1983Pitfalls in the use of Time as an Explanatory Variable in Regression.(1983) In: NBER Technical Working Papers.
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paper
1985The NERC Fan: A Retrospective Analysis of the NERC Summary Forecasts. In: Journal of Business & Economic Statistics.
[Citation analysis]
article3
1989The Time-Varying-Parameter Model for Modeling Changing Conditional Variance: The Case of the Lucas Hypothesis. In: Journal of Business & Economic Statistics.
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article24
1976Inflation and Rates of Return on Common Stocks. In: Journal of Finance.
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article165
1976Inflation and Capital Budgeting. In: Journal of Finance.
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article7
1993 Predictable Stock Returns: The Role of Small Sample Bias. In: Journal of Finance.
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article247
Nelson_Plosser In: Instructional Stata datasets for econometrics.
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paper0
2007Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified In: Studies in Nonlinear Dynamics & Econometrics.
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article13
2007Spurious Inference in the GARCH(1,1) Model When It Is Weakly Identified.(2007) In: Working Papers.
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This paper has another version. Agregated cites: 13
paper
1988Long-Term Behavior of Yield Curves In: Journal of Financial and Quantitative Analysis.
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article20
1986Long-Term Behavior of Yield Curves.(1986) In: NBER Working Papers.
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This paper has another version. Agregated cites: 20
paper
2006BUSINESS-CYCLE FILTERING OF MACROECONOMIC DATA VIA A LATENT BUSINESS-CYCLE INDEX In: Macroeconomic Dynamics.
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article7
2006Business-Cycle Filtering of Macroeconomic Data Via A Latent Business-Cycle Index.(2006) In: Working Papers.
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This paper has another version. Agregated cites: 7
paper
1972Estimation of Term Premiums from Average Yield Differentials in the Term Structure of Interest Rates. In: Econometrica.
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article4
1990Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator. In: Econometrica.
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article223
1988SOME FURTHERE RESULTS ON THE EXACT SMALL SAMPLE PROPERTIES OF THE INSTRUMENTAL VARIABLE ESTIMATOR..(1988) In: Discussion Papers in Economics at the University of Washington.
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paper
1988Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator.(1988) In: NBER Technical Working Papers.
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paper
1988SOME FURTHERE RESULTS ON THE EXACT SMALL SAMPLE PROPERTIES OF THE INSTRUMENTAL VARIABLE ESTIMATOR..(1988) In: Working Papers.
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paper
2004Earnings Growth and the Bull Market of the 1990s: Is There a Case for Rational Exuberance? In: Econometric Society 2004 Far Eastern Meetings.
[Citation analysis]
paper2
2007Earnings growth and the bull market of the 1990s: Is there a case for rational exuberance?.(2007) In: Journal of Macroeconomics.
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This paper has another version. Agregated cites: 2
article
2004The Zero-Information-Limit Condition and Spurious Inference In: Econometric Society 2004 North American Winter Meetings.
[Citation analysis]
paper1
2000Why are Beveridge-Nelson and Unobserved-Component Decompositions of GDP so Different? In: Econometric Society World Congress 2000 Contributed Papers.
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paper254
2000Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different?.(2000) In: Discussion Papers in Economics at the University of Washington.
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paper
2003Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different?.(2003) In: The Review of Economics and Statistics.
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article
2000Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different?.(2000) In: Working Papers.
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paper
2002Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different?.(2002) In: Working Papers.
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paper
2003Why are Beveridge-Nelson and Unobserved-component decompositions of GDP so Different?.(2003) In: Working Papers.
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paper
2000Improved Inference for the Instrumental Variables Estimator In: Econometric Society World Congress 2000 Contributed Papers.
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paper12
1999Improved Inference for the Instrumental Variable Estimator.(1999) In: Discussion Papers in Economics at the University of Washington.
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paper
1999Improved Inference for the Instrumental Variable Estimator.(1999) In: Working Papers.
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paper
1999Improved Inference for the Instrumental Variable Estimator.(1999) In: Econometrics.
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paper
1979Discussion of the Zellner and Schwert papers In: Carnegie-Rochester Conference Series on Public Policy.
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article1
1985Macroeconomic time-series, business cycles, and macroeconomic policies A comment In: Carnegie-Rochester Conference Series on Public Policy.
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article1
1988Spurious trend and cycle in the state space decomposition of a time series with a unit root In: Journal of Economic Dynamics and Control.
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article24
1987Spurious Trend and Cycle in the State Space Decomposition of a Time Series with a Unit Root.(1987) In: NBER Technical Working Papers.
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paper
1979Hypothesis testing based on goodness-of-fit in the moving average time series model In: Journal of Econometrics.
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article0
2007The zero-information-limit condition and spurious inference in weakly identified models In: Journal of Econometrics.
[Full Text][Citation analysis]
article22
2004The Zero-Information-Limit Condition and Spurious Inference in Weakly Identified Models.(2004) In: Working Papers.
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paper
2007The Zero-Information-Limit-Condition and Spurious Inference in Weakly Identified Models.(2007) In: Working Papers.
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paper
2008The Beveridge-Nelson decomposition in retrospect and prospect In: Journal of Econometrics.
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article22
2006The Beveridge-Nelson Decomposition in Retrospect and Prospect.(2006) In: Working Papers.
[Full Text][Citation analysis]
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paper
1974The first-order moving average process : Identification, estimation and prediction In: Journal of Econometrics.
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article4
1976Gains in efficiency from joint estimation of systems of autoregressive-moving average processes In: Journal of Econometrics.
[Full Text][Citation analysis]
article1
2007Why are stock returns and volatility negatively correlated? In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article37
1998Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization1 In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article72
1998Testing for mean reversion in heteroskedastic data II: Autoregression tests based on Gibbs-sampling-augmented randomization1 In: Journal of Empirical Finance.
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article39
2001Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices? In: Journal of Empirical Finance.
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article11
2000Does 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.
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paper
1999Does an Intertemporal Tradeoff between Risk and Return Explain Mean Reversion in Stock Prices?.(1999) In: Discussion Papers in Economics at the University of Washington.
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paper
2000Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?.(2000) In: Working Papers.
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paper
1999Does an Intertemporal Tradeoff between Risk and Return Explain Mean Reversion in Stock Prices?.(1999) In: Working Papers.
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paper
1989A Markov model of heteroskedasticity, risk, and learning in the stock market In: Journal of Financial Economics.
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article220
1989THE MARKOV MODEL OF HETEROSKEDASTICITY, RISK AND LEARNING IN THE STOCK MARKET..(1989) In: Discussion Papers in Economics at the University of Washington.
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1989A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market.(1989) In: NBER Working Papers.
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1989THE MARKOV MODEL OF HETEROSKEDASTICITY, RISK AND LEARNING IN THE STOCK MARKET..(1989) In: Working Papers.
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1982Trends and random walks in macroeconmic time series : Some evidence and implications In: Journal of Monetary Economics.
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2000The uncertain trend in U.S. GDP In: Journal of Monetary Economics.
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article76
1998The Uncertain Trend in U.S. GDP.(1998) In: Discussion Papers in Economics at the University of Washington.
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1997The Uncertain Trend in U.S. GDP..(1997) In: Discussion Papers in Economics at the University of Washington.
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1998The Uncertain Trend in U.S. GDP.(1998) In: Working Papers.
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1997The Uncertain Trend in U.S. GDP..(1997) In: Working Papers.
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paper
1997The Uncertain Trend in U.S. GDP.(1997) In: Computational Economics.
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paper
1978The stochastic properties of velocity and the quantity theory of money In: Journal of Monetary Economics.
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article2
2006Estimation of a forward-looking monetary policy rule: A time-varying parameter model using ex post data In: Journal of Monetary Economics.
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article89
2007New measures of the output gap based on the forward-looking new Keynesian Phillips curve In: Journal of Monetary Economics.
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article59
1981A 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.
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article795
1976Recursive structure in U.S. income, prices and output In: Proceedings.
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article6
1979Recursive Structure in U.S. Income, Prices, and Output..(1979) In: Journal of Political Economy.
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article
1979Adjustment lags vs. information lags: a test of alternative explanations of the Phillips curve phenomenon In: Proceedings.
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article0
2000Output fluctuations in the United States: what has changed since the early 1980s? comments In: Proceedings.
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article9
1994Empirical evidence on the recent behavior and usefulness of simple-sum and weighted measures of the money stock (commentary) In: Proceedings.
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article0
1994Empirical evidence on the recent behavior and usefulness of simple-sum and weighted measures of the money stock (commentary).(1994) In: Review.
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2003Business cycle detrending of macroeconomic data via a latent business cycle index In: Working Papers.
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2000The Great Depression and Output Persistence In: Discussion Papers in Economics at the University of Washington.
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2002The Great Depression and Output Persistence..(2002) In: Journal of Money, Credit and Banking.
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2000The Great Depression and Output Persistence.(2000) In: Working Papers.
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2000State-Space Modeling of the Relationship Between Air Quality and Mortality In: Discussion Papers in Economics at the University of Washington.
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2000State-Space Modeling of the Relationship Between Air Quality and Mortality.(2000) In: Working Papers.
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2000Is There a Positive Relationship between Stock Market Volatility and the Equity Premium? In: Discussion Papers in Economics at the University of Washington.
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2004Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?.(2004) In: Journal of Money, Credit and Banking.
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2000Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?.(2000) In: Working Papers.
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2000Is There a Structural Break in the Equity Premium? In: Discussion Papers in Economics at the University of Washington.
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2000Is There a Structural Break in the Equity Premium?.(2000) In: Working Papers.
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1999A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models In: Discussion Papers in Economics at the University of Washington.
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1998A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models.(1998) In: Discussion Papers in Economics at the University of Washington.
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2001A Bayesian Approach to Testing for Markov-Switching in Univariate and Dynamic Factor Models..(2001) In: International Economic Review.
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1999A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models.(1999) In: Working Papers.
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1998A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models.(1998) In: Working Papers.
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1999Unit Root Tests in the Presence of Markov Regime-Switching In: Discussion Papers in Economics at the University of Washington.
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paper4
1999Unit Root Tests in the Presence of Markov Regime-Switching.(1999) In: Working Papers.
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1988THE 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.
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paper224
1988The Distribution of the Instrumental Variables Estimator and Its t-RatioWhen the Instrument is a Poor One.(1988) In: NBER Technical Working Papers.
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1990The Distribution of the Instrumental Variables Estimator and Its t-Ratio When the Instrument Is a Poor One..(1990) In: The Journal of Business.
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1988THE DISTRIBUTION OF THE INSTRUMENTAL VARIABLES ESTIMATOR AND ITS T-RATIO WHEN THE INSTRUMENT IS A POOR ONE..(1988) In: Working Papers.
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1988THE 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.
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paper3
1988The Time-Varying-Parameter Model as an Alternative to ARCH for Modeling Changing Conditional Variance: The Case of Lucas Hypothesis.(1988) In: NBER Technical Working Papers.
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1988THE TIME-VARYING-PARAMETER MODEL AS AN ALTERNATIVE TO ARCH FOR MODELING CHANGING CONDITIONAL VARIANCE: THE CASE OF THE LUCAS HYPOTHESIS..(1988) In: Working Papers.
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1988MEAN REVERSION IN STOCK PRICES? A REAPPRAISAL OF EMPIRICAL EVIDENCE. In: Discussion Papers in Economics at the University of Washington.
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paper148
1988Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence.(1988) In: NBER Working Papers.
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1991Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence.(1991) In: Review of Economic Studies.
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1988MEAN REVERSION IN STOCK PRICES? A REAPPRAISAL OF EMPIRICAL EVIDENCE..(1988) In: Working Papers.
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1989GRANT FUNDING IN ECONOMICS FROM THE NATIONAL SCIENCE FOUNDATION DURING FISCAL YEAR 1987. In: Discussion Papers in Economics at the University of Washington.
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1989GRANT FUNDING IN ECONOMICS FROM THE NATIONAL SCIENCE FOUNDATION DURING FISCAL YEAR 1987..(1989) In: Working Papers.
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1990PREDICTABLE STOCK RETURNS: REALITY OR STATISTICAL ILLUSION?. In: Discussion Papers in Economics at the University of Washington.
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paper2
1990Predictable Stock Returns: Reality or Statistical Illusion?.(1990) In: NBER Working Papers.
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1990PREDICTABLE STOCK RETURNS: REALITY OR STATISTICAL ILLUSION?..(1990) In: Working Papers.
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1990More 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.
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1990More on the Exact Small Sample Distribution of the Instrumental Variable Estimator: A Reply to Maddala and Jeong..(1990) In: Working Papers.
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1996Testing for Men reversion in Heteroskedastic data Based on Gibbs-Simpling-Augmented Randomization. In: Discussion Papers in Economics at the University of Washington.
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1996Testing for Men reversion in Heteroskedastic data Based on Gibbs-Simpling-Augmented Randomization..(1996) In: Working Papers.
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1996Valid Confidence Intervals and Inference in the Presence of Weak Instruments. In: Discussion Papers in Economics at the University of Washington.
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1997Valid Confidence Intervals and Inference in the Presence of Weak Instruments..(1997) In: Discussion Papers in Economics at the University of Washington.
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1998Valid Confidence Intervals and Inference in the Presence of Weak Instruments..(1998) In: International Economic Review.
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1996Valid Confidence Intervals and Inference in the Presence of Weak Instruments..(1996) In: Working Papers.
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1996Valid Confidence Intervals and Inference in the Presence of Weak Instruments.(1996) In: Econometrics.
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1997Friedmans Plucking Model of Business Fluctuations : Tests and Estimates of Permanent and Transitory Components. In: Discussion Papers in Economics at the University of Washington.
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1989Implict Estimates of the Natural and Cyclical Components of Japans Real GNP In: Monetary and Economic Studies.
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2007Expectation horizon and the Phillips Curve: the solution to an empirical puzzle In: Journal of Applied Econometrics.
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1981Adjustment Lags versus Information Lags: A Test of Alternative Explanations of the Phillips Curve Phenomenon. In: Journal of Money, Credit and Banking.
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1981Adjustment Lags versus Information Lags: A Test of Alternative Explanations of the Phillips Curve Phenomenon: A Reply. In: Journal of Money, Credit and Banking.
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1982Comment on Policy Robustness: Specification and Simulation of a Monthly Money Market Model. In: Journal of Money, Credit and Banking.
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2004The Great Depression and Output Persistence: A Reply to Papell and Prodan. In: Journal of Money, Credit and Banking.
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1975The 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.
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1999State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications In: MIT Press Books.
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1985Parsimoneous Modeling of Yield Curves for U.S. Treasury Bills In: NBER Working Papers.
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1985A Reappraisal of Recent Tests of the Permanent Income Hypothesis In: NBER Working Papers.
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