Charles R. Nelson : Citation Profile


Are you Charles R. Nelson?

University of Washington

29

H index

42

i10 index

6253

Citations

RESEARCH PRODUCTION:

68

Articles

93

Papers

1

Books

RESEARCH ACTIVITY:

   40 years (1970 - 2010). See details.
   Cites by year: 156
   Journals where Charles R. Nelson has often published
   Relations with other researchers
   Recent citing documents: 513.    Total self citations: 35 (0.56 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pne247
   Updated: 2017-11-18    RAS profile: 2013-10-11    
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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:

Piger, Jeremy (68)

Gil-Alana, Luis (67)

Morley, James (66)

Kim, Chang-Jin (57)

GUPTA, RANGAN (48)

Diebold, Francis (43)

Perron, Pierre (37)

Campbell, John (34)

Guidolin, Massimo (34)

Miller, Stephen (33)

Owyang, Michael (32)

Cites to:

Startz, Richard (21)

Kim, Chang-Jin (17)

Hamilton, James (11)

Gertler, Mark (10)

Stock, James (10)

Schwert, G. (10)

Perron, Pierre (9)

Gali, Jordi (9)

Watson, Mark (8)

Harvey, Andrew (8)

Orphanides, Athanasios (7)

Main data


Where Charles R. Nelson has published?


Journals with more than one article published# docs
Journal of Money, Credit and Banking8
Journal of Monetary Economics6
Journal of Business & Economic Statistics6
Journal of Political Economy5
Journal of Econometrics5
Journal of Empirical Finance4
The Review of Economics and Statistics3
Proceedings3
American Economic Review3
International Economic Review3
Econometrica3
The Journal of Business3
Journal of Finance3
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
International Finance Discussion Papers / Board of Governors of the Federal Reserve System (U.S.)2
Econometric Society World Congress 2000 Contributed Papers / Econometric Society2

Recent works citing Charles R. Nelson (2017 and 2016)


YearTitle of citing document
2017Dynamics of Variance Risk Premia, Investors Sentiment and Return Predictability. (2017). Violante, Francesco ; Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2017-10.

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2017Does the ARFIMA really shift?. (2017). Santucci de Magistris, Paolo ; Delle Monache, Davide ; Grassi, Stefano . In: CREATES Research Papers. RePEc:aah:create:2017-16.

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2017Variance swap payoffs, risk premia and extreme market conditions. (2017). , Jeroen ; Violante, Francesco ; Stentoft, Lars . In: CREATES Research Papers. RePEc:aah:create:2017-21.

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2017Improving 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.

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2017London Calling: Nonlinear Mean Reversion across National Stock Markets. (2017). Kim, Hyeongwoo. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2017-05.

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2016State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models. (2016). Uzeda, Luis . In: ANU Working Papers in Economics and Econometrics. RePEc:acb:cbeeco:2016-632.

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2016How Credible Is the Federal Reserve? A Structural Estimation of Policy Re-optimizations. (2016). Lakdawala, Aeimit ; Debortoli, Davide. In: American Economic Journal: Macroeconomics. RePEc:aea:aejmac:v:8:y:2016:i:3:p:42-76.

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2017Twenty Years of Time Series Econometrics in Ten Pictures. (2017). Stock, James H ; Watson, Mark W. In: Journal of Economic Perspectives. RePEc:aea:jecper:v:31:y:2017:i:2:p:59-86.

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2017Modeling 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.

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2016A Dynamic Model of U. S. Beef Cow Inventories. (2016). Shonkwiler, J ; Li, Yunhan . In: 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts. RePEc:ags:aaea16:235385.

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2016Climate as a Cause of Conflict: An Econometric Analysis. (2016). McCarl, Bruce ; Bessler, David ; Chen, Junyi ; Wu, Ximing ; Price, Edwin . In: 2016 Annual Meeting, February 6-9, 2016, San Antonio, Texas. RePEc:ags:saea16:229783.

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2016Disoccupazione strutturale in Italia e regole europee di bilancio. (2016). Cianci, Alessandro . In: a/ Working Papers Series. RePEc:ais:wpaper:1601.

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2016Behavioral Learning Equilibria, Persistence Amplification & Monetary Policy. (2016). Hommes, Cars ; Zhu, M. In: CeNDEF Working Papers. RePEc:ams:ndfwpp:16-03.

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2016FORECASTING THE YIELD CURVE WITH THE ARBITRAGE-FREE DYNAMIC NELSON-SIEGEL MODEL: BRAZILIAN EVIDENCE. (2016). Santos, Andre ; Moura, Guilherme ; Tourrucoo, Fabricio ; Caldeira, Joo F. In: Anais do XLII Encontro Nacional de Economia [Proceedings of the 42ndd Brazilian Economics Meeting]. RePEc:anp:en2014:028.

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2016FROM REAL BUSINESS CYCLE AND NEW KEYNESIAN TO DSGE MACROECONOMICS: FACTS AND MODELS IN THE EMERGENCE OF A CONSENSUS. (2016). Duarte, Pedro. In: Anais do XLIII Encontro Nacional de Economia [Proceedings of the 43rd Brazilian Economics Meeting]. RePEc:anp:en2015:009.

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2016Do Mature Economies Grow Exponentially?. (2016). Lange, Steffen ; Kopp, Thomas ; Putz, Peter . In: Papers. RePEc:arx:papers:1601.04028.

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2016Stock prices, inflation and inflation uncertainty in the U.S.: Testing the long-run relationship considering Dow Jones sector indexes. (2016). Aubin, Christian ; Goyeau, Daniel . In: Papers. RePEc:arx:papers:1603.01231.

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2016Dynamic Adaptive Mixture Models. (2016). Catania, Leopoldo. In: Papers. RePEc:arx:papers:1603.01308.

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2017Local Parametric Estimation in High Frequency Data. (2017). Potiron, Yoann. In: Papers. RePEc:arx:papers:1603.05700.

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2016Kriging of financial term-structures. (2016). Rulliere, Didier ; Maatouk, Hassan ; Cousin, Areski . In: Papers. RePEc:arx:papers:1604.02237.

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2016Unravelling the Asymmetric Volatility Puzzle: A Novel Explanation of Volatility Through Anchoring. (2016). Ormos, Mihály ; Timotity, Dusan . In: Papers. RePEc:arx:papers:1606.03597.

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2016Exact Smooth Term Structure Estimation. (2016). Willems, Sander ; Filipovi, Damir . In: Papers. RePEc:arx:papers:1606.03899.

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2016Predictability Hidden by Anomalous Observations. (2016). Trojani, Fabio ; Scaillet, Olivier ; Camponovo, Lorenzo . In: Papers. RePEc:arx:papers:1612.05072.

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2017Fragmentation, integration and macroprudential surveillance of the US financial industry: Insights from network science. (2017). Gnabo, Jean-Yves ; Geraci, Marco Valerio ; Gandica, Y'Erali . In: Papers. RePEc:arx:papers:1707.00296.

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2017Option Pricing in a Regime Switching Stochastic Volatility Model. (2017). Biswas, Arunangshu ; Goswami, Anindya . In: Papers. RePEc:arx:papers:1707.01237.

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2017Arbitrage-Free Regularization. (2017). Kratsios, Anastasis ; Hyndman, Cody B. In: Papers. RePEc:arx:papers:1710.05114.

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2016Regime Shifts in Excess Stock Return Predictability: An Out-of-Sample Portfolio Analysis. (2016). Guidolin, Massimo ; Pra, Giulia Dal ; Vasile, Fabiola ; Pedio, Manuela . In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1637.

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2016Adaptive models and heavy tails with an application to inflation forecasting. (2016). Petrella, Ivan ; Delle Monache, Davide. In: BCAM Working Papers. RePEc:bbk:bbkcam:1603.

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2017Detecting Scapegoat Effects in the Relationship Between Exchange Rates and Macroeconomic Fundamentals. (2017). Pozzi, Lorenzo ; Sadaba, Barbara . In: Staff Working Papers. RePEc:bca:bocawp:17-22.

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2017Estimating 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.

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2017A menu on output gap estimation methods. (2017). Gómez-Loscos, Ana ; Alvarez, Luis ; Gomez-Loscos, Ana . In: Working Papers. RePEc:bde:wpaper:1720.

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2017Measuring business cycles intra-synchronization in us: a regime-switching interdependence framework. (2017). Leiva-Leon, Danilo. In: Working Papers. RePEc:bde:wpaper:1726.

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2017Model averaging in markov-switching models: predicting national recessions with regional data. (2017). Leiva-Leon, Danilo ; Guérin, Pierre. In: Working Papers. RePEc:bde:wpaper:1727.

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2017Monetary policy, stock market and sectoral comovement. (2017). Leiva-Leon, Danilo ; Guérin, Pierre ; Guerin, Pierre . In: Working Papers. RePEc:bde:wpaper:1731.

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2016Adaptive models and heavy tails. (2016). Petrella, Ivan ; Delle Monache, Davide. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1052_16.

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2017Using 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.

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2016UK term structure decompositions at the zero lower bound.. (2016). Mouabbi, Sarah ; Carriero, Andrea ; Vangelista, E. In: Working papers. RePEc:bfr:banfra:589.

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2017Time-varying fiscal spending multipliers in the UK. (2017). Glocker, C ; Towbin, P ; Sestieri, G. In: Working papers. RePEc:bfr:banfra:643.

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2016Intraday dynamics of euro area sovereign credit risk contagion. (2016). Komarek, Lubos ; Ters, Kristyna . In: BIS Working Papers. RePEc:bis:biswps:573.

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2016Intuitive and reliable estimates of the output gap from a Beveridge-Nelson filter. (2016). Wong, Benjamin ; Morley, James ; Kamber, Gunes. In: BIS Working Papers. RePEc:bis:biswps:584.

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2017Arbitrage 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.

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2017Chinas 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.

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2017SHORT-TERM FORECASTING OF U.S. BUSINESS CYCLE REGIMES USING FACTOR AUGMENTED NEURAL NETWORK MODELS. (2017). Soybilgen, Baris . In: Working Papers. RePEc:bli:wpaper:1703.

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2016Implementing the Zero Lower Bound in an Estimated Regime-Switching DSGE Model. (2016). Binning, Andrew. In: Working Papers. RePEc:bny:wpaper:0043.

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2016Adaptive models and heavy tails. (2016). Petrella, Ivan ; Delle Monache, Davide. In: Bank of England working papers. RePEc:boe:boeewp:0577.

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2016Tracking the slowdown in long-run GDP growth. (2016). Petrella, Ivan ; Drechsel, Thomas ; Antolin-Diaz, Juan. In: Bank of England working papers. RePEc:boe:boeewp:0587.

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2016Macroeconomic tail events with non-linear Bayesian VARs. (2016). Hacioglu Hoke, Sinem ; Chiu, Ching-Wai (Jeremy). In: Bank of England working papers. RePEc:boe:boeewp:0611.

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2017Multi 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.

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2016Leverage dynamics and the burden of debt. (2016). Juselius, John ; Drehmann, Mathias. In: Research Discussion Papers. RePEc:bof:bofrdp:2016_003.

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2016A shadow rate model with time-varying lower bound of interest rates. (2016). Kortela, Tomi . In: Research Discussion Papers. RePEc:bof:bofrdp:2016_019.

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2016TIPS: The Trend Inflation Projection System and Estimation Results. (2016). Takahashi, Koji . In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp16e18.

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2016Particle Markov Chain Monte Carlo Techniques of Unobserved Component Time Series Models Using Ox. (2016). Nima, Nonejad . In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:8:y:2016:i:1:p:55-90:n:2.

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2016Structural changes in inflation dynamics: multiple breaks at different dates for different parameters. (2016). Eo, Yunjong. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:20:y:2016:i:3:p:211-231:n:6.

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2016Dating US business cycles with macro factors. (2016). Fossati, Sebastian ; Sebastian, Fossati . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:20:y:2016:i:5:p:529-547:n:4.

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2016Bond Return Predictability: Economic Value and Links to the Macroeconomy. (2016). Pettenuzzo, Davide ; Timmermann, Allan ; Gargano, Antonio . In: Working Papers. RePEc:brd:wpaper:75r.

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2016Joining the Dots: The FOMC and the future path of policy rates. (2016). Stuart, Rebecca ; Gerlach, Stefan . In: Research Technical Papers. RePEc:cbi:wpaper:08/rt/16.

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2017Separating 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.

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2017Fat 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.

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2016Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at the Pump. (2016). Kilian, Lutz ; Baumeister, Christiane ; Lee, Thomas K. In: CESifo Working Paper Series. RePEc:ces:ceswps:_5759.

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2016Monetary Policy Rules in Emerging Countries: Is there an Augmented Nonlinear Taylor Rule?. (2016). Helmi, Mohamad ; catik, nazif ; Caporale, Guglielmo Maria ; Ali, Faek Nemla . In: CESifo Working Paper Series. RePEc:ces:ceswps:_5965.

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2017Predicting 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.

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2017Testing 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.

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2016Tracking the Slowdown in Long-Run GDP Growth. (2016). Petrella, Ivan ; Drechsel, Thomas ; Antolin-Diaz, Juan. In: Discussion Papers. RePEc:cfm:wpaper:1604.

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2016Estimación de la estructura de tasas de interés en Chile. (2016). Ceballos, Luis ; Carrasco, Samuel ; Mena, Jessica . In: Notas de Investigación Journal Economía Chilena (The Chilean Economy). RePEc:chb:bcchni:v:19:y:2016:i:1:p:58-75.

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2017Stress 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.

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2017Pruebas 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.

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2016Identification-robust moment-based tests for Markov-switching in autoregressive models. (2016). Luger, Richard ; Dufour, Jean-Marie . In: CIRANO Working Papers. RePEc:cir:cirwor:2016s-63.

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2016Volatility and a Century of Energy Markets Dynamics. (2016). Serletis, Apostolos ; Xu, Libo . In: Working Papers. RePEc:clg:wpaper:2016-29.

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2017Updating the Ultimate Forward Rate over Time: A Possible Approach. (2017). Zigraiova, Diana ; Jakubík, Petr ; Jakubik, Petr . In: Working Papers. RePEc:cnb:wpaper:2017/03.

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2016Diplomas y desajuste educativo en Cali a partir de avisos clasificados. (2016). Mora, Jhon ; Carolina, Caicedo ; Cendales, Andres . In: REVISTA LECTURAS DE ECONOMÍA. RePEc:col:000174:015399.

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2016Risk Premia and Seasonality in Commodity Futures. (2016). Sola, Martin ; Petrella, Ivan ; Hevia, Constantino . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11169.

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2016Joining the dots: The FOMC and the future path of policy rates. (2016). Stuart, Rebecca ; Gerlach, Stefan . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11618.

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2017Dissecting US recoveries. (2017). Gómez-Loscos, Ana ; Perez-Quiros, Gabriel ; Gadea, Maria Dolores . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11997.

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2017Discovering pervasive and non-pervasive common cycles. (2017). Terrades, Antoni Espasa ; Real, Guillermo Carlomagno. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:25392.

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2016Measuring and Explaining Cross-Country Immigration Policies. (2016). Ruyssen, Ilse ; Rayp, Glenn ; Standaert, Samuel . In: Discussion Papers (IRES - Institut de Recherches Economiques et Sociales). RePEc:ctl:louvir:2016015.

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2016What Makes a Safe Haven? Equity and Currency Returns for Six OECD Countries during the Financial Crisis. (2016). Min, Hong-Ghi ; Shin, Sang-Ook ; McDonald, Judith A. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2016:v:17:i:2:min.

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2017Revisiting the forecasting accuracy of Phillips curve: the role of oil price. (2017). Salisu, Afees ; Isah, Kazeem ; Ademuyiwa, Idris . In: Working Papers. RePEc:cui:wpaper:0022.

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2017A multi-factor predictive model for oil-US stock nexus with persistence, endogeneity and conditional heteroscedasticity effects. (2017). Salisu, Afees ; Oloko, Tirimisiyu ; Swaray, Raymond . In: Working Papers. RePEc:cui:wpaper:0024.

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2016Monetary Policy Rules in Emerging Countries: Is There an Augmented Nonlinear Taylor Rule?. (2016). Menla Ali, Faek ; Helmi, Mohamad ; catik, nazif ; Caporale, Guglielmo Maria. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1588.

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2017Testing the Fisher Hypothesis in the G-7 Countries Using I(d) Techniques. (2017). Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1667.

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2016Necessity as the mother of invention monetary policy after the crisis. (2016). Jansen, David-Jan ; Ehrmann, Michael ; de Haan, Jakob ; Blinder, Alan. In: DNB Working Papers. RePEc:dnb:dnbwpp:525.

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2017Introducing global term structure in a risk parity framework. (2017). Stagnol, Lauren. In: EconomiX Working Papers. RePEc:drm:wpaper:2017-23.

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2017Synchronization of Economic Activity between Dollarized Economies and the United States. The cases of Ecuador and El Salvador. (2017). de Lourdes, Maria ; Castillo-Ponce, Ramon A. In: Applied Econometrics and International Development. RePEc:eaa:aeinde:v:17:y:2017:i:1_6.

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2017Exploring the nexus between Stock prices and Macroeconomic shocks: Panel VAR approach. (2017). el Abed, Riadh . In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00712.

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2017Optimal Mix of the Extended Nelson Siegel Model for Turkish Sovereign Yield Curve. (2017). Küçüksaraç, Doruk ; Kucuksarac, Doruk ; Cepni, Oguzhan. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00107.

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2016An inflation-predicting measure of the output gap in the euro area. (2016). Lenza, Michele ; Jarociński, Marek ; Jarociski, Marek . In: Working Paper Series. RePEc:ecb:ecbwps:20161966.

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2017How to predict financial stress? An assessment of Markov switching models. (2017). Klaus, Benjamin ; Duprey, Thibaut. In: Working Paper Series. RePEc:ecb:ecbwps:20172057.

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2016Examining the Causal Linkages among Domestic Investment, FDI, Trade, Interest Rate and Economic Growth in ASEAN-5 Countries. (2016). TANG, Chor Foon. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2016-01-29.

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2016The Glosten-Jagannathan-Runkle-Generalized Autoregressive Conditional Heteroscedastic approach to investigating the foreign exchange forward premium volatility. (2016). Hamzaoui, Nessrine ; Regaieg, Boutheina . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2016-04-42.

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2017Dynamic Relations between Stock Price and Exchange Rate: Evidence from South Asia. (2017). Ali, Mostafa ; Sun, Gang . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-03-44.

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2017Can Inflation be Claimed as a Monetary Phenomenon? The Malaysian Experience. (2017). Ozturk, Ilhan ; Tang, Chor Foon . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-03-59.

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2016Fiscal Sustainability in EMU contries: A continued Fiscal commitment?. (2016). Tamarit, Cecilio ; Paniagua, Jordi ; Sapena, Juan . In: Working Papers. RePEc:eec:wpaper:1608.

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2016Forecasting the term structure of crude oil futures prices with neural networks. (2016). Baruník, Jozef ; Malinska, Barbora ; Barunik, Jozef . In: Applied Energy. RePEc:eee:appene:v:164:y:2016:i:c:p:366-379.

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2016Skewness and kurtosis of multivariate Markov-switching processes. (2016). Rossi, Alessandro ; Planas, Christophe ; Fiorentini, Gabriele. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:153-159.

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2016Efficient Gibbs sampling for Markov switching GARCH models. (2016). Billio, Monica ; Casarin, Roberto . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:37-57.

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2016Spectral approach to parameter-free unit root testing. (2016). Bailey, Natalia ; Giraitis, Liudas . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:4-16.

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2016Horizon effect in the term structure of long-run risk-return trade-offs. (2016). Okou, Cedric ; Jacquier, Eric . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:445-466.

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2016Bayesian model selection for unit root testing with multiple structural breaks. (2016). Vosseler, Alexander . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:616-630.

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2016A bootstrap approximation for the distribution of the Local Whittle estimator. (2016). Arteche, Josu ; Orbe, Jesus. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:645-660.

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2016Moment Ratio estimation of autoregressive/unit root parameters and autocorrelation-consistent standard errors. (2016). McCulloch, Huston J. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:712-733.

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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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article35
1974The Stochastic Structure of the Velocity of Money. In: American Economic Review.
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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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article69
1989The NERC Fan in Retrospect and Lessons for the Future In: The Energy Journal.
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article3
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
2001Markov Regime Switching and Unit-Root Tests. In: Journal of Business & Economic Statistics.
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article50
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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2004The Less-Volatile U.S. Economy: A Bayesian Investigation of Timing, Breadth, and Potential Explanations. In: Journal of Business & Economic Statistics.
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article95
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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paper
2005The Structural Break in the Equity Premium In: Journal of Business & Economic Statistics.
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article27
1984Pitfalls in the Use of Time as an Explanatory Variable in Regression. In: Journal of Business & Economic Statistics.
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article56
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.
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article2
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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article21
1976Inflation and Rates of Return on Common Stocks. In: Journal of Finance.
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article112
1976Inflation and Capital Budgeting. In: Journal of Finance.
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article3
1993 Predictable Stock Returns: The Role of Small Sample Bias. In: Journal of Finance.
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article205
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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article9
2007Spurious Inference in the GARCH(1,1) Model When It Is Weakly Identified.(2007) In: Working Papers.
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paper
1988Long-Term Behavior of Yield Curves In: Journal of Financial and Quantitative Analysis.
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article19
1986Long-Term Behavior of Yield Curves.(1986) In: NBER Working Papers.
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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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paper
1972Estimation of Term Premiums from Average Yield Differentials in the Term Structure of Interest Rates. In: Econometrica.
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article4
1981Spurious Periodicity in Inappropriately Detrended Time Series. In: Econometrica.
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article129
1979Spurious Periodicity in Inappropriately Detrended Time Series.(1979) In: The Warwick Economics Research Paper Series (TWERPS).
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paper
1990Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator. In: Econometrica.
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article186
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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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.
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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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article
2004The Zero-Information-Limit Condition and Spurious Inference In: Econometric Society 2004 North American Winter Meetings.
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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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paper149
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
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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article16
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.
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article16
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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article14
2006The Beveridge-Nelson Decomposition in Retrospect and Prospect.(2006) In: Working Papers.
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paper
1974The first-order moving average process : Identification, estimation and prediction In: Journal of Econometrics.
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article3
1976Gains in efficiency from joint estimation of systems of autoregressive-moving average processes In: Journal of Econometrics.
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article1
2007Why are stock returns and volatility negatively correlated? In: Journal of Empirical Finance.
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article28
1998Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization1 In: Journal of Empirical Finance.
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article63
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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article30
2001Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices? In: Journal of Empirical Finance.
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article8
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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This paper has another version. Agregated cites: 8
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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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2000Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?.(2000) In: Working Papers.
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1999Does an Intertemporal Tradeoff between Risk and Return Explain Mean Reversion in Stock Prices?.(1999) In: Working Papers.
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1989A Markov model of heteroskedasticity, risk, and learning in the stock market In: Journal of Financial Economics.
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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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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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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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1997The Uncertain Trend in U.S. GDP.(1997) In: Computational Economics.
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1978The stochastic properties of velocity and the quantity theory of money In: Journal of Monetary Economics.
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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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article63
2007New measures of the output gap based on the forward-looking new Keynesian Phillips curve In: Journal of Monetary Economics.
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article39
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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article572
1976Recursive structure in U.S. income, prices and output In: Proceedings.
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1979Recursive Structure in U.S. Income, Prices, and Output..(1979) In: Journal of Political Economy.
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1979Adjustment lags vs. information lags: a test of alternative explanations of the Phillips curve phenomenon In: Proceedings.
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2000Output fluctuations in the United States: what has changed since the early 1980s? comments In: Proceedings.
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1994Empirical evidence on the recent behavior and usefulness of simple-sum and weighted measures of the money stock (commentary) 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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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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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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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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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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1988MEAN REVERSION IN STOCK PRICES? A REAPPRAISAL OF EMPIRICAL EVIDENCE..(1988) In: Working Papers.
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1989THE MARKOV MODEL OF HETEROSKEDASTICITY, RISK AND LEARNING IN THE STOCK MARKET. In: Discussion Papers in Economics at the University of Washington.
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1989THE MARKOV MODEL OF HETEROSKEDASTICITY, RISK AND LEARNING IN THE STOCK MARKET..(1989) 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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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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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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1998Valid Confidence Intervals and Inference in the Presence of Weak Instruments..(1998) In: International Economic Review.
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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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1999Friedmans Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components..(1999) In: Journal of Money, Credit and Banking.
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