Serena Ng : Citation Profile

Are you Serena Ng?

Columbia University

33

H index

52

i10 index

7294

Citations

RESEARCH PRODUCTION:

67

Articles

89

Papers

2

Chapters

RESEARCH ACTIVITY:

   26 years (1991 - 2017). See details.
   Cites by year: 280
   Journals where Serena Ng has often published
   Relations with other researchers
   Recent citing documents: 684.    Total self citations: 35 (0.48 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

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   Updated: 2018-06-16    RAS profile: 2018-05-31    
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Relations with other researchers

Works with:

Gospodinov, Nikolay (5)

Ludvigson, Sydney (4)

Ma, Sai (2)

Bai, Jushan (2)

McCracken, Michael (2)

Gorodnichenko, Yuriy (2)

Komunjer, Ivana (2)

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

Is cited by:

GUPTA, RANGAN (162)

Marcellino, Massimiliano (135)

Shahbaz, Muhammad (94)

Forni, Mario (91)

Lippi, Marco (71)

Pesaran, M (66)

Westerlund, Joakim (65)

Eickmeier, Sandra (64)

Hallin, Marc (64)

Byrne, Joseph (63)

Carrion-i-Silvestre, Josep (61)

Cites to:

Watson, Mark (56)

Bai, Jushan (49)

Stock, James (44)

Reichlin, Lucrezia (43)

Forni, Mario (38)

Perron, Pierre (37)

Lippi, Marco (35)

Phillips, Peter (31)

Hallin, Marc (30)

Diebold, Francis (22)

Campbell, John (21)

Main data

Where Serena Ng has published?

Journals with more than one article published# docs
Journal of Econometrics10
Journal of Business & Economic Statistics8
The Review of Economics and Statistics5
Econometric Theory5
Econometrica5
Journal of Applied Econometrics3
Journal of Business & Economic Statistics2
Econometrics Journal2
Econometric Reviews2
Annals of Economics and Finance2
Journal of Monetary Economics2
Journal of Economic Dynamics and Control2

Working Papers Series with more than one paper published# docs
Boston College Working Papers in Economics / Boston College Department of Economics18
Economics Working Paper Archive / The Johns Hopkins University,Department of Economics4
Econometric Society World Congress 2000 Contributed Papers / Econometric Society2
Papers / arXiv.org2
FRB Atlanta Working Paper / Federal Reserve Bank of Atlanta2

Recent works citing Serena Ng (2018 and 2017)

YearTitle of citing document
2018The Risk Premia Embedded in Index Options. (2018). Andersen, Torben G ; Todorov, Viktor ; Fusari, Nicola. In: CREATES Research Papers. RePEc:aah:create:2018-07.

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2017Improving Forecast Accuracy of Financial Vulnerability: PLS Factor Model Approach. (2017). Kim, Hyeongwoo ; Ko, Kyunghwan . In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2017-03.

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2017The Determinants of the Benchmark Interest Rates in China: A Discrete Choice Model Approach. (2017). Kim, Hyeongwoo ; Shi, Wen . In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2017-04.

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

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2018London Calling: Nonlinear Mean Reversion across National Stock Markets. (2018). Kim, Hyeongwoo. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2018-01.

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2017Trade Uncertainty and Income Inequality. (2017). Vespignani, Joaquin ; Brückner, Markus ; Brueckner, Markus. In: ANU Working Papers in Economics and Econometrics. RePEc:acb:cbeeco:2017-648.

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

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2017Fundamental and Financial Influences on the Co-movement of Oil and Gas Prices. (2017). Sévi, Benoît ; Chevallier, Julien ; Sevi, Benoit ; Derek, Julien Chevallier . In: The Energy Journal. RePEc:aen:journl:ej38-2-bunn.

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2017The Role of Continuous Intraday Electricity Markets: The Integration of Large-Share Wind Power Generation in Denmark. (2017). Karanfil, Fatih ; Li, Yuanjing . In: The Energy Journal. RePEc:aen:journl:ej38-2-li.

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2017The Role of Property Rights in the Relationship between Openness to International Capital Flows and Economic Growth in Sub-Saharan Africa Countries: An Estimate from Non-Stationary Panel Data. (2017). Coulibaly, Sionfou Seydou ; Gakpa, Lewis Landry. In: Research Papers. RePEc:aer:rpaper:rp_320.

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2017Financial liberalization and long-run stability of money demand in Nigeria. (2017). Folarin, Oludele ; Asongu, Simplice. In: Working Papers. RePEc:agd:wpaper:17/018.

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2017The Role of Openness in the Effect of ICT on Governance. (2017). Nwachukwu, Jacinta ; Asongu, Simplice. In: Working Papers. RePEc:agd:wpaper:17/050.

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2017The effects of real exchange rates and income on the trade balance: A second generation panel data analysis for transition economies and Turkey. (2017). Sezer, Sevgi . In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxiv:y:2017:i:2(611):p:171-186.

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2017The Impact of Monetary Policy on Agricultural Price Index in China: A FAVAR Approach. (2017). Paudel, Krishna ; Tan, Ying ; Sha, Wenbiao . In: 2017 Annual Meeting, February 4-7, 2017, Mobile, Alabama. RePEc:ags:saea17:252676.

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2017Measuring the value of housing services in household surveys: an application of machine learning approach. (2017). Embaye, Weldensie T ; Zereyesus, Yacob A. In: 2017 Annual Meeting, February 4-7, 2017, Mobile, Alabama. RePEc:ags:saea17:252851.

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2018EFFECT OF THE COMMUNICATION AND CLARITY OF THE FISCAL Serena NgITY ON MARKET EXPECTATIONS: EVIDENCE FROM THE BRAZILIAN ECONOMY. (2018). Nicolay, Rodolfo ; de Mendonça, Helder ; da Fonseca, Rodolfo Tomas ; de Mendona, Helder Ferreira ; deMendona, Helder Ferreira . In: Anais do XLIV Encontro Nacional de Economia [Proceedings of the 44th Brazilian Economics Meeting]. RePEc:anp:en2016:65.

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2017“Unbiased estimation of autoregressive models forbounded stochastic processes. (2017). Gadea, María ; Carrion-i-Silvestre, Josep ; Montaes, Antonio. In: AQR Working Papers. RePEc:aqr:wpaper:201710.

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2018“A geometric approach to proxy economic uncertainty by a metric of disagreement among qualitative expectations”. (2018). Claveria, Oscar ; Torra, Salvador ; Monte, Enric. In: AQR Working Papers. RePEc:aqr:wpaper:201803.

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2018Predictability between the Number of Foreign Direct Investment Contracts and Actually Utilized Foreign Direct Investment in China. (2018). Li, Chen. In: Business, Management and Economics Research. RePEc:arp:bmerar:2018:p:15-19.

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2017Trend Changes in Stock Prices of Petrochemical Firms in the A-Share Market, China. (2017). Zou, Gao Lu . In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2017:p:149-156.

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2018Differences Between Prices of Goods and Services in China. (2018). Zou, Gao Lu . In: The Journal of Social Sciences Research. RePEc:arp:tjssrr:2018:p:24-27.

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2017Measuring the frequency dynamics of financial connectedness and systemic risk. (2017). Krehlik, Tomas ; Baruník, Jozef. In: Papers. RePEc:arx:papers:1507.01729.

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2017Statistical Risk Models. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1602.08070.

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2017Statistical Industry Classification. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1607.04883.

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2017Optimal Shrinkage Estimator for High-Dimensional Mean Vector. (2017). Parolya, Nestor ; Bodnar, Taras ; Okhrin, Ostap. In: Papers. RePEc:arx:papers:1610.09292.

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2017Random matrix approach to estimation of high-dimensional factor models. (2017). Yeo, Joongyeub ; Papanicolaou, George . In: Papers. RePEc:arx:papers:1611.05571.

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2017A diagnostic criterion for approximate factor structure. (2017). Scaillet, Olivier ; Gagliardini, Patrick ; Ossola, Elisa . In: Papers. RePEc:arx:papers:1612.04990.

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2017*K-means and Cluster Models for Cancer Signatures. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1703.00703.

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2017Investing for the Long Run. (2017). Platen, Eckhard ; Leisen, Dietmar . In: Papers. RePEc:arx:papers:1705.03929.

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2017Market Efficiency and Growth Optimal Portfolio. (2017). Platen, Eckhard ; Rendek, Renata . In: Papers. RePEc:arx:papers:1706.06832.

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2018Sequential testing for structural stability in approximate factor models. (2018). Barigozzi, Matteo ; Trapani, Lorenzo. In: Papers. RePEc:arx:papers:1708.02786.

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2017A Unified Approach on the Local Power of Panel Unit Root Tests. (2017). Liang, Zhongwen. In: Papers. RePEc:arx:papers:1710.02944.

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2017Uniform Inference for Conditional Factor Models with Instrumental and Idiosyncratic Betas. (2017). Yang, Xiye ; Liao, Yuan. In: Papers. RePEc:arx:papers:1711.04392.

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2018Implications of Macroeconomic Volatility in the Euro Area. (2018). Zens, Gregor ; Pfarrhofer, Michael ; Stelzer, Anna ; Bock, Maximilian ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:1801.02925.

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2018Heterogeneous structural breaks in panel data models. (2018). Okui, Ryo ; Wang, Wendun. In: Papers. RePEc:arx:papers:1801.04672.

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2018Panel Data Quantile Regression with Grouped Fixed Effects. (2018). Gu, Jiaying ; Volgushev, Stanislav. In: Papers. RePEc:arx:papers:1801.05041.

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2018Large-Scale Dynamic Predictive Regressions. (2018). Bianchi, Daniele ; McAlinn, Kenichiro. In: Papers. RePEc:arx:papers:1803.06738.

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2018Re-Examining the Mean Reversion of Inflation Rate in ECOWAS. (2018). Guy, Drama Bedi. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2018:p:653-668.

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2017Effects of Macroeconomic Uncertainty and Labor Demand Shocks on the Housing Market. (2017). Lee, Gabriel ; Strobel, Johannes ; Thanh, Binh Nguyen. In: Working Papers. RePEc:bav:wpaper:170_leenguyenthanhstrobel.

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2017Global Real Activity for Canadian Exports: GRACE. (2017). de Munnik, Daniel ; Chernis, Tony ; Binette, Andre . In: Discussion Papers. RePEc:bca:bocadp:17-2.

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2017A Three-Frequency Dynamic Factor Model for Nowcasting Canadian Provincial GDP Growth. (2017). Chernis, Tony ; Velasco, Gabriella ; Cheung, Calista . In: Discussion Papers. RePEc:bca:bocadp:17-8.

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2017Markov-Switching Three-Pass Regression Filter. (2017). Marcellino, Massimiliano ; Leiva-Leon, Danilo ; Guérin, Pierre ; Guerin, Pierre . In: Staff Working Papers. RePEc:bca:bocawp:17-13.

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2018The (Un)Demand for Money in Canada. (2018). Dunbar, Geoffrey ; Jones, Casey. In: Staff Working Papers. RePEc:bca:bocawp:18-20.

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2017Systemic Financial Sector and Sovereign Risks. (2017). Jin, Xisong ; de Simone, Francisco Nadal . In: BCL working papers. RePEc:bcl:bclwop:bclwp109.

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2018How much does book value data tell us about systemic risk and its interactions with the macroeconomy? A Luxembourg empirical evaluation. (2018). Jin, Xisong . In: BCL working papers. RePEc:bcl:bclwop:bclwp118.

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

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2017Markov-switching three-pass regression filter. (2017). Marcellino, Massimiliano ; Leiva-Leon, Danilo ; Guérin, Pierre. In: Working Papers. RePEc:bde:wpaper:1748.

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2017Optimal density forecast combinations. (2017). Ganics, Gergely. In: Working Papers. RePEc:bde:wpaper:1751.

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2018Bank lending standards over the cycle: the role of firms’ productivity and credit risk. (2018). Jimenez, Gabriel ; Vegas, Raquel ; Moral-Benito, Enrique . In: Working Papers. RePEc:bde:wpaper:1811.

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2017Using the payment system data to forecast the Italian GDP. (2017). Monteforte, Libero ; Aprigliano, Valentina ; Ardizzi, Guerino . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1098_17.

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2017Large time-varying parameter VARs: a non-parametric approach. (2017). Venditti, Fabrizio ; Marcellino, Massimiliano ; Kapetanios, George. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1122_17.

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2017Fiscal policy uncertainty and the business cycle: time series evidence from Italy. (2017). Tommasino, Pietro ; Anzuini, Alessio ; Rossi, Luca . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1151_17.

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2018The global component of inflation volatility. (2018). Marcellino, Massimiliano ; Carriero, Andrea ; Corsello, Francesco. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1170_18.

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2017Identifying Dornbuschs Exchange Rate Overshooting with Structural VECs: Evidence from Mexico. (2017). Hernandez, Juan ; Chiquiar, Daniel ; Capistrán, Carlos ; Juan, Hernandez ; Daniel, Chiquiar ; Carlos, Capistran . In: Working Papers. RePEc:bdm:wpaper:2017-11.

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2017Are daily financial data useful for forecasting GDP? Evidence from Mexico. (2017). Ibarra, Raul ; Luis, Gomez-Zamudio. In: Working Papers. RePEc:bdm:wpaper:2017-17.

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2017Propagación de la incertidumbre y reacciones de política. (2017). Claeys, Peter. In: Ensayos sobre Política Económica. RePEc:bdr:ensayo:v:35:y:2017:i:82:p:31-45.

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2017Uncertainty spillover and policy reactions. (2017). Claeys, Peter. In: Ensayos sobre Política Económica. RePEc:bdr:ensayo:v:35:y:2017:i:82:p:64-77.

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2017Subjective Interest Rate Uncertainty and the Macroeconomy: A Cross-country Analysis.. (2017). Mouabbi, Sarah ; Istrefi, Klodiana. In: Working papers. RePEc:bfr:banfra:619.

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

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2017Common Factors of Commodity Prices. (2017). Giannone, Domenico ; Ferrara, Laurent ; Delle Chiaie, Simona. In: Working papers. RePEc:bfr:banfra:645.

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2017Subjective interest rate uncertainty and the macroeconomy : a cross-country analysis. (2017). Mouabbi, Sarah ; Istrefi, Klodiana. In: Rue de la Banque. RePEc:bfr:rueban:2017:48.

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2018Frontiers of macrofinancial linkages. (2018). Claessens, Stijn ; Kose, Ayhan M. In: BIS Papers. RePEc:bis:bisbps:95.

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2017Oil, equities, and the zero lower bound. (2017). Vigfusson, Robert ; Kwon, Hannah ; Johannsen, Benjamin K ; Datta, Deepa . In: BIS Working Papers. RePEc:bis:biswps:617.

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2017The Impact of Oil Price on South African GDP Growth: A Bayesian Markov Switching-VAR Analysis. (2017). GUPTA, RANGAN ; Balcilar, Mehmet ; Uwilingiye, Josine ; van Eyden, Renee. In: African Development Review. RePEc:bla:afrdev:v:29:y:2017:i:2:p:319-336.

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2017Spatial price premium transmission for Meat Standards Australia-graded cattle: the vulnerability of price premiums to outside shocks. (2017). Stuen, Eric ; Morales, L. Emilio ; Hoang, Nam . In: Australian Journal of Agricultural and Resource Economics. RePEc:bla:ajarec:v:61:y:2017:i:4:p:590-609.

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2017Does Institutional Quality Matter for Financial Development and Growth? Further Evidence from MENA Countries. (2017). Kutan, Ali M ; Sohag, Kazi ; Samargandi, Nahla. In: Australian Economic Papers. RePEc:bla:ausecp:v:56:y:2017:i:3:p:228-248.

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2017Policy Uncertainty from a Central Bank Perspective. (2017). McDermott, Christopher. In: Australian Economic Review. RePEc:bla:ausecr:v:50:y:2017:i:1:p:103-106.

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2017A Short Review of the Recent Literature on Uncertainty. (2017). Lim, Guay ; Castelnuovo, Efrem ; Pellegrino, Giovanni. In: Australian Economic Review. RePEc:bla:ausecr:v:50:y:2017:i:1:p:68-78.

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2017DIMENSIONS OF MACROECONOMIC UNCERTAINTY: A COMMON FACTOR ANALYSIS. (2017). Henzel, Steffen ; Rengel, Malte . In: Economic Inquiry. RePEc:bla:ecinqu:v:55:y:2017:i:2:p:843-877.

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2017THE EFFECT OF MINIMUM WAGES ON EMPLOYMENT: A FACTOR MODEL APPROACH. (2017). Totty, Evan. In: Economic Inquiry. RePEc:bla:ecinqu:v:55:y:2017:i:4:p:1712-1737.

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2017Productivity and Convergence in European Agriculture. (2017). Fertő, Imre ; Baráth, Lajos ; Barath, Lajos. In: Journal of Agricultural Economics. RePEc:bla:jageco:v:68:y:2017:i:1:p:228-248.

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2017On estimation of the noise variance in high dimensional probabilistic principal component analysis. (2017). Passemier, Damien ; Yao, Jianfeng ; Li, Zhaoyuan . In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:79:y:2017:i:1:p:51-67.

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2017A network analysis of the volatility of high dimensional financial series. (2017). Hallin, Marc ; Barigozzi, Matteo. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:66:y:2017:i:3:p:581-605.

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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference. (2017). Milidonis, Andreas ; Lin, Yijia ; Biffis, Enrico ; Morales, Marco ; Blake, David. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:s1:p:515-532.

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2017A Lagrange Multiplier-Type Test for Idiosyncratic Unit Roots in the Exact Factor Model. (2017). Solberger, Martin ; Zhou, Xingwu. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:1:p:22-50.

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2017Factor Modelling for High-Dimensional Time Series: Inference and Model Selection. (2017). Rao, Tata Subba ; Yau, Chun Yip ; Lu, YE ; Chan, Ngai Hang ; Wilson, Granville Tunnicliffe. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:2:p:285-307.

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2017Oracle M-Estimation for Time Series Models. (2017). Giurcanu, Mihai C. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:3:p:479-504.

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2017Testing for Panel Cointegration Using Common Correlated Effects Estimators. (2017). Carrion-i-Silvestre, Josep ; Banerjee, Anindya. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:4:p:610-636.

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2017Unit Root Tests and Heavy-Tailed Innovations. (2017). Taylor, Robert ; Rodrigues, Paulo ; Robert, A M ; Georgiev, Iliyan ; Zorita, Eduardo ; Perron, Pierre. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:5:p:733-768.

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2017The Effects of Inter-Generational Transfers on the Marital Surplus. (2017). Molina, José Alberto ; MARCÉN, MIRIAM ; Marcen, Miriam ; Andaluz, Joaquin. In: Manchester School. RePEc:bla:manchs:v:85:y:2017:i:3:p:320-338.

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2017A Factor Analytical Approach to Price Discovery. (2017). , Joakimwesterlund ; Narayan, Paresh ; Reese, Simon ; Westerlund, Joakim. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:79:y:2017:i:3:p:366-394.

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2017Assessing Market Integration in ASEAN with Retail Price Data. (2017). , Vinh ; Yang, YU. In: Pacific Economic Review. RePEc:bla:pacecr:v:22:y:2017:i:4:p:510-532.

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2017World Productivity Growth: A Model Averaging Approach. (2017). Duygun, Meryem ; Sickles, Robin C ; Isaksson, Anders ; Hao, Jiaqi . In: Pacific Economic Review. RePEc:bla:pacecr:v:22:y:2017:i:4:p:587-619.

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2017A long-run analysis of push and pull factors of internal migration in Italy. Estimation of a gravity model with human capital using homogeneous and heterogeneous approaches. (2017). Piras, Romano. In: Papers in Regional Science. RePEc:bla:presci:v:96:y:2017:i:3:p:571-602.

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2017Dissecting Exchange Rates and Fundamentals in the Modern Floating Era: The Role of Permanent and Transitory Shocks. (2017). Chou, Yu-Hsi. In: Review of International Economics. RePEc:bla:reviec:v:25:y:2017:i:1:p:165-194.

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2017Effective Exchange Rates, Current Accounts and Global Imbalances. (2017). Czudaj, Robert ; Beckmann, Joscha. In: Review of International Economics. RePEc:bla:reviec:v:25:y:2017:i:3:p:500-533.

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2017Transmission of Chinas Shocks to the BRIS Countries. (2017). Kabundi, Alain ; Çakır, Mustafa ; Akir, Mustafa . In: South African Journal of Economics. RePEc:bla:sajeco:v:85:y:2017:i:3:p:430-454.

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2017How Do the Trans-Pacific Economies Affect the USA? An Industrial Sector Approach. (2017). Yagihashi, Takeshi ; Selover, David D. In: The World Economy. RePEc:bla:worlde:v:40:y:2017:i:10:p:2097-2124.

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2017RESPONSES OF TERM STRUCTURE OF INTEREST RATES AND ASSET PRICES TO MONETARY POLICY SHOCKS: EVIDENCE FROM TURKEY. (2017). Eroglu, Burak ; Yildirim-Karaman, Secil. In: Working Papers. RePEc:bli:wpaper:1705.

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2018The global financial cycle, bank capital flows and monetary policy. Evidence from Norway. (2018). Alstadheim, Ragna ; Blandhol, Christine. In: Working Paper. RePEc:bno:worpap:2018_02.

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2017Components of Uncertainty. (2017). Larsen, Vegard. In: Working Papers. RePEc:bny:wpaper:0053.

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2018Business cycle narratives. (2018). Thorsrud, Leif ; Larsen, Vegard. In: Working Papers. RePEc:bny:wpaper:0064.

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2017Do macro shocks matter for equities?. (2017). Theodoridis, Konstantinos ; Dison, Will . In: Bank of England working papers. RePEc:boe:boeewp:0692.

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2017Mapping China’s time-varying house price landscape. (2017). Leiva-Leon, Danilo ; Funke, Michael ; Tsang, Andrew. In: BOFIT Discussion Papers. RePEc:bof:bofitp:2017_021.

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2018Developing an underlying inflation gauge for China. (2018). Amstad, Marlene ; Ma, Guonan ; Ye, Huan. In: BOFIT Discussion Papers. RePEc:bof:bofitp:2018_011.

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2017The real effects of overconfidence and fundamental uncertainty shocks. (2017). Ambrocio, Gene. In: Research Discussion Papers. RePEc:bof:bofrdp:037.

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2017Forecasting the equity risk premium with frequency-decomposed predictors. (2017). Verona, Fabio ; Faria, Gonçalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2017_001.

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2017Uncertainty across volatility regimes. (2017). Fanelli, Luca ; Caggiano, Giovanni ; Bacchiocchi, Emanuele ; Angelini, Giovanni. In: Research Discussion Papers. RePEc:bof:bofrdp:2017_035.

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2017The real effects of overconfidence and fundamental uncertainty shocks. (2017). Ambrocio, Gene . In: Research Discussion Papers. RePEc:bof:bofrdp:2017_037.

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2017Current account dynamics and the real exchange rate: disentangling the evidence. (2017). Leon-Ledesma, Miguel ; Karadimitropoulou, Aikaterini ; Bussiere, Matthieu. In: Working Papers. RePEc:bog:wpaper:239.

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2017Improving Forecast Accuracy of Financial Vulnerability: Partial Least Squares Factor Model Approach. (2017). Kim, Hyeongwoo ; Ko, Kyunghwan . In: Working Papers. RePEc:bok:wpaper:1714.

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

Works by Serena Ng:

YearTitleTypeCited
2015Measuring Uncertainty In: American Economic Review.
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2013Measuring Uncertainty.(2013) In: NBER Working Papers.
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2013Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling In: Journal of Economic Literature.
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2013Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling.(2013) In: NBER Working Papers.
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2017The ABC of Simulation Estimation with Auxiliary Statistics In: Papers.
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2017Principal Components and Regularized Estimation of Factor Models In: Papers.
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2005Tests for Skewness, Kurtosis, and Normality for Time Series Data In: Journal of Business & Economic Statistics.
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2001Tests for Skewness, Kurtosis, and Normality for Time Series Data.(2001) In: Boston College Working Papers in Economics.
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2006Testing Cross-Section Correlation in Panel Data Using Spacings In: Journal of Business & Economic Statistics.
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2007Editors Report 2006 In: Journal of Business & Economic Statistics.
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2007Determining the Number of Primitive Shocks in Factor Models In: Journal of Business & Economic Statistics.
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2008A Simple Test for Nonstationarity in Mixed Panels In: Journal of Business & Economic Statistics.
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2008Editors Report 2007 In: Journal of Business & Economic Statistics.
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2009Editors Report 2008 In: Journal of Business & Economic Statistics.
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2010Editors’ Report 2009 In: Journal of Business & Economic Statistics.
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2005A Note on the Selection of Time Series Models In: Oxford Bulletin of Economics and Statistics.
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2001A Note on the Selection of Time Series Models.(2001) In: Boston College Working Papers in Economics.
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1997Accounting for Trends in the Almost Ideal Demand System In: Boston College Working Papers in Economics.
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2000Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power In: Boston College Working Papers in Economics.
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2001LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power.(2001) In: Econometrica.
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1998Testing for ARCH in the Presence of a Possibly Misspecified Conditional Mean In: Boston College Working Papers in Economics.
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1999Testing for ARCH in the presence of a possibly misspecified conditional mean.(1999) In: Journal of Econometrics.
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1997Estimating the Rational Expectations Model of Speculative Storage: A Monte Carlo Comparison of Three Simulation Estimators In: Boston College Working Papers in Economics.
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2000Estimating the rational expectations model of speculative storage: A Monte Carlo comparison of three simulation estimators.(2000) In: Journal of Econometrics.
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2000Estimating the rational expectations model of speculative storage : a Monte Carlo comparison of three simulation estimators.(2000) In: LSE Research Online Documents on Economics.
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1997Explaining the Persistence of Commodity Prices In: Boston College Working Papers in Economics.
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2000Explaining the Persistence of Commodity Prices.(2000) In: Computational Economics.
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1997Explaining the Persistence of Commodity Prices.(1997) In: Cahiers de recherche.
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1997Parametric and non-parametric approaches to price and tax reform In: Boston College Working Papers in Economics.
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1996Parametric and Nonparametric Approaches to Price and Tax Reform..(1996) In: Cahiers de recherche.
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1996Parametric and Nonparametric Approaches to Price and Tax Reform..(1996) In: Cahiers de recherche.
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1996Parametric and Non-Parametric Approaches to Price and Tax Reform.(1996) In: NBER Working Papers.
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1997Analysis of Vector Autoregressions in the Presence of Shifts in Mean In: Boston College Working Papers in Economics.
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2002ANALYSIS OF VECTOR AUTOREGRESSIONS IN THE PRESENCE OF SHIFTS IN MEAN.(2002) In: Econometric Reviews.
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1997How Important are Intergenerational Transfers of Time? A Macroeconomic Analysis In: Boston College Working Papers in Economics.
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2000How Important Are Intergenerational Transfers of Time? a Macroeconomic Analysis..(2000) In: Cahiers de recherche.
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2000How Important Are Intergenerational Transfers of Time? A Macroeconomic Analysis..(2000) In: Cahiers de recherche.
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1998A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure In: Boston College Working Papers in Economics.
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1997A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure.(1997) In: CIRANO Working Papers.
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1998A Semiparametric Factor Model Of Interest Rates And Tests Of The Affine Term Structure.(1998) In: The Review of Economics and Statistics.
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1998A Test for Conditional Symmetry in Time Series Models In: Boston College Working Papers in Economics.
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2000Determining the Number of Factors in Approximate Factor Models In: Boston College Working Papers in Economics.
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2002Determining the Number of Factors in Approximate Factor Models.(2002) In: Econometrica.
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2000Determining the Number of Factors in Approximate Factor Models.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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2002Demand Systems With Nonstationary Prices In: Boston College Working Papers in Economics.
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2005Demand Systems with Nonstationary Prices.(2005) In: The Review of Economics and Statistics.
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1999Forecasting Dynamic Time Series in the Presence of Deterministic Components In: Boston College Working Papers in Economics.
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2000Intergenerational Linkages in Consumption Behavior In: Boston College Working Papers in Economics.
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2000Intergenerational Linkages in Consumption Behavior.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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2004Intergenerational Linkages in Consumption Behavior.(2004) In: Journal of Human Resources.
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2001A New Look at Panel Testing of Stationarity and the PPP Hypothesis In: Boston College Working Papers in Economics.
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2001A New Look at Panel Testing of Stationarity and the PPP Hypothesis.(2001) In: Economics Working Paper Archive.
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2001A PANIC Attack on Unit Roots and Cointegration In: Boston College Working Papers in Economics.
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2004A PANIC Attack on Unit Roots and Cointegration.(2004) In: Econometrica.
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2001A Panic Attack on Unit Roots and Cointegration.(2001) In: Economics Working Paper Archive.
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2007Detecting Information Pooling: Evidence from Earnings Forecasts after Brokerage Mergers In: The B.E. Journal of Economic Analysis & Policy.
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2012Estimation of Panel Data Models with Parameter Heterogeneity when Group Membership is Unknown In: Journal of Econometric Methods.
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2009Selecting Instrumental Variables in a Data Rich Environment In: Journal of Time Series Econometrics.
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1996The Risky Spread, Investment, and Monetary Policy Transmission: Evidence on the Role of Asymmetric Information. In: Carleton Economic Papers.
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1995The Risky Spread, Investment, and Monetary Policy Transmission: Evidence on the Role of Asymmetric Information..(1995) In: Cahiers de recherche.
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1995The Risky Spread, Investment, and Monetary Policy Transmission: Evidence on the Role of Asymmetric Information..(1995) In: Cahiers de recherche.
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1996The Risky Spread, Investment, and Monetary Policy Transmission: Evidence on the Role of Asymmetric Information..(1996) In: The Review of Economics and Statistics.
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1995Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation In: CIRANO Working Papers.
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1997Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation..(1997) In: Journal of Money, Credit and Banking.
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1995Excess Sensitivity and Asymmetries in Consumption: an Empirical Investigation..(1995) In: Cahiers de recherche.
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1995Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation..(1995) In: Cahiers de recherche.
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1996A Semi-Parametric Factor Model for Interest Rates In: CIRANO Working Papers.
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1996A Semi-Parametric Factor Model for Interest Rates..(1996) In: Cahiers de recherche.
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1996A Semi-Parametric Factor Model for Interest Rates..(1996) In: Cahiers de recherche.
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2014Viewpoint: Boosting Recessions In: Canadian Journal of Economics.
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1996A systematic framework for analyzing the dynamic effects of permanent and transitory shocks In: DES - Working Papers. Statistics and Econometrics. WS.
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2001A systematic framework for analyzing the dynamic effects of permanent and transitory shocks.(2001) In: Journal of Economic Dynamics and Control.
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1996A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks..(1996) In: Cahiers de recherche.
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1996A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks..(1996) In: Cahiers de recherche.
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2002PPP May not Hold Afterall: A Further Investigation In: Annals of Economics and Finance.
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2002PPP May not Hold Afterall: A Further Investigation.(2002) In: CEMA Working Papers.
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2001PPP May not Hold After all: A Further Investigation.(2001) In: Economics Working Paper Archive.
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2008Extremum Estimation when the Predictors are Estimated from Large Panels In: Annals of Economics and Finance.
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1998AN AUTOREGRESSIVE SPECTRAL DENSITY ESTIMATOR AT FREQUENCY ZERO FOR NONSTATIONARITY TESTS In: Econometric Theory.
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1996An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests..(1996) In: Cahiers de recherche.
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1996An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests..(1996) In: Cahiers de recherche.
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2010PANEL UNIT ROOT TESTS WITH CROSS-SECTION DEPENDENCE: A FURTHER INVESTIGATION In: Econometric Theory.
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2010INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT In: Econometric Theory.
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2012ESTIMATORS FOR PERSISTENT AND POSSIBLY NONSTATIONARY DATA WITH CLASSICAL PROPERTIES In: Econometric Theory.
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2011Estimators for Persistent and Possibly Non-Stationary Data with Classical Properties.(2011) In: NBER Working Papers.
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2014MEASUREMENT ERRORS IN DYNAMIC MODELS In: Econometric Theory.
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2000Forecasting Autoregressive Time Series in the Presence of Deterministic Components In: Working Papers.
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2002Forecasting autoregressive time series in the presence of deterministic components.(2002) In: Econometrics Journal.
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2006Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions In: Econometrica.
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2011Dynamic Identification of Dynamic Stochastic General Equilibrium Models In: Econometrica.
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2011A hierarchical factor analysis of U.S. housing market dynamics In: Econometrics Journal.
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2011A hierarchical factor analysis of U.S. housing market dynamics.(2011) In: Econometrics Journal.
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1996Looking for evidence of speculative stockholding in commodity markets In: Journal of Economic Dynamics and Control.
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1995Looking for Evidence of Speculative Stockholding in Commodity Markets..(1995) In: Cahiers de recherche.
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1995Looking for Evidence of Speculative Stockholding in Commodity Markets..(1995) In: Cahiers de recherche.
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2013Variable Selection in Predictive Regressions In: Handbook of Economic Forecasting.
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1995Testing for unit roots in flow data sampled at different frequencies In: Economics Letters.
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2001A consistent test for conditional symmetry in time series models In: Journal of Econometrics.
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2006Evaluating latent and observed factors in macroeconomics and finance In: Journal of Econometrics.
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2004Evaluating Latent and Observed Factors in Macroeconomics and Financ.(2004) In: Econometrics.
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2006Are more data always better for factor analysis? In: Journal of Econometrics.
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2003Are More Data Always Better for Factor Analysis?.(2003) In: NBER Working Papers.
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2008Forecasting economic time series using targeted predictors In: Journal of Econometrics.
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2009Panel cointegration with global stochastic trends In: Journal of Econometrics.
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2007Panel Cointegration with Global Stochastic Trends.(2007) In: Center for Policy Research Working Papers.
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2013Principal components estimation and identification of static factors In: Journal of Econometrics.
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2017Simulated minimum distance estimation of dynamic models with errors-in-variables In: Journal of Econometrics.
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1997Estimation and inference in nearly unbalanced nearly cointegrated systems In: Journal of Econometrics.
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1995Estimation and Inference in Nearly Unbalanced, Nearly Cointegrated Systems..(1995) In: Cahiers de recherche.
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1995Estimation and Inference in Nearly Unbalanced, Nearly Cointegrated Systems..(1995) In: Cahiers de recherche.
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2007The empirical risk-return relation: A factor analysis approach In: Journal of Financial Economics.
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2005The Empirical Risk-Return Relation: A Factor Analysis Approach.(2005) In: NBER Working Papers.
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2006The Empirical Risk-Return Relation: a factor analysis approach.(2006) In: 2006 Meeting Papers.
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2003Can sticky prices account for the variations and persistence in real exchange rates? In: Journal of International Money and Finance.
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2001Can Sticky Prices Account for the Variations and Persistence in Real Exchange Rates?.(2001) In: Economics Working Paper Archive.
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2010Estimation of DSGE models when the data are persistent In: Journal of Monetary Economics.
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2009Estimation of DSGE Models When the Data are Persistent.(2009) In: NBER Working Papers.
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2017Level and volatility factors in macroeconomic data In: Journal of Monetary Economics.
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2017Level and Volatility Factors in Macroeconomic Data.(2017) In: NBER Working Papers.
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2016A Likelihood-Free Reverse Sampler of the Posterior Distribution In: Advances in Econometrics.
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2013Minimum distance estimation of possibly non-invertible moving average models In: FRB Atlanta Working Paper.
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2015Minimum Distance Estimation of Possibly Noninvertible Moving Average Models.(2015) In: Journal of Business & Economic Statistics.
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2014Minimum Distance Estimation of Dynamic Models with Errors-In-Variables In: FRB Atlanta Working Paper.
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2015FRED-MD: A Monthly Database for Macroeconomic Research In: Working Papers.
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2016FRED-MD: A Monthly Database for Macroeconomic Research.(2016) In: Journal of Business & Economic Statistics.
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2009Dynamic hierarchical factor models In: Staff Reports.
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2013Dynamic Hierarchical Factor Model.(2013) In: The Review of Economics and Statistics.
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1991Adjustment Costs and Factor Demands in Canadian Manufacturing Industries. In: Laval - Recherche en Energie.
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1991Adjustment Costs and Factor Demands in Canadian Manufacturing Industries..(1991) In: Cahiers de recherche.
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2005Understanding and Comparing Factor-Based Forecasts In: International Journal of Central Banking.
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2005Understanding and Comparing Factor-Based Forecasts.(2005) In: NBER Working Papers.
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2005Understanding and Comparing Factor-Based Forecasts.(2005) In: MPRA Paper.
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1995Testing for Homogeneity in Demand Systems When the Regressors Are Nonstationary. In: Journal of Applied Econometrics.
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1995Testing for Homogeneity in Demand Systems when the Regressors Are Non-Stationary..(1995) In: Cahiers de recherche.
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1995Testing for Homogeneity in Demand Systems when the Regressors Are Non-Stationary..(1995) In: Cahiers de recherche.
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1995Review of Coint 2.0. In: Journal of Applied Econometrics.
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2009Boosting diffusion indices In: Journal of Applied Econometrics.
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1994Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag. In: Cahiers de recherche.
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1994Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag..(1994) In: Cahiers de recherche.
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1994Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties. In: Cahiers de recherche.
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1994Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties..(1994) In: Cahiers de recherche.
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1996Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties.(1996) In: Review of Economic Studies.
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1995The Exact Error in Estimating the Special Density at the Origin. In: Cahiers de recherche.
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1995The Exact Error in Estimating the Special Density at the Origin..(1995) In: Cahiers de recherche.
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1995Nonparametric-two-Step Estimation of Unknown Regression Functions when the Regressors and the Regression Error Are not Independent. In: Cahiers de recherche.
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1995Nonparametric-two-Step Estimation of Unknown Regression Functions when the Regressors and the Regression Error Are not Independent..(1995) In: Cahiers de recherche.
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2005Macro Factors in Bond Risk Premia In: NBER Working Papers.
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2009Macro Factors in Bond Risk Premia.(2009) In: Review of Financial Studies.
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2009A Factor Analysis of Bond Risk Premia In: NBER Working Papers.
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2017Shock Restricted Structural Vector-Autoregressions In: NBER Working Papers.
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2017Opportunities and Challenges: Lessons from Analyzing Terabytes of Scanner Data In: NBER Working Papers.
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2008Large Dimensional Factor Analysis In: Foundations and Trends(R) in Econometrics.
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2003Intergenerational Time Transfers and Childcare In: Review of Economic Dynamics.
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2003Assessing Three Estimators of Latent Factors with Calibrated Macroeconomic Data In: Computing in Economics and Finance 2003.
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2015Constructing Common Factors from Continuous and Categorical Data In: Econometric Reviews.
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2013Commodity Prices, Convenience Yields, and Inflation In: The Review of Economics and Statistics.
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2004Confidence Intervals for Diffusion Index Forecasts with a Large Number of Predictor In: Econometrics.
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