Christopher Neely : Citation Profile

Are you Christopher Neely?

Federal Reserve Bank of St. Louis

28

H index

46

i10 index

3240

Citations

RESEARCH PRODUCTION:

115

Articles

70

Papers

1

Chapters

RESEARCH ACTIVITY:

   28 years (1994 - 2022). See details.
   Cites by year: 115
   Journals where Christopher Neely has often published
   Relations with other researchers
   Recent citing documents: 408.    Total self citations: 85 (2.56 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pne3
   Updated: 2023-05-27    RAS profile: 2022-12-05    
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Relations with other researchers

Works with:

Mizrach, Bruce (5)

Caldara, Dario (4)

Martínez García, Enrique (4)

Gagnon, Etienne (4)

Boudt, Kris (2)

Bhattarai, Saroj (2)

Karson, Evan (2)

McInish, Thomas (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Christopher Neely.

Is cited by:

Menkhoff, Lukas (81)

Taylor, Mark (67)

GUPTA, RANGAN (38)

Sarno, Lucio (38)

Humpage, Owen (36)

Fatum, Rasmus (34)

Reitz, Stefan (34)

Wang, Yudong (33)

Beine, Michel (33)

Zhang, Yaojie (28)

Schrimpf, Andreas (28)

Cites to:

Bollerslev, Tim (72)

Andersen, Torben (40)

Diebold, Francis (38)

Taylor, Mark (33)

Laurent, Sébastien (33)

Sarno, Lucio (29)

Fatum, Rasmus (29)

Lebaron, Blake (25)

Lyons, Richard (24)

Engel, Charles (23)

Campbell, John (21)

Main data

Where Christopher Neely has published?

Journals with more than one article published# docs
Economic Synopses30
Review28
Journal of International Money and Finance9
International Economic Trends9
The Regional Economist5
Monetary Trends5
Journal of Banking & Finance5
International Journal of Finance & Economics3
Journal of Financial and Quantitative Analysis3
Journal of Empirical Finance2
Economics Letters2

Working Papers Series with more than one paper published# docs
Working Papers / Federal Reserve Bank of St. Louis58
CEPR Discussion Papers / C.E.P.R. Discussion Papers2

Recent works citing Christopher Neely (2022 and 2021)

YearTitle of citing document
2021Pre- and post- analysis of Bank of Japan’s policy implementation of negative interest rates. (2021). Villanueva, Alexander I. In: Theoretical and Applied Economics. RePEc:agr:journl:v:1(626):y:2021:i:1(626):p:43-60.

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2021Time-varying volatility spillover of foreign exchange rate in three Asian markets: Based on DCC-GARCH approach. (2021). Sahoo, Malayaranjan ; Mishra, Amritkant ; Srivastava, Purwa ; Gupta, Mohini. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(629):y:2021:i:4(629):p:105-120.

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2021Deep Reinforcement Learning for Active High Frequency Trading. (2021). Briola, Antonio ; Turiel, Jeremy ; Marcaccioli, Riccardo ; Aste, Tomaso. In: Papers. RePEc:arx:papers:2101.07107.

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2022Robustifying Conditional Portfolio Decisions via Optimal Transport. (2021). Ye, Yinyu ; Delage, Erick ; Blanchet, Jose ; Zhang, Fan ; Nguyen, Viet Anh. In: Papers. RePEc:arx:papers:2103.16451.

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2021Machine Learning and Factor-Based Portfolio Optimization. (2021). Kynigakis, Iason ; Cotter, John ; Conlon, Thomas. In: Papers. RePEc:arx:papers:2107.13866.

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2021Conditional Value-at-Risk for Quantitative Trading: A Direct Reinforcement Learning Approach. (2021). Alshehri, Khaled ; Al-Ameer, Ali. In: Papers. RePEc:arx:papers:2109.14438.

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2021Regime Switching Entropic Risk Measures on Crude Oil Pricing. (2021). Elliott, Robert J ; Seck, Babacar . In: Papers. RePEc:arx:papers:2112.13041.

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2023Cryptocurrency Valuation: An Explainable AI Approach. (2022). Zhang, Luyao ; Liu, Yulin. In: Papers. RePEc:arx:papers:2201.12893.

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2023Optimal Asset Allocation in a High Inflation Regime: a Leverage-feasible Neural Network Approach. (2023). Forsyth, Peter A ; Li, Yuying ; Ni, Chendi. In: Papers. RePEc:arx:papers:2304.05297.

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2022.

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2022International Transmission of Quantitative Easing Policies: Evidence from Canada. (2022). Tuzcuoglu, Kerem ; Kabaca, Serdar. In: Staff Working Papers. RePEc:bca:bocawp:22-30.

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2021The impact of heterogeneous unconventional monetary policies on the expectations of market crashes. (2021). Alonso Alvarez, Irma ; Vaello-Sebastia, Antoni ; Serrano, Pedro. In: Working Papers. RePEc:bde:wpaper:2127.

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2022Make-up Strategies with Finite Planning Horizons but Forward-Looking Asset Prices. (2022). Matheron, Julien ; le Bihan, Herve ; Dupraz, Stephane. In: Working Papers. RePEc:bde:wpaper:2218.

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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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2021Regional How Powerful is Unannounced, Sterilized Foreign Exchange Intervention?. (2021). Weber, Jacob ; Naef, Alain. In: Working papers. RePEc:bfr:banfra:834.

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2022The Conditional Path of Central Bank Asset Purchases. (2022). Hubert, Paul ; Creel, Jerome ; Bozou, Caroline ; Blot, Christophe. In: Working papers. RePEc:bfr:banfra:885.

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2021Evaluating Forecast Performance with State Dependence. (2021). Sekhposyan, Tatevik ; Rossi, Barbara ; Odendahl, Florens. In: Working Papers. RePEc:bge:wpaper:1295.

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2023Forecasting swap rate volatility with information from swaptions. (2023). Xie, Jinming ; Liu, Xiaoxi. In: BIS Working Papers. RePEc:bis:biswps:1068.

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2022Beating the Average: Equity Premium Variations, Uncertainty, and Liquidity. (2022). Wagner, Niklas ; Kinateder, Harald ; Batten, Jonathan A. In: Abacus. RePEc:bla:abacus:v:58:y:2022:i:3:p:567-588.

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2021The effect of treasury auctions on 10?year Treasury note futures. (2021). Smales, Lee. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:s1:p:1517-1555.

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2022A timing momentum strategy. (2022). Ko, Kuancheng ; Chou, Robin K ; Yang, Nientzu ; Lin, Chaonan. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:s1:p:1339-1379.

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2022Stock return predictability: Evaluation based on interval forecasts. (2022). Kim, Jae H ; Darne, Olivier ; Charles, Amelie. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:74:y:2022:i:2:p:363-385.

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2021Can central banks run out of ammunition? The role of the money?equities?interaction channel in monetary policy. (2021). Congdon, Tim. In: Economic Affairs. RePEc:bla:ecaffa:v:41:y:2021:i:1:p:21-37.

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2021How to build a factor portfolio: Does the allocation strategy matter?. (2021). Wendt, Viktoriasophie ; Drobetz, Wolfgang ; Dichtl, Hubert. In: European Financial Management. RePEc:bla:eufman:v:27:y:2021:i:1:p:20-58.

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2021Learning and predictability via technical analysis: Evidence from bitcoin and stocks with hard?to?value fundamentals. (2021). Strauss, Jack ; Liu, Hong ; Detzel, Andrew ; Zhu, Yingzi ; Zhou, Guofu. In: Financial Management. RePEc:bla:finmgt:v:50:y:2021:i:1:p:107-137.

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2021Anomalies enhanced: A portfolio rebalancing approach. (2021). Zhou, Guofu ; Huang, Dayong ; Han, Yufeng. In: Financial Management. RePEc:bla:finmgt:v:50:y:2021:i:2:p:371-424.

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2022Economic forecasts, anchoring bias, and stock returns. (2022). Yu, Han ; Dutta, Sandip ; Birz, Gene. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:1:p:169-191.

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2021The trend is an analysts friend: Analyst recommendations and market technicals. (2021). Flugum, Ryan. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:2:p:301-330.

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2022Shrinking return forecasts. (2022). Wang, Yudong ; Pan, Zhiyuan ; Liu, LI. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:3:p:641-661.

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2022Detecting persistent one?sided intervention in foreign exchange markets: A simple test. (2022). Wang, Jenkuan ; Chen, Shiusheng. In: International Finance. RePEc:bla:intfin:v:25:y:2022:i:1:p:23-45.

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2021Currency hedging and quantitative easing: Evidence from global bond markets. (2021). Zhong, Rui ; Zhang, Jie ; Kryzanowski, Lawrence. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:2:p:555-597.

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2021The profitability of trading on large Lévy jumps. (2021). Pan, Zheyao ; Gray, Phil ; Chan, Kam Fong. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:2:p:627-635.

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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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2022Can technical indicators predict the Chinese equity risk premium?. (2022). Glabadanidis, Paskalis ; Sun, Mingwei. In: International Review of Finance. RePEc:bla:irvfin:v:22:y:2022:i:1:p:114-142.

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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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2022A new volatility model: GQARCH?ItÔ model. (2022). Xu, LU ; Sun, Yulei ; Yuan, Huiling ; Cui, Xiangyu ; Zhou, Yong. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:3:p:345-370.

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2022Is the ECB’s conventional monetary policy state?dependent? An event study approach. (2022). Perdichizzi, Salvatore ; Torluccio, Giuseppe ; Cotugno, Matteo. In: Manchester School. RePEc:bla:manchs:v:90:y:2022:i:2:p:213-236.

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2021Unconventional Monetary Policy and Wealth Inequalities in Great Britain. (2021). Fasianos, Apostolos ; Evgenidis, Anastasios. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:1:p:115-175.

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2021Domestic and Global Determinants of Inflation: Evidence from Expectile Regression*. (2021). Delle Monache, Davide ; Busetti, Fabio ; Caivano, Michele. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:4:p:982-1001.

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2021The impact of foreign capital flows on long?term interest rates in emerging and advanced economies. (2021). Inoguchi, Masahiro. In: Review of International Economics. RePEc:bla:reviec:v:29:y:2021:i:2:p:268-295.

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2022Foreign exchange interventions under a minimum exchange rate regime and the Swiss franc. (2022). Hertrich, Markus. In: Review of International Economics. RePEc:bla:reviec:v:30:y:2022:i:2:p:450-489.

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2022Volatility transmission and volatility impulse response functions in the main and the satellite Renminbi exchange rate markets. (2022). Tsang, Andrew ; Funke, Michael ; Loermann, Julius. In: Review of International Economics. RePEc:bla:reviec:v:30:y:2022:i:2:p:606-628.

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2021Inflation comovements in advanced economies: Facts and drivers. (2021). Gómez-Loscos, Ana ; Alvarez, Luis ; Gomezloscos, Ana ; Gadea, Maria Dolores. In: The World Economy. RePEc:bla:worlde:v:44:y:2021:i:2:p:485-509.

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2021Global spillovers of the Fed information effect. (2021). Szczepaniak, Andrzej ; Pinchetti, Marco. In: Bank of England working papers. RePEc:boe:boeewp:0952.

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2022Monetary policy transmission during QE times: role of expectations and term premia channels. (2022). Mumtaz, Haroon ; Kaminska, Iryna. In: Bank of England working papers. RePEc:boe:boeewp:0978.

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2022Links between government bond and futures markets: dealer-client relationships and price discovery in the UK. (2022). Mankodi, Aakash ; Lazarov, Vladimir ; di Gangi, Domenico ; Silvestri, Laura. In: Bank of England working papers. RePEc:boe:boeewp:0991.

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2022The effects of Federal Reserves quantitative easing and balance sheet normalization policies on long-term interest rates. (2022). Georgiou, Evangelia A ; Brissimis, Sophocles N. In: Working Papers. RePEc:bog:wpaper:299.

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2022A global monetary policy factor in sovereign bond yields. (2022). Migiakis, Petros ; Malliaropulos, Dimitris. In: Working Papers. RePEc:bog:wpaper:301.

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2022Causal effects of the Feds large-scale asset purchases on firms capital structure. (2022). Pesaran, M H ; Nocera, A. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2224.

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2021Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US. (2021). Neuenkirch, Matthias ; Haase, Felix. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8828.

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2022Causal Effects of the Feds Large-Scale Asset Purchases on Firms Capital Structure. (2022). Pesaran, Hashem M ; Nocera, Andrea . In: CESifo Working Paper Series. RePEc:ces:ceswps:_9695.

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2021Leaning Against the Wind: An Empirical Cost-Benefit Analysis. (2021). Gelos, R. Gaston ; Nier, Erlend ; Narita, Machiko ; Brando-Marques, Luis. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15693.

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2021The Effect of Macroeconomic Uncertainty on Housing Returns and Volatility: Evidence from US State-Level Data. (2021). GUPTA, RANGAN ; van Eyden, Renee ; André, Christophe ; Sheng, Xin ; Andre, Christophe. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2021_008.

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2023The conditional path of central bank asset purchases. (2023). Bozou, Caroline ; Creel, Jerome ; Hubert, Paul ; Blot, Christophe. In: EconomiX Working Papers. RePEc:drm:wpaper:2023-15.

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2021The ECB’s price stability framework: past experience, and current and future challenges. (2021). Zevi, Giordano ; Weber, Henning ; Schmidt, Sebastian ; Ristiniemi, Annukka ; Pisani, Massimiliano ; Nikolov, Kalin ; Meyler, Aidan ; Matheron, Julien ; Mazelis, Falk ; Locarno, Alberto ; Hurtado, Samuel ; Giesen, Sebastian ; Gautier, Erwan ; Ehrmann, Michael ; Coenen, Günter ; Aguilar, Pablo ; Cecion, Martina ; Dupraz, Stephane ; Sturm, Michael ; Hoffmann, Mathias ; Gomes, Sandra ; Rannenberg, Ansgar ; Pavlova, Lora ; Ioannidis, Michael ; Monch, Emanuel ; Hammermann, Felix ; Maletic, Matjaz ; Al-Haschimi, Alexander ; Kontulainen, Jarmo ; Dobrew, Michael ; Stevens, Arnoud ; Cleanthous, Lena ; Scheer, Alexander ; Gilbert, Niels ; Kok, Christoffer ; Papageorgiou, Dimitris ; Hutchinson, John ; Haavio, Markus ; Lojsc
2021Sudden stops and asset purchase programmes in the euro area. (2021). Zorell, Nico ; Westphal, Andreas ; Setzer, Ralph ; Fidora, Michael ; Fabiani, Josefina. In: Working Paper Series. RePEc:ecb:ecbwps:20212597.

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2023Interbank asset-liability networks with fire sale management. (2023). Haaj, Grzegorz ; Feinstein, Zachary. In: Working Paper Series. RePEc:ecb:ecbwps:20232806.

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2021The Impact of Foreign Direct Investment on the Economic Growth of Egypt (1980-2018). (2021). Marwa, Elsherif ; Ashraf, Salah ; Alaa, Safwat. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2021-05-9.

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2021Can the Leading US Energy Stock Prices be Predicted using the Ichimoku Cloud?. (2021). Kamalov, Firuz ; Gurrib, Ikhlaas ; Elshareif, Elgilani. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2021-01-7.

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2022Technical Analysis, Energy Cryptos and Energy Equity Markets. (2022). Gurrib, Ikhlaas. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2022-02-28.

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2021Dynamic price discovery in Chinese agricultural futures markets. (2021). Xiong, Tao ; Li, Miao. In: Journal of Asian Economics. RePEc:eee:asieco:v:76:y:2021:i:c:s1049007821000993.

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

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2022Currency manipulation and currency wars: Analyzing the dynamics of competitive central bank interventions. (2022). Sushko, Iryna ; Schmitt, Noemi ; Radi, Davide ; Gardini, Laura ; Westerhoff, Frank. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:145:y:2022:i:c:s0165188922002482.

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2021Get the lowdown: The international side of the fall in the U.S. natural rate of interest. (2021). Martinez-Garcia, Enrique. In: Economic Modelling. RePEc:eee:ecmode:v:100:y:2021:i:c:s0264999321000699.

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2021Unconventional monetary policy and inflation expectations in the Euro area. (2021). Osowski, Thomas ; Belke, Ansgar ; Asshoff, Sina. In: Economic Modelling. RePEc:eee:ecmode:v:102:y:2021:i:c:s026499932100153x.

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2021Market instability and technical trading at high frequency: Evidence from NASDAQ stocks. (2021). Vargas, Nicolas ; Petitjean, Mikael ; Erdemlioglu, Deniz. In: Economic Modelling. RePEc:eee:ecmode:v:102:y:2021:i:c:s0264999321001814.

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2021Realized skewness and the short-term predictability for aggregate stock market volatility. (2021). Wang, Yudong ; Zhang, Yaojie ; He, Mengxi. In: Economic Modelling. RePEc:eee:ecmode:v:103:y:2021:i:c:s0264999321002030.

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2022Board attributes, hedging activities and exchange rate risk: Multi-country firm-level evidence. (2022). Sikarwar, Ekta. In: Economic Modelling. RePEc:eee:ecmode:v:110:y:2022:i:c:s0264999322000463.

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2022Macroeconomic effects and transmission channels of quantitative easing. (2022). Stefaski, Maciej. In: Economic Modelling. RePEc:eee:ecmode:v:114:y:2022:i:c:s0264999322001894.

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2023The global component of headline and core inflation in emerging market economies and its ability to improve forecasting performance. (2023). Molina, Stefano G ; Orraca, Maria Jose ; Arango-Castillo, Lenin. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322003583.

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2021Evidence on time-varying inflation synchronization. (2021). Szafranek, Karol. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:1-13.

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2021Financial spillovers and spillbacks: New evidence from China and G7 countries. (2021). Zhao, Yang ; Shi, Yukun ; Jing, Zhongbo ; Fang, YI. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:184-200.

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2021Intraday return predictability in China’s crude oil futures market: New evidence from a unique trading mechanism. (2021). Zhang, Yaojie ; Wang, Yudong ; Wen, Danyan. In: Economic Modelling. RePEc:eee:ecmode:v:96:y:2021:i:c:p:209-219.

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2021Daily currency interventions in an emerging market: Incorporating reserve accumulation to the reaction function. (2021). Frömmel, Michael ; Midili, Murat ; Frommel, Michael. In: Economic Modelling. RePEc:eee:ecmode:v:97:y:2021:i:c:p:461-476.

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2021Asymmetries and flight-to-safety effects in the price discovery process of cross-listed stocks. (2021). Anghel, Dan Gabriel ; Cepoi, Cosmin-Octavian ; Pop, Ionu Daniel. In: Economic Modelling. RePEc:eee:ecmode:v:98:y:2021:i:c:p:302-318.

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2021Indicator selection and stock return predictability. (2021). Zhu, Huan ; Dai, Zhifeng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000309.

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2021Jump Interdependencies: Stochastic linkages among international stock markets. (2021). Prasanna, Krishna ; Kshatriya, Saranya. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000528.

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2021Effects of quantitative easing on firm performance in the euro area. (2021). Korab, Petr ; Dibooglu, Sel ; Mallek, Ray Saadaoui. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000814.

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2021Are the profitability and investment factors valid ICAPM risk factors? Pre-1963 evidence. (2021). Lin, XI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821000851.

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2021Time-varying impact of monetary policy shocks on US stock returns: The role of investor sentiment. (2021). GUPTA, RANGAN ; Cepni, Oguzhan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001601.

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2022Further evidence on financial information and economic activity forecasts in the United States. (2022). Li, Bin ; Shi, QI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000079.

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2022Forecasting solar stock prices using tree-based machine learning classification: How important are silver prices?. (2022). Sadorsky, Perry. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000572.

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2022News and intraday jumps: Evidence from regularization and class imbalance. (2022). Poli, Francesco ; Caporin, Massimiliano. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822000900.

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2022Impact of network investor sentiment and news arrival on jumps. (2022). Xu, Lei ; Qiao, Gaoxiu ; Zhang, Chang ; Liu, Wenwen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822001218.

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2022Sensitivity-based Conditional Value at Risk (SCVaR): An efficient measurement of credit exposure for options. (2022). Peng, Cheng ; Bao, Ying ; Zhao, Yanlong ; Shi, Ruoshi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s106294082200122x.

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2023The RP-PCA factors and stock return predictability: An aligned approach. (2023). Shi, QI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001978.

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2021Price discovery in US money market benchmarks: LIBOR vs. SOFR. (2021). Fassas, Athanasios P. In: Economics Letters. RePEc:eee:ecolet:v:204:y:2021:i:c:s0165176521001592.

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2022Informal central bank communication: The role of investor memories. (2022). Ricci, Ornella ; Galloppo, Giuseppe ; Fiordelisi, Franco ; Caiazza, Stefano . In: Economics Letters. RePEc:eee:ecolet:v:217:y:2022:i:c:s0165176522002002.

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2022Words speak as loudly as actions: Central bank communication and the response of equity prices to macroeconomic announcements. (2022). Vega, Clara ; Scotti, Chiara ; Gardner, Ben. In: Journal of Econometrics. RePEc:eee:econom:v:231:y:2022:i:2:p:387-409.

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2021Monetary policy at the zero lower bound: Information in the Federal Reserve’s balance sheet. (2021). Golinski, Adam ; Goliski, Adam. In: European Economic Review. RePEc:eee:eecrev:v:131:y:2021:i:c:s0014292120302439.

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2023Optimal quantitative easing in a monetary union. (2023). Mavromatis, Kostas ; Maas, Renske ; Kabaca, Serdar ; Priftis, Romanos. In: European Economic Review. RePEc:eee:eecrev:v:152:y:2023:i:c:s0014292122002227.

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2022Spillovers of U.S. monetary policy uncertainty on inflation targeting emerging economies. (2022). Serletis, Apostolos ; Azad, Nahiyan Faisal. In: Emerging Markets Review. RePEc:eee:ememar:v:51:y:2022:i:pa:s1566014121000832.

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2022Monetary policy surprises and interest rates under Chinas evolving monetary policy framework. (2022). Ho, Chun-Yu ; Fu, Liang. In: Emerging Markets Review. RePEc:eee:ememar:v:52:y:2022:i:c:s1566014122000127.

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2021Trading activity and price discovery in Bitcoin futures markets. (2021). Yang, Jimmy J ; Liu, Hung-Chun ; Hung, Jui-Cheng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:107-120.

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

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2021Forecasting stock returns with large dimensional factor models. (2021). Soccorsi, Stefano ; Massacci, Daniele ; Giovannelli, Alessandro. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:252-269.

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2021Exploring risk premium factors for country equity returns. (2021). Lin, Ming-Tsung ; Calice, Giovanni. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:294-322.

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2022Economic evaluation of asset pricing models under predictability. (2022). Hansen, Erwin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:68:y:2022:i:c:p:50-66.

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2023Out-of-sample equity premium prediction: The role of option-implied constraints. (2023). Zhou, TI ; Wang, Yunqi. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:199-226.

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2023Detecting jumps amidst prevalent zero returns: Evidence from the U.S. Treasury securities. (2023). Park, Jeayoung ; Huh, Sahn-Wook ; Han, Seung-Oh. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:276-307.

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2023A global monetary policy factor in sovereign bond yields. (2023). Migiakis, Petros ; Malliaropulos, Dimitris. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:445-465.

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

Works by Christopher Neely:

YearTitleTypeCited
2022An Analysis of the Literature on International Unconventional Monetary Policy In: Journal of Economic Literature.
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2020An Analysis of the Literature on International Unconventional Monetary Policy.(2020) In: Working Papers.
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2001Risk Aversion versus Intertemporal Substitution: A Case Study of Identification Failure in the Intertemporal Consumption Capital Asset Pricing Model. In: Journal of Business & Economic Statistics.
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1997A BENEFIT?COST ANALYSIS OF DISINFLATION In: Contemporary Economic Policy.
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2008Foreign Exchange Volatility Is Priced in Equities In: Financial Management.
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2006Foreign exchange volatility is priced in equities.(2006) In: Working Papers.
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2012CAPITAL FLOWS AND JAPANESE ASSET VOLATILITY In: Pacific Economic Review.
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2011Capital flows and Japanese asset volatility.(2011) In: Working Papers.
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2011Jumps, cojumps and macro announcements In: LIDAM Reprints CORE.
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2007Jumps, cojumps and macro announcements.(2007) In: Working Papers.
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2011Jumps, cojumps and macro announcements.(2011) In: Journal of Applied Econometrics.
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1995Endogenous Realignments and the Sustainability of a Target Zone In: CEPR Discussion Papers.
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1996Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach In: CEPR Discussion Papers.
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1997Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach.(1997) In: Journal of Financial and Quantitative Analysis.
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1997Is technical analysis in the foreign exchange market profitable? a genetic programming approach.(1997) In: Working Papers.
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2000Predictability in International Asset Returns: A Reexamination In: Journal of Financial and Quantitative Analysis.
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1999Predictability in international asset returns: a reexamination.(1999) In: Working Papers.
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2009The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market In: Journal of Financial and Quantitative Analysis.
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2007The adaptive markets hypothesis: evidence from the foreign exchange market.(2007) In: Working Papers.
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2021Supply and demand shifts of shorts before Fed announcements during QE1–QE3 In: Economics Letters.
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2008Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model In: Economics Letters.
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2006Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model.(2006) In: Working Papers.
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2019Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book In: Journal of Econometrics.
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2018Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book.(2018) In: IRTG 1792 Discussion Papers.
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2017Systematic cojumps, market component portfolios and scheduled macroeconomic announcements In: Journal of Empirical Finance.
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1999Target zones and conditional volatility: The role of realignments In: Journal of Empirical Finance.
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1998Target zones and conditional volatility: the role of realignments.(1998) In: Working Papers.
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2002The temporal pattern of trading rule returns and exchange rate intervention: intervention does not generate technical trading profits In: Journal of International Economics.
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2009Forecasting foreign exchange volatility: Why is implied volatility biased and inefficient? And does it matter? In: Journal of International Financial Markets, Institutions and Money.
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2007Can Markov switching models predict excess foreign exchange returns? In: Journal of Banking & Finance.
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2013Lessons from the evolution of foreign exchange trading strategies In: Journal of Banking & Finance.
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2015Unconventional monetary policy had large international effects In: Journal of Banking & Finance.
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2015Which continuous-time model is most appropriate for exchange rates? In: Journal of Banking & Finance.
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2015Which continuous-time model is most appropriate for exchange rates?.(2015) In: Post-Print.
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2021Can risk explain the profitability of technical trading in currency markets? In: Journal of International Money and Finance.
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2022How persistent are unconventional monetary policy effects? In: Journal of International Money and Finance.
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1999Technical trading rules in the European Monetary System In: Journal of International Money and Finance.
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1998Technical trading rules in the European Monetary System.(1998) In: Working Papers.
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2001Technical analysis and central bank intervention In: Journal of International Money and Finance.
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2003Intraday technical trading in the foreign exchange market In: Journal of International Money and Finance.
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2008Central bank authorities beliefs about foreign exchange intervention In: Journal of International Money and Finance.
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2007Central bank authorities’ beliefs about foreign exchange intervention.(2007) In: Working Papers.
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2011International comovements in inflation rates and country characteristics In: Journal of International Money and Finance.
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2014International channels of the Feds unconventional monetary policy In: Journal of International Money and Finance.
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2012International channels of the Fed’s unconventional monetary policy.(2012) In: Working Paper Series.
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2012International channels of the Fed’s unconventional monetary policy.(2012) In: Working Papers.
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2019The response of multinationals’ foreign exchange rate exposure to macroeconomic news In: Journal of International Money and Finance.
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2017The response of multinationals’ foreign exchange rate exposure to macroeconomic news.(2017) In: Working Papers.
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2003Risk-adjusted, ex ante, optimal technical trading rules in equity markets In: International Review of Economics & Finance.
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2001Risk-adjusted, ex ante, optimal technical trading rules in equity markets.(2001) In: Working Papers.
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2013Econometric modeling of exchange rate volatility and jumps In: Chapters.
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2020Monetary Policy and Economic Performance Since the Financial Crisis In: Globalization Institute Working Papers.
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2020Monetary Policy and Economic Performance since the Financial Crisis.(2020) In: Finance and Economics Discussion Series.
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2021Monetary Policy and Economic Performance Since the Financial Crisis.(2021) In: Review.
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2020Monetary Policy and Economic Performance since the Financial Crisis.(2020) In: Working Papers.
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2014Lessons from the taper tantrum In: Economic Synopses.
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2014Comparing international bond yields In: Economic Synopses.
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2015How Much Do Oil Prices Affect Inflation? In: Economic Synopses.
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2015Financial Engineering Versus Cancer In: Economic Synopses.
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2016Chinese Foreign Exchange Reserves and the U.S. Economy In: Economic Synopses.
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2017The People’s Bank of China Boosts the Yuan In: Economic Synopses.
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2018Why Are U.S. Bond Yields So High? In: Economic Synopses.
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2019What to Expect from Quantitative Tightening In: Economic Synopses.
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2019The Asset Holdings of the Bank of Japan In: Economic Synopses.
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2020Negative U.S. Interest Rates? In: Economic Synopses.
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2020The Stock Markets Wild Ride In: Economic Synopses.
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2020Secondary Market Corporate Credit Facility Supports Main Street In: Economic Synopses.
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2020Fed Intervention in the To-Be-Announced Market for Mortgage-Backed Securities In: Economic Synopses.
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2020Supporting Small Borrowers: ABS Markets and the TALF In: Economic Synopses.
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2020Central Bank Responses to COVID-19 In: Economic Synopses.
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2020Federal Reserve System International Facilities In: Economic Synopses.
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2021International Inflation Trends In: Economic Synopses.
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2021Overshooting the Inflation Target In: Economic Synopses.
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2022The Russian Invasion, Oil and Gasoline Prices, and Recession In: Economic Synopses.
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2022A Shutoff of Russian Natural Gas In: Economic Synopses.
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2010The effects of large-scale asset purchases on TIPS inflation expectations In: Economic Synopses.
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2010U.S. historical experience with deflation In: Economic Synopses.
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2010Okuns law: output and unemployment In: Economic Synopses.
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2011The great foreign exchange intervention of 2011 In: Economic Synopses.
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2011The difference between currency manipulation and monetary policy In: Economic Synopses.
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2011Fiscal policy and expected inflation In: Economic Synopses.
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2012The mysterious Greek yield curve In: Economic Synopses.
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2013Political pressure on the bank of Japan: interference or accountability? In: Economic Synopses.
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2013Would it help to eliminate interest on reserves? In: Economic Synopses.
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1999How big is Japans debt? In: International Economic Trends.
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1999An E.U. withholding tax? In: International Economic Trends.
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2001International interest rate linkages In: International Economic Trends.
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2002Options on economic data In: International Economic Trends.
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2003Global factors in budget deficits In: International Economic Trends.
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2005Unwinding the current account deficit In: International Economic Trends.
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2007One dollar = one loonie In: International Economic Trends.
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2008The sovereign wealth funds of nations In: International Economic Trends.
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2009Markets worry more about sovereign debt In: International Economic Trends.
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2000What is the slope of the yield curve telling us? In: Monetary Trends.
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2000Stock prices and consumption In: Monetary Trends.
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1994Realignment of target zone exchange rate systems: what do we know? In: Review.
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1995Deflation and real economic activity under the gold standard In: Review.
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1996The giant sucking sound: did NAFTA devour the Mexican peso? In: Review.
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1997Technical analysis in the foreign exchange market: a laymans guide In: Review.
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1998Technical analysis and the profitability of U.S. foreign exchange intervention In: Review.
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1999An introduction to capital controls In: Review.
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2000Are changes in foreign exchange reserves well correlated with official intervention? In: Review.
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2001The practice of central bank intervention: looking under the hood In: Review.
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2000The practice of central bank intervention: looking under the hood.(2000) In: Working Papers.
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2002Predicting exchange rate volatility: genetic programming versus GARCH and RiskMetrics In: Review.
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2006The transition to electronic communications networks in the secondary treasury market In: Review.
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2011A survey of announcement effects on foreign exchange volatility and jumps In: Review.
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2013Four stories of quantitative easing In: Review.
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2020The Role of Jumps in Volatility Spillovers in Foreign Exchange Markets: Meteor Shower and Heat Waves Revisited.(2020) In: Journal of Business & Economic Statistics.
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2020Unconventional monetary policy and the behavior of shorts In: Working Papers.
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2007Exchange rate intervention In: International Journal of Finance & Economics.
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2003Endogenous realignments in a target zone In: Oxford Economic Papers.
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2006The Transition to Electronic Trading in the Secondary Treasury Market In: Departmental Working Papers.
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2008Optimal discrete hedging in the Heston Stochastic Volatility Model In: Working Paper Series.
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