Christopher Neely : Citation Profile

Federal Reserve Bank of St. Louis

31

H index

51

i10 index

3853

Citations

RESEARCH PRODUCTION:

123

Articles

86

Papers

1

Chapters

RESEARCH ACTIVITY:

   31 years (1994 - 2025). See details.
   Cites by year: 124
   Journals where Christopher Neely has often published
   Relations with other researchers
   Recent citing documents: 142.    Total self citations: 91 (2.31 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pne3
   Updated: 2025-03-22    RAS profile: 2024-06-07    
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Relations with other researchers

Works with:

Mizrach, Bruce (5)

Caldara, Dario (4)

Gagnon, Etienne (4)

Martínez García, Enrique (4)

Karson, Evan (2)

Bouamara, Nabil (2)

Bhattarai, Saroj (2)

Boudt, Kris (2)

McInish, Thomas (2)

Yang, Xiye (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 (88)

Taylor, Mark (69)

Wang, Yudong (46)

GUPTA, RANGAN (44)

Sarno, Lucio (40)

Zhang, Yaojie (40)

Fatum, Rasmus (36)

Humpage, Owen (36)

Reitz, Stefan (34)

Beine, Michel (33)

Schrimpf, Andreas (30)

Cites to:

Bollerslev, Tim (86)

Andersen, Torben (48)

Diebold, Francis (44)

Laurent, Sébastien (39)

Taylor, Mark (33)

Fatum, Rasmus (29)

Sarno, Lucio (29)

Swanson, Eric (27)

Lyons, Richard (25)

Lebaron, Blake (25)

Campbell, John (24)

Main data

Production by document typepaperarticlechapter1994199519961997199819992000200120022003200420052006200720082009201020112012201320142015201620172018201920202021202220232024202501020Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420250100200300Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received1996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420250100200300Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420250250500750Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 31Most cited documents1234567891011121314151617181920212223242526272829303132330250500750Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution20130820130920131020131120131220140120140220140320140420140520140620140720140820140920141020141120141220150120150220150320150420150520150620150720150820150920151020151120151220160120160220160320160420160520160620160720160820160920161020161120161220170120170220170320170420170520170620170720170820170920171020171120171220180120180220180320180420180520180620180720180820180920181020181120181220190120190220190320190420190520190620190720190820190920191020191120191220200120200220200320200420200520200620200720200820200920201020201120201220210120210220210320210420210520210620210720210820210920211020211120211220220120220220220320220420220520220620220720220820220920221020221120221220230120230220230320230420230520230620230720230820230920231020231120231220240120240220240320240420240520240620240720240820240920241020241120241220250120250220250302040h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Christopher Neely has published?

Journals with more than one article published# docs
Economic Synopses34
Review28
Journal of International Money and Finance9
International Economic Trends9
The Regional Economist8
Monetary Trends5
Journal of Banking & Finance5
Journal of Financial and Quantitative Analysis3
International Journal of Finance & Economics3
Journal of Empirical Finance2
Economics Letters2

Working Papers Series with more than one paper published# docs
Working Papers / Federal Reserve Bank of St. Louis62
On the Economy / Federal Reserve Bank of St. Louis10
CEPR Discussion Papers / C.E.P.R. Discussion Papers2

Recent works citing Christopher Neely (2025 and 2024)

Year  ↓Title of citing document  ↓
2024Impact of Selected Factors on International Trade of Bangladesh: An Empirical Analysis. (2024). Zafar, Abdullah Bin. In: International Journal of Science and Business. RePEc:aif:journl:v:35:y:2024:i:1:p:30-47.

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2024Le implicazioni economiche delle perdite delle banche centrali. (2024). Papi, Luca. In: Working Papers. RePEc:anc:wpaper:492.

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2024Robustifying 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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2024Jump detection in high-frequency order prices. (2024). Ristig, Alexander ; Hautsch, Nikolaus ; Bibinger, Markus. In: Papers. RePEc:arx:papers:2403.00819.

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2024The macroeconomic effects of reducing a central bank monetary policy portfolio: a model-based evaluation. (2024). Pisani, Massimiliano ; Notarpietro, Alessandro ; Bartocci, Anna. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1472_24.

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2024Quantitative easing effectiveness: Evidence from Euro private assets. (2024). Kirikos, Dimitris G. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:76:y:2024:i:2:p:354-370.

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2024International comovements of public debt. (2024). Yun, Youngjin ; Payne, James ; Arčabić, Vladimir ; Lee, Junsoo ; Arabi, Vladimir ; Isomitdinov, Hasan. In: Economic Inquiry. RePEc:bla:ecinqu:v:62:y:2024:i:2:p:722-747.

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2024International monetary spillovers to frontier financial markets: Evidence from Bangladesh. (2024). Schaffer, Matthew ; Rahman, Md Rashedur. In: International Finance. RePEc:bla:intfin:v:27:y:2024:i:1:p:81-100.

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2024.

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2024Solving the Forecast Combination Puzzle Using Double Shrinkages. (2024). Wang, Yudong ; Hao, Xianfeng ; Liu, LI. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:86:y:2024:i:3:p:714-741.

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2024Optimal quantitative easing and tightening. (2024). Harrison, Richard. In: Bank of England working papers. RePEc:boe:boeewp:1063.

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2024An unconventional FX tail risk story. (2024). Stoja, Evarist ; Pambira, Alberto ; Gerba, Eddie ; Caon, Carlos. In: Bank of England working papers. RePEc:boe:boeewp:1068.

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2024The yield curve impact of government debt issuance surprises and the implications for QT. (2024). Joyce, Michael ; Lengyel, Andras. In: Bank of England working papers. RePEc:boe:boeewp:1097.

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2024Effects and Side Effects of Unconventional Monetary Policy: A Shadow Rate Approach. (2024). Kaihatsu, Sohei ; Kasai, Yoshiyasu ; Yamamoto, Hiroki ; Hirata, Atsuki ; Nakajima, Jouchi. In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp24e21.

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2024Revisiting 15 Years of Unusual Transatlantic Monetary Policies. (2024). Sahuc, Jean-Guillaume ; Levieuge, Gregory ; Garcia-Revelo, Jose. In: EconomiX Working Papers. RePEc:drm:wpaper:2024-13.

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2024Do financial markets react to emerging economies’ asset purchase program? Evidence from the COVID-19 pandemic period. (2024). Bhat, Javed Ahmad ; Padhan, Rakesh ; Prabheesh, K P. In: Journal of Asian Economics. RePEc:eee:asieco:v:90:y:2024:i:c:s1049007823000982.

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2024International transmission of quantitative easing policies: Evidence from Canada. (2024). Tuzcuoglu, Kerem ; Kabaca, Serdar. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:162:y:2024:i:c:s0165188924000411.

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2024International spillovers of conventional versus new monetary policy. (2024). Hashmi, Aamir ; Nsafoah, Dennis. In: Economic Modelling. RePEc:eee:ecmode:v:139:y:2024:i:c:s0264999324001688.

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2024What drives labor force participation rate variability? The case of West Virginia. (2024). Stewart, Shamar L ; Beverly, Josh ; Neill, Clinton L. In: Economic Modelling. RePEc:eee:ecmode:v:140:y:2024:i:c:s0264999324002189.

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2024A hybrid approach of wavelet transform, ARIMA and LSTM model for the share price index futures forecasting. (2024). Bai, Wei ; Liu, Haifei ; Zhang, Junting. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pb:s1062940823001456.

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2024Clustering effects and evolution of the global major 10-year government bond market structure: A network perspective. (2024). Peng, Hongjuan ; Tang, Pan ; Zhang, Ditian ; Zhuang, Yangyang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001870.

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2024Monetary policy spillovers among five systemic economies: Evidence from the time and frequency domains. (2024). Li, Youshu ; Zhang, Weiran ; Guo, Junjie. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940824000019.

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2024Green bonds and traditional and emerging investments: Understanding connectedness during crises. (2024). Corbet, Shaen ; Hu, Yang ; Xu, Danyang ; Oxley, Les ; Hou, Yang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000676.

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2024Can U.S. macroeconomic indicators forecast cryptocurrency volatility?. (2024). Su, Yi-Kai ; Tzeng, Kae-Yih. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001499.

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2024Comovement and Global Imbalances of Current Accounts. (2024). Yang, Zheng ; Kim, Yoonbai ; Lee, Junsoo ; You, YU. In: Economic Systems. RePEc:eee:ecosys:v:48:y:2024:i:4:s0939362524000219.

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2024Evaluating the yield curve effects of central bank asset purchases under a forward-looking supply factor. (2024). Gimeno, Ricardo ; Moreno, Antonio ; Equiza, Juan ; Thomas, Carlos. In: European Economic Review. RePEc:eee:eecrev:v:165:y:2024:i:c:s0014292124000734.

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2024Does one (unconventional) size fit all? Effects of the ECB’s unconventional monetary policies on the euro area economies. (2024). Pagliari, Maria Sole. In: European Economic Review. RePEc:eee:eecrev:v:168:y:2024:i:c:s0014292124001466.

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2024Changing determinant driver and oil volatility forecasting: A comprehensive analysis. (2024). Wang, Jiqian ; Ma, Feng ; Luo, Qin ; Wu, You. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323006850.

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2024Efficient predictability of oil price: The role of VIX-based panic index shadow line difference. (2024). Liang, Chao ; Zhang, Xiaotong ; Dai, Zhifeng. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323007326.

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2024Time-varying relationship between international monetary policy and energy markets. (2024). Sahay, Vinita S ; Adeabah, David ; Abdullah, Mohammad ; Aikins, Emmanuel Joel ; Tiwari, Aviral Kumar. In: Energy Economics. RePEc:eee:eneeco:v:131:y:2024:i:c:s0140988324000471.

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2024Return and volatility spillovers between the raw material and electric vehicles markets. (2024). Zilberman, David ; Petit, Mathieu ; Janda, Karel ; Alekseev, Oleg. In: Energy Economics. RePEc:eee:eneeco:v:137:y:2024:i:c:s0140988324005164.

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2024Forecasting the volatility of crude oil basis: Univariate models versus multivariate models. (2024). Wang, Yudong ; Geng, Qianjie. In: Energy. RePEc:eee:energy:v:295:y:2024:i:c:s0360544224007412.

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2024Crude oil futures and the short-term price predictability of petroleum products. (2024). Wang, Yudong ; Xiao, Jihong ; Wen, Danyan. In: Energy. RePEc:eee:energy:v:307:y:2024:i:c:s0360544224025246.

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2024Forecasting crude oil prices with global ocean temperatures. (2024). Zhang, Zhikai ; He, Mengxi. In: Energy. RePEc:eee:energy:v:311:y:2024:i:c:s0360544224031177.

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2024Asymmetric liquidity risk and currency returns before and during COVID-19 pandemic. (2024). Al-Faryan, Mamdouh Abdulaziz Sa ; Ur, Mobeen ; Kashif, Muhammad ; Palwishah, Rana. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923004350.

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2024Volatility prediction for the energy sector with economic determinants: Evidence from a hybrid model. (2024). Liu, Xiaoquan ; Jiang, Ying ; Ye, Wuyi ; Wang, Yuejing. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000267.

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2024Donald Trumps tweets, political value judgment, and the Renminbi exchange rate. (2024). Frömmel, Michael ; Baidoo, Edwin ; Frommel, Michael ; Zhang, Qisi. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924000917.

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2024Machine-learning stock market volatility: Predictability, drivers, and economic value. (2024). Cabrera, Gabriel ; Hansen, Erwin ; Diaz, Juan D. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002187.

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2024The macro driving factors of co-movement of RMB with other currencies in FX markets. (2024). Dai, Yixin ; Teng, Fengfan ; Zhou, Jindie ; Xu, Xiangyun ; Yu, Cong. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005131.

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2024Sovereign momentum currency returns. (2024). Lin, Ming-Tsung ; Calice, Giovanni. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924004046.

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2024Presidential economic approval rating and global foreign exchange market volatility. (2024). Xu, Weijun ; Li, Xiaodan ; Gong, Xue. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924005167.

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2024Forecasting U.S. Stock Returns Conditional on Geopolitical Risk and Business Cycles. (2024). Tammy, Minh Tam ; Karadas, Serkan ; Stivers, Adam. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924006392.

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2024A note on the Gumbel convergence for the Lee and Mykland jump tests. (2024). Ruas, Joo Pedro ; Vidal, Joo Pedro. In: Finance Research Letters. RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323011868.

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2024Video apps user engagement and stock market volatility: Evidence from China. (2024). Feng, MA ; Jixiang, Zhang. In: Finance Research Letters. RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324005348.

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2024Monetary policy, corporate credit and digital transformation. (2024). Jiang, Ruishi ; Long, Keru ; Ruan, Jia ; Ni, Jianhui. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324007682.

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2024The effectiveness of FX interventions: A meta-analysis. (2024). Villamizar-Villegas, mauricio ; Rodríguez-Novoa, Daniela ; Menkhoff, Lukas ; Arango-Lozano, Lucia ; Rodriguez-Novoa, Daniela. In: Journal of Financial Stability. RePEc:eee:finsta:v:74:y:2024:i:c:s1572308920300930.

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2024Effectiveness of FX intervention and the flimsiness of exchange rate expectations. (2024). Villamizar-Villegas, mauricio ; Vargas-Herrera, Hernando. In: Journal of Financial Stability. RePEc:eee:finsta:v:74:y:2024:i:c:s1572308920301169.

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2024Stabilizing global foreign exchange markets in the time of COVID-19: The role of vaccinations. (2024). Li, Xiao-Ming ; Thanh, Thao Thac ; Pham, Son Duy. In: Global Finance Journal. RePEc:eee:glofin:v:59:y:2024:i:c:s1044028323001187.

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2024The boom of corporate debt in emerging markets: Carry trade or save to invest?. (2024). Jara, Mauricio ; de Gregorio, Jose. In: Journal of International Economics. RePEc:eee:inecon:v:148:y:2024:i:c:s0022199623001307.

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2024Do industries predict stock market volatility? Evidence from machine learning models. (2024). Demirer, Riza ; Suleman, Muhammad Tahir ; Niu, Zibo ; Zhu, Xuehong ; Zhang, Hongwei. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001713.

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2024Market timing with moving average distance: International evidence. (2024). Mugerman, Yevgeny ; Kaplanski, Guy ; Abudy, Menachem Meni. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:97:y:2024:i:c:s1042443124001318.

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2024How local is the local inflation factor? Evidence from emerging European countries. (2024). Clements, Michael ; Cepni, Oguzhan. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:160-183.

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2024Forecasting the equity premium with frequency-decomposed technical indicators. (2024). Stein, Tobias. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:6-28.

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2024Forecasting in factor augmented regressions under structural change. (2024). Kapetanios, George ; Massacci, Daniele. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:62-76.

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2024Information spillover and cross-predictability of currency returns: An analysis via Machine Learning. (2024). Yan, Shu ; Wu, Yangru ; Liu, Yuzheng ; Jia, Yuecheng. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:169:y:2024:i:c:s0378426624002279.

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2024From Man vs. Machine to Man + Machine: The art and AI of stock analyses. (2024). Jiang, Wei ; Cao, Sean ; Wang, Junbo ; Yang, Baozhong. In: Journal of Financial Economics. RePEc:eee:jfinec:v:160:y:2024:i:c:s0304405x24001338.

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2024The transmission of U.S. monetary policy to small open economies. (2024). de Simone, Francisco Nadal. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:142:y:2024:i:c:s0261560624000251.

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2024The out-of-sample performance of carry trades. (2024). Li, Yan ; Wang, Zigan ; Taylor, Mark P ; Hsu, Po-Hsuan. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:143:y:2024:i:c:s0261560624000299.

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2024Blowing against the Wind? a narrative approach to central Bank foreign exchange intervention. (2024). Naef, Alain. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:146:y:2024:i:c:s0261560624001165.

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2024Global mispricing matters. (2024). Yu, Jiasheng ; Liu, Hongkui ; Tang, Guohao ; Jiang, Fuwei. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:147:y:2024:i:c:s0261560624001232.

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2024Prices and returns: Role of inflation. (2024). Sun, Yulong. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:147:y:2024:i:c:s0261560624001360.

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2024An unconventional FX tail risk story. (2024). Stoja, Evarist ; Gerba, Eddie ; Caon, Carlos ; Pambira, Alberto. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:148:y:2024:i:c:s0261560624001396.

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2024Stock return predictability using economic narrative: Evidence from energy sectors. (2024). Ma, Tian ; Zhang, Huajing ; Li, Ganghui. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:35:y:2024:i:c:s2405851324000370.

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2024Geopolitical risks and crude oil futures volatility: Evidence from machine learning. (2024). Niu, Zibo ; Wang, Wentao ; Zhang, Hongwei. In: Resources Policy. RePEc:eee:jrpoli:v:98:y:2024:i:c:s0301420724007414.

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2024Make-up strategies with finite planning horizons but infinitely forward-looking asset prices. (2024). Matheron, Julien ; le Bihan, Herve ; Dupraz, Stephane. In: Journal of Monetary Economics. RePEc:eee:moneco:v:143:y:2024:i:c:s0304393223001502.

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2024What moves markets?. (2024). Kerssenfischer, Mark ; Schmeling, Maik. In: Journal of Monetary Economics. RePEc:eee:moneco:v:145:y:2024:i:c:s0304393224000138.

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2024Same actions, different effects: The conditionality of monetary policy instruments. (2024). Hubert, Paul ; Creel, Jerome ; Bozou, Caroline ; Blot, Christophe. In: Journal of Monetary Economics. RePEc:eee:moneco:v:147:y:2024:i:s:s0304393224000497.

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2024Commodity futures markets under stress and stress-free periods: Further insights from a quantile connectedness approach. (2024). Bellalah, Makram ; ben Amar, Amine ; Abricha, Amal. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:93:y:2024:i:c:p:229-246.

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2024Dynamic connectedness of inflation around the world: A time-varying approach from G7 and E7 countries. (2024). Xiao, Xiyue ; Hong, Yun ; Qu, BO ; Jiang, Yanhui. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:95:y:2024:i:c:p:111-125.

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2024On the transmission mechanism between the inventory arbitrage activity, speculative activity and the commodity price under the US QE policy: Evidence from a TVP-VAR model. (2024). Alexiou, Constantinos ; Yao, Wei. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:1054-1072.

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2024Liquidity and realized volatility prediction in Chinese stock market: A time-varying transitional dynamic perspective. (2024). Ma, Feng ; Liu, Jing ; Xu, Yanyan ; Chu, Jielei. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:543-560.

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2024Forecasting stock market realized volatility: The role of investor attention to the price of petroleum products. (2024). Li, Dakai. In: International Review of Economics & Finance. RePEc:eee:reveco:v:90:y:2024:i:c:p:115-122.

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2024Forecasting stock volatility using pseudo-out-of-sample information. (2024). Ge, Futing ; Gong, Xue ; Li, Xiaodan ; Huang, Jingjing. In: International Review of Economics & Finance. RePEc:eee:reveco:v:90:y:2024:i:c:p:123-135.

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2024International commodity market and stock volatility predictability: Evidence from G7 countries. (2024). Ma, Feng ; Wang, Jiqian. In: International Review of Economics & Finance. RePEc:eee:reveco:v:90:y:2024:i:c:p:62-71.

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2024Connectedness between (un)conventional monetary policy and islamic and advanced equity markets: A returns and volatility spillover analysis. (2024). Umar, Zaghum ; Teplova, Tamara ; Phiri, Andrew ; Choi, Sun-Yong. In: International Review of Economics & Finance. RePEc:eee:reveco:v:91:y:2024:i:c:p:348-363.

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2024Volatility forecasting on Chinas oil futures: New evidence from interpretable ensemble boosting trees. (2024). Zhu, Yiying ; Lucey, Brian ; Rao, Haicheng ; Feng, Lingbing. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:1595-1615.

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

Works by Christopher Neely:

Year  ↓Title  ↓Type  ↓Cited  ↓
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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2023Sluggish news reactions: A combinatorial approach for synchronizing stock jumps In: Papers.
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2024Sluggish news reactions: A combinatorial approach for synchronizing stock jumps.(2024) 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.
[Full Text][Citation analysis]		paper3
1996Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper217
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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This paper has nother version. Agregated cites: 217		article
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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2020Supply and demand shifts of shorts before Fed announcements during QE1–QE3.(2020) In: Working Papers.
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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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This paper has nother version. Agregated cites: 28		paper
2019Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book In: Journal of Econometrics.
[Full Text][Citation analysis]		article14
2017Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book.(2017) In: Working Papers.
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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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2017Systematic Cojumps, Market Component Portfolios and Scheduled Macroeconomic Announcements.(2017) In: Working Papers.
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1999Target zones and conditional volatility: The role of realignments In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article31
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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2002The temporal pattern of trading rule returns and central bank intervention: intervention does not generate technical trading rule profits.(2002) In: Working Papers.
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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.
[Full Text][Citation analysis]		article20
2004Forecasting foreign exchange volatility: why is implied volatility biased and inefficient? and does it matter?.(2004) In: Working Papers.
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2007Can Markov switching models predict excess foreign exchange returns? In: Journal of Banking & Finance.
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2006Can Markov switching models predict excess foreign exchange returns?.(2006) In: Working Papers.
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2008Information shares in the US Treasury market In: Journal of Banking & Finance.
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2007Information shares in the U.S. treasury market.(2007) In: Working Papers.
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2013Lessons from the evolution of foreign exchange trading strategies In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article34
2011Lessons from the evolution of foreign exchange trading strategies.(2011) In: Working Papers.
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This paper has nother version. Agregated cites: 34		paper
2015Unconventional monetary policy had large international effects In: Journal of Banking & Finance.
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2010The large scale asset purchases had large international effects.(2010) In: Working Papers.
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This paper has nother version. Agregated cites: 459		paper
2015Which continuous-time model is most appropriate for exchange rates? In: Journal of Banking & Finance.
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2013Which continuous-time model is most appropriate for exchange rates?.(2013) In: Working Papers.
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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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2020Can risk explain the profitability of technical trading in currency markets?.(2020) In: Working Papers.
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2022How persistent are unconventional monetary policy effects? In: Journal of International Money and Finance.
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2016How Persistent Are Unconventional Monetary Policy Effects?.(2016) In: Working Papers.
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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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2000Technical analysis and central bank intervention.(2000) In: Working Papers.
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2003Intraday technical trading in the foreign exchange market In: Journal of International Money and Finance.
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2001Intraday technical trading in the foreign exchange market.(2001) In: Working Papers.
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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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2012Econometric modeling of exchange rate volatility and jumps.(2012) In: Working Papers.
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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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2023The Rise and Fall of M2 In: Economic Synopses.
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2023The FDIC Studies “Options for Deposit Insurance Reform” In: Economic Synopses.
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2023Modeling Professional Recession Forecasts In: Economic Synopses.
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2024Why Have a Strategic Petroleum Reserve? In: Economic Synopses.
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2010\\How central should the central bank be?\\ a comment 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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2001September 11, 2001 In: Monetary Trends.
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2002How expensive are stocks? In: Monetary Trends.
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2003Bond market mania In: Monetary Trends.
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2007Chinas strategic petroleum reserve: a drop in the bucket In: National Economic Trends.
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2022Why Price Controls Should Stay in the History Books In: The Regional Economist.
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2022How Do Economists Think about the Environment and Climate Change? In: The Regional Economist.
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2023Interest Rate Risk, Bank Runs and Silicon Valley Bank In: The Regional Economist.
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2023Systemic Financial Risks, Macroprudential Tools and Monetary Policy In: The Regional Economist.
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2002The Fed responds to Sept. 11 attacks In: The Regional Economist.
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2004Miscommunication shook up mortgage, bond markets In: The Regional Economist.
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2007Asian nations driving world oil prices In: The Regional Economist.
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2007Why do gasoline prices react to things that have not happened? In: The Regional Economist.
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2014The evolution of Federal Reserve policy and the impact of monetary policy surprises on asset prices In: Review.
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2015Common Fluctuations in OECD Budget Balances In: Review.
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2009Common fluctuations in OECD budget balances.(2009) In: Working Papers.
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2017Chinese Foreign Exchange Reserves, Policy Choices, and the U.S. Economy In: Review.
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2017Chinese Foreign Exchange Reserves, Policy Choices and the U.S. Economy.(2017) In: Working Papers.
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2020Responses of International Central Banks to the COVID-19 Crisis In: Review.
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2021More Stories of Unconventional Monetary Policy In: Review.
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2020More Stories of Unconventional Monetary Policy.(2020) In: Working Papers.
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2022Financial Market Reactions to the Russian Invasion of Ukraine In: Review.
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2022Financial market reactions to the Russian invasion of Ukraine.(2022) In: Working Papers.
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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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2002How well do monetary fundamentals forecast exchange rates? In: Review.
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2002How well do monetary fundamentals forecast exchange rates?.(2002) In: Working Papers.
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2004The Federal Reserve responds to crises: September 11th was not the first In: Review.
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2003The Federal Reserve responds to crises: September 11th was not the first.(2003) In: Working Papers.
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2005Using implied volatility to measure uncertainty about interest rates In: Review.
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2005An analysis of recent studies of the effect of foreign exchange intervention In: Review.
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2005An analysis of recent studies of the effect of foreign exchange intervention.(2005) In: Working Papers.
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2006The transition to electronic communications networks in the secondary treasury market In: Review.
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2006What are the odds? option-based forecasts of FOMC target changes In: Review.
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2008Real interest rate persistence: evidence and implications In: Review.
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2008Real interest rate persistence: evidence and implications.(2008) In: Working Papers.
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2009Systemic risk and the financial crisis: a primer In: Review.
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2010A survey of announcement effects on foreign exchange returns In: Review.
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2011A foreign exchange intervention in an era of restraint 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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1998Endogenous realignments and the sustainability of a target In: Working Papers.
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1994A reconsideration of the properties of the generalized method moments in asset pricing models In: Working Papers.
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1994Realignments of target zone exchange systems: what do we know? In: Working Papers.
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1999Risk aversion vs. intertemporal substitution: identification failure in the intertemporal consumption CAPM In: Working Papers.
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1998Risk Aversion vs. Intertemporal Substitution: Identification Failure in the Intertemporal Consumption CAPM.(1998) In: Working Papers.
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1995Testing asset pricing models with Euler equations: its worse than you think In: Working Papers.
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2001Predicting exchange rate volatility: genetic programming vs. GARCH and RiskMetrics In: Working Papers.
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2004Implied volatility from options on gold futures: do statistical forecasts add value or simply paint the lilly? In: Working Papers.
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2005Year-end seasonality in one-month LIBOR derivatives In: Working Papers.
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2005The case for foreign exchange intervention: the government as an active reserve manager In: Working Papers.
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2006Identifying the effects of U.S. intervention on the levels of exchange rates In: Working Papers.
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2007Central bank intervention and exchange rate volatility, its continuous and jump components In: Working Papers.
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2007Central bank intervention and exchange rate volatility, its continuous and jump components.(2007) In: International Journal of Finance & Economics.
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2007Central Bank intervention and exchange rate volatility: its continuous and jump components.(2007) In: ULB Institutional Repository.
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2008The dynamic interaction of order flows and the CAD/USD exchange rate In: Working Papers.
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2008Is inflation an international phenomenon? In: Working Papers.
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2010Out-of-sample equity premium prediction: economic fundamentals vs. moving-average rules In: Working Papers.
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2014Forecasting the Equity Risk Premium: The Role of Technical Indicators.(2014) In: Management Science.
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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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2024Unconventional Monetary Policy and the Behavior of Shorts.(2024) In: Journal of Money, Credit and Banking.
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2024Mind Your Language: Market Responses to Central Bank Speeches In: Working Papers.
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2023Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications In: Working Papers.
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2025The economic effects of a potential armed conflict over Taiwan 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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2008Optimal discrete hedging in the Heston Stochastic Volatility Model In: Working Paper Series.
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