Charles R. Nelson : Citation Profile

Are you Charles R. Nelson?

University of Washington

32

H index

49

i10 index

9712

Citations

RESEARCH PRODUCTION:

73

Articles

96

Papers

1

Books

RESEARCH ACTIVITY:

   44 years (1970 - 2014). See details.
   Cites by year: 220
   Journals where Charles R. Nelson has often published
   Relations with other researchers
   Recent citing documents: 719.    Total self citations: 43 (0.44 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pne247
   Updated: 2022-07-02    RAS profile: 2022-01-12    
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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 (100)

Morley, James (95)

Piger, Jeremy (77)

GUPTA, RANGAN (76)

Kim, Chang-Jin (63)

Guillén, Osmani (60)

Miller, Stephen (56)

Diebold, Francis (53)

Perron, Pierre (47)

Kishor, N (43)

Owyang, Michael (41)

Cites to:

Startz, Richard (23)

Kim, Chang-Jin (22)

Hamilton, James (11)

Orphanides, Athanasios (10)

Stock, James (10)

Galí, Jordi (10)

Gertler, Mark (9)

Morley, James (9)

Perron, Pierre (9)

Watson, Mark (8)

Harvey, Andrew (8)

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
American Economic Review3
Journal of Finance3
The Journal of Business3
The Review of Economics and Statistics3
Econometrica3
Proceedings3
International Economic Review3
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
NBER Working Papers / National Bureau of Economic Research, Inc7
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
Econometrics / University Library of Munich, Germany2

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

YearTitle of citing document
2020Uncertainty and Monetary Policy in the US: A Journey into Non-Linear Territory. (2020). Pellegrino, Giovanni. In: Economics Working Papers. RePEc:aah:aarhec:2020-05.

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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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2021The incremental information in the yield curve about future interest rate risk. (2021). Veliyev, Bezirgen ; Kjar, Mads Markvart ; Christensen, Bent Jesper. In: CREATES Research Papers. RePEc:aah:create:2021-11.

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2022Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-02.

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2021Trend, Cycles and Chance. (2021). DIEBOLT, Claude. In: Working Papers. RePEc:afc:wpaper:05-21.

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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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2021The Vanishing U.S. Cattle Cycle: A Stochastic Cycle Approach. (2020). Shonkwiler, Scott J ; Li, Yunhan. In: Journal of Agricultural and Resource Economics. RePEc:ags:jlaare:305225.

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2021Forecasting of Volatility in Stock Exchange Markets by MS-GARCH Approach: An Application of Borsa Istanbul. (2021). Kaya, Abdulkadir ; Yarbai, Kram Yusuf. In: Journal of Research in Economics, Politics & Finance. RePEc:ahs:journl:v:6:y:2021:i:1:p:16-35.

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2020.

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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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2021Probability 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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2021Unit-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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2020Econometric issues with Laubach and Williams estimates of the natural rate of interest. (2020). Buncic, Daniel. In: Papers. RePEc:arx:papers:2002.11583.

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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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2020Dynamic Shrinkage Priors for Large Time-varying Parameter Regressions using Scalable Markov Chain Monte Carlo Methods. (2020). Huber, Florian ; Koop, Gary ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2005.03906.

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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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2021Accuracy 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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2020Flexible Mixture Priors for Time-varying Parameter Models. (2020). Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2006.10088.

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

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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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2021Efficiency Loss of Asymptotically Efficient Tests in an Instrumental Variables Regression. (2020). Ridder, Geert ; Moreira, Marcelo J. In: Papers. RePEc:arx:papers:2008.13042.

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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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2021Monitoring the pandemic: A fractional filter for the COVID-19 contact rate. (2021). Hartl, Tobias. In: Papers. RePEc:arx:papers:2102.10067.

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2021General Bayesian time-varying parameter VARs for predicting government bond yields. (2021). Pfarrhofer, Michael ; Huber, Florian ; Hauzenberger, Niko ; Fischer, Manfred M. In: Papers. RePEc:arx:papers:2102.13393.

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2021Standing on the Shoulders of Machine Learning: Can We Improve Hypothesis Testing?. (2021). Cornwall, Gary ; Sauley, Beau ; Chen, Jeff . In: Papers. RePEc:arx:papers:2103.01368.

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2021A survey of electricity spot and futures price models for risk management applications. (2021). Gruet, Pierre ; Deschatre, Thomas. In: Papers. RePEc:arx:papers:2103.16918.

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2021Calibrating the Nelson-Siegel-Svensson Model by Genetic Algorithm. (2021). Zhang, Amber ; Pintar, Andrej ; Lakhany, Asif. In: Papers. RePEc:arx:papers:2108.01760.

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2021Semiparametric Functional Factor Models with Bayesian Rank Selection. (2021). Kowal, Daniel R. In: Papers. RePEc:arx:papers:2108.02151.

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2021A New Multivariate Predictive Model for Stock Returns. (2021). Xie, Jianying. In: Papers. RePEc:arx:papers:2110.01873.

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2021Pair copula constructions of point-optimal sign-based tests for predictive linear and nonlinear regressions. (2021). Nobari, Kaveh Salehzadeh. In: Papers. RePEc:arx:papers:2111.04919.

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2021Long Run Law and Entropy. (2021). Tian, Weidong. In: Papers. RePEc:arx:papers:2111.06238.

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2021Dynamic Factor Models with Sparse VAR Idiosyncratic Components. (2021). Margaritella, Luca ; Krampe, Jonas. In: Papers. RePEc:arx:papers:2112.07149.

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2022The credit spread curve. I: Fundamental concepts, fitting, par-adjusted spread, and expected return. (2022). Martin, Richard J. In: Papers. RePEc:arx:papers:2201.01330.

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2022Dynamic Factor Model for Functional Time Series: Identification, Estimation, and Prediction. (2022). Salish, Nazarii ; Otto, Sven. In: Papers. RePEc:arx:papers:2201.02532.

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2022Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices. (2022). Ricco, Giovanni ; Pellegrino, Filippo ; Hasenzagl, Thomas ; Reichlin, Lucrezia. In: Papers. RePEc:arx:papers:2201.05556.

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2022Deep Learning Macroeconomics. (2022). , Rafael ; Rafael, . In: Papers. RePEc:arx:papers:2201.13380.

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2021Constructing the Yield Curve for Sri Lankas Government Bond Market. (2021). Pathirannehelage, Kangara ; Liyanage, Dewundara. In: International Journal of Business and Economic Affairs (IJBEA). RePEc:aya:ijbeaa:2021:p:56-69.

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2021Yield curve modelling and forecasting in an undeveloped financial market: The case of Bulgaria. (2021). Makarieva, Martina. In: Economic Thought journal. RePEc:bas:econth:y:2021:i:2:p:61-83,84-104.

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2022Real Exchange Rate Decompositions. (2022). Fontaine, Jean-Sebastien ; Feunou, Bruno ; Krohn, Ingomar. In: Discussion Papers. RePEc:bca:bocadp:22-6.

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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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2021Debt-Secular Economic Changes and Bond Yields. (2021). Fontaine, Jean-Sebastien ; Feunou, Bruno. In: Staff Working Papers. RePEc:bca:bocawp:21-14.

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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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2020The Corona Virus, the Stock MarketÕs Response, and Growth Expectations. (2020). , Ralph ; Gormsen, Niels J. In: Working Papers. RePEc:bfi:wpaper:2020-22.

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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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2021Foreign Direct Investment and Domestic Private Investment in Sub-Saharan African Countries: Crowding-In or Out ?. (2021). Rabaud, Isabelle ; Jacolin, Luc ; Diallo, Askandarou. In: Working papers. RePEc:bfr:banfra:816.

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2021Does one (unconventional) size fit all? Effects of the ECBs unconventional monetary policies on the euro area economies. (2021). Pagliari, Maria Sole. In: Working papers. RePEc:bfr:banfra:829.

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

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2022Interpolation and Shock Persistence of Prewar U.S. Macroeconomic Time Series: A Reconsideration. (2022). Levy, Daniel ; Dezhbakhsh, Hashem. In: Working Papers. RePEc:biu:wpaper:2022-02.

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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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2022Do crop prices share common trends and common cycles?. (2022). Vatsa, Puneet. In: Australian Journal of Agricultural and Resource Economics. RePEc:bla:ajarec:v:66:y:2022:i:2:p:363-382.

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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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2021DSGE modelling for the UK economy 1974–2017. (2021). Asteriou, Dimitrios ; Pilbeam, Keith ; Litsios, Ioannis. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:73:y:2021:i:2:p:295-323.

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2021Nonlinear relationships between inflation, output growth and uncertainty in India: New evidence from a bivariate threshold model. (2021). Kundu, Srikanta ; Sarkar, Kaustav Kanti ; Chowdhury, Kushal Banik. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:73:y:2021:i:3:p:469-493.

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2022Trends and cycles in macro series: The case of US real GDP. (2022). Gilalana, Luis Alberiko ; Caporale, Guglielmo Maria. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:74:y:2022:i:1:p:123-134.

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2022A component Markov regime?switching autoregressive conditional range model. (2022). Mazibas, Murat. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:74:y:2022:i:2:p:650-683.

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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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2021The relation between municipal and government bond yields in an era of unconventional monetary policy. (2021). Österholm, Pär ; Nordstrom, Martin ; Knezevic, David ; Osterholm, Par. In: Economic Notes. RePEc:bla:ecnote:v:50:y:2021:i:1:n:e12176.

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2021U.S. Monetary Policy and Commodity Prices: A SVECM Approach. (2021). Siami-Namini, Sima ; Siaminamini, Sima. In: Economic Papers. RePEc:bla:econpa:v:40:y:2021:i:4:p:288-312.

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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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2022Geographic proximity and price efficiency: Evidence from high?speed railway connections between firms and financial centers. (2022). Shen, Tao ; Qu, Yuanyu ; Gao, Hao. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:1:p:117-141.

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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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2021Covered bonds, loan growth and bank funding: The Swiss experience since 1932. (2021). Nitschka, Thomas ; Nellen, Thomas ; Meuli, Jonas. In: International Finance. RePEc:bla:intfin:v:24:y:2021:i:1:p:77-94.

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2021The sovereign yield curve and credit ratings in GIIPS. (2021). Umar, Zaghum ; Shehzad, Choudhry T ; Riaz, Yasir. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:3:p:895-916.

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2021Liquidity risk and corporate bond yield spread: Evidence from China. (2021). Jiang, Lunan ; Chen, Yinghui. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:4:p:1117-1151.

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2021AN OVERVIEW OF DYNAMIC MODEL AVERAGING TECHNIQUES IN TIME?SERIES ECONOMETRICS. (2021). Nonejad, Nima. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:35:y:2021:i:2:p:566-614.

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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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2021Reinvestment Risk and the Equity Term Structure. (2021). Gonalves, Andrei S. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:5:p:2153-2197.

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2022Anomalies and the Expected Market Return. (2022). Rapach, David E ; Li, Yan ; Dong, XI ; Zhou, Guofu. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:1:p:639-681.

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2022Late to Recessions: Stocks and the Business Cycle. (2022). Gomezcram, Roberto. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:2:p:923-966.

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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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2021Jointly determining the state dimension and lag order for Markov?switching vector autoregressive models. (2021). Kwok, Simon Sai Man ; Li, Nan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:4:p:471-491.

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2021Testing Goodwin with a stochastic differential approach—The United States (1948–2019). (2021). McIsaac, Florent ; Florent Mc Isaac, . In: Metroeconomica. RePEc:bla:metroe:v:72:y:2021:i:4:p:696-730.

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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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2021Nearly Unbiased Estimation of Autoregressive Models for Bounded Near?Integrated Stochastic Processes*. (2021). Montañés, Antonio ; Carrion-i-Silvestre, Josep ; CarrioniSilvestre, Josep Lluis ; Montaes, Antonio ; Gadea, Maria Dolores. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:1:p:273-297.

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2021Modelling of Economic and Financial Conditions for Real?Time Prediction of Recessions. (2021). Çakmaklı, Cem ; Altug, Sumru ; Ircani, Hamza Dem. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:3:p:663-685.

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2021International Effects of Euro Area Forward Guidance. (2021). Siklos, Pierre ; Feldkircher, Martin ; Böck, Maximilian ; Bock, Maximilian. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:5:p:1066-1110.

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2021Are Recoveries all the Same: GDP and TFP?. (2021). Startz, Richard ; Huang, Yufan ; Luo, Sui. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:5:p:1111-1129.

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2022Time?Varying Dynamics of the German Business Cycle: A Comprehensive Investigation. (2022). Reif, Magnus. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:84:y:2022:i:1:p:80-102.

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2020Effect of foreign exchange intervention: The case of Korea. (2020). Kim, Youngmin ; Lee, Seojin. In: Pacific Economic Review. RePEc:bla:pacecr:v:25:y:2020:i:5:p:641-659.

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2022Monetary policy and inflation–output variability in Sri Lanka: Lessons for developing economies. (2022). Middleditch, Paul ; Mayandy, Kesavarajah. In: Review of Development Economics. RePEc:bla:rdevec:v:26:y:2022:i:1:p:259-279.

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2020Housing markets, monetary policy, and the international co?movement of housing bubbles. (2020). Caraiani, Petre ; Calin, Adrian Cantemir ; Clin, Adrian Cantemir. In: Review of International Economics. RePEc:bla:reviec:v:28:y:2020:i:2:p:365-375.

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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.
[Full Text][Citation analysis]		article75
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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1989The NERC Fan in Retrospect and Lessons for the Future In: The Energy Journal.
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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.
[Full Text][Citation analysis]		paper4
1979SPURIOUS PERIODICITY IN INAPPROPRIATELY DETRENDED TIME SERIES In: Economic Research Papers.
[Full Text][Citation analysis]		paper161
1981Spurious Periodicity in Inappropriately Detrended Time Series..(1981) In: Econometrica.
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1979Spurious Periodicity in Inappropriately Detrended Time Series.(1979) In: The Warwick Economics Research Paper Series (TWERPS).
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2001Markov Regime Switching and Unit-Root Tests. In: Journal of Business & Economic Statistics.
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2000Markov regime-switching and unit root tests.(2000) In: International Finance Discussion Papers.
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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.
[Citation analysis]		article119
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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2003The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations.(2003) In: Working Papers.
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2005The Structural Break in the Equity Premium In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article35
1984Pitfalls in the Use of Time as an Explanatory Variable in Regression. In: Journal of Business & Economic Statistics.
[Citation analysis]		article75
1983Pitfalls in the use of Time as an Explanatory Variable in Regression.(1983) In: NBER Technical Working Papers.
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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.
[Citation analysis]		article34
1976Inflation and Rates of Return on Common Stocks. In: Journal of Finance.
[Full Text][Citation analysis]		article191
1976Inflation and Capital Budgeting. In: Journal of Finance.
[Full Text][Citation analysis]		article7
1993 Predictable Stock Returns: The Role of Small Sample Bias. In: Journal of Finance.
[Full Text][Citation analysis]		article283
Nelson_Plosser In: Instructional Stata datasets for econometrics.
[Full Text][Citation analysis]		paper0
2007Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article18
2007Spurious Inference in the GARCH(1,1) Model When It Is Weakly Identified.(2007) In: Working Papers.
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1988Long-Term Behavior of Yield Curves In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article20
1986Long-Term Behavior of Yield Curves.(1986) In: NBER Working Papers.
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2006BUSINESS-CYCLE FILTERING OF MACROECONOMIC DATA VIA A LATENT BUSINESS-CYCLE INDEX In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		article4
1990Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator. In: Econometrica.
[Full Text][Citation analysis]		article257
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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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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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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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.
[Full Text][Citation analysis]		paper307
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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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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2000Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different?.(2000) In: Working Papers.
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2002Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different?.(2002) In: Working Papers.
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2003Why are Beveridge-Nelson and Unobserved-component decompositions of GDP so Different?.(2003) In: Working Papers.
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2000Improved Inference for the Instrumental Variables Estimator In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]		paper14
1999Improved Inference for the Instrumental Variable Estimator.(1999) In: Discussion Papers in Economics at the University of Washington.
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1999Improved Inference for the Instrumental Variable Estimator.(1999) In: Working Papers.
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1999Improved Inference for the Instrumental Variable Estimator.(1999) In: Econometrics.
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1979Discussion of the Zellner and Schwert papers In: Carnegie-Rochester Conference Series on Public Policy.
[Full Text][Citation analysis]		article1
1985Macroeconomic time-series, business cycles, and macroeconomic policies A comment In: Carnegie-Rochester Conference Series on Public Policy.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		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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1979Hypothesis testing based on goodness-of-fit in the moving average time series model In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
2007The zero-information-limit condition and spurious inference in weakly identified models In: Journal of Econometrics.
[Full Text][Citation analysis]		article27
2004The Zero-Information-Limit Condition and Spurious Inference in Weakly Identified Models.(2004) In: Working Papers.
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2007The Zero-Information-Limit-Condition and Spurious Inference in Weakly Identified Models.(2007) In: Working Papers.
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2008The Beveridge-Nelson decomposition in retrospect and prospect In: Journal of Econometrics.
[Full Text][Citation analysis]		article28
2006The Beveridge-Nelson Decomposition in Retrospect and Prospect.(2006) In: Working Papers.
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1974The first-order moving average process : Identification, estimation and prediction In: Journal of Econometrics.
[Full Text][Citation analysis]		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]		article40
1998Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization1 In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article80
1998Testing for mean reversion in heteroskedastic data II: Autoregression tests based on Gibbs-sampling-augmented randomization1 In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article47
2001Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices? In: Journal of Empirical Finance.
[Full Text][Citation analysis]		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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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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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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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.
[Full Text][Citation analysis]		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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2007New measures of the output gap based on the forward-looking new Keynesian Phillips curve In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article68
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.
[Full Text][Citation analysis]		article1251
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: Proceedings.
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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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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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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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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 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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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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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: 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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1997Testing for Mean Reversion in Heteroskedastic Data II : Autoregression Tests Based on Gibbs-Sampling-Augmented Randomization. In: Discussion Papers in Economics at the University of Washington.
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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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1987Implicit Estimates of Natural, Trend, and Cyclical Components of Real GNP In: NBER Working Papers.
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2014Pricing Stock Market Volatility: Does it Matter whether the Volatility is Related to the Business Cycle? In: Journal of Financial Econometrics.
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2008Pricing Stock Market Volatility: Does It Matter Whether the Volatility is Related to the Business Cycle?.(2008) In: Working Papers.
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2007Sleep and psychological well-being In: Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement.
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