James M. Nason : Citation Profile

Are you James M. Nason?

Australian National University

19

H index

31

i10 index

3402

Citations

RESEARCH PRODUCTION:

29

Articles

65

Papers

1

Chapters

RESEARCH ACTIVITY:

   33 years (1988 - 2021). See details.
   Cites by year: 103
   Journals where James M. Nason has often published
   Relations with other researchers
   Recent citing documents: 183.    Total self citations: 36 (1.05 %)

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   Permalink: http://citec.repec.org/pna12
   Updated: 2024-01-16    RAS profile: 2023-01-02    
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Relations with other researchers

Works with:

Smith, Gregor (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with James M. Nason.

Is cited by:

Clements, Adam (29)

Degiannakis, Stavros (28)

Wen, Yi (28)

Roventini, Andrea (27)

Ravn, Morten (25)

Kano, Takashi (24)

Zhang, Yaojie (22)

GUPTA, RANGAN (21)

Bauwens, Luc (20)

Fagiolo, Giorgio (20)

Aadland, David (19)

Cites to:

Galí, Jordi (21)

Nelson, Charles (20)

Christiano, Lawrence (20)

Cogley, Timothy (20)

Eichenbaum, Martin (19)

Sargent, Thomas (19)

Watson, Mark (19)

Wouters, Raf (18)

Smets, Frank (18)

Campbell, John (17)

Schorfheide, Frank (17)

Main data

Where James M. Nason has published?

Journals with more than one article published# docs
Journal of Econometrics3
Journal of Applied Econometrics3
American Economic Review2
Economics Letters2
Journal of International Economics2

Working Papers Series with more than one paper published# docs
FRB Atlanta Working Paper / Federal Reserve Bank of Atlanta16
Working Papers / Federal Reserve Bank of Philadelphia5
Working Paper / Economics Department, Queen's University5
Working Papers / Duke University, Department of Economics3
International Finance Discussion Papers / Board of Governors of the Federal Reserve System (U.S.)3
Discussion Papers / Graduate School of Economics, Hitotsubashi University2
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)2
Working Papers in Applied Economic Theory / Federal Reserve Bank of San Francisco2

Recent works citing James M. Nason (2024 and 2023)

YearTitle of citing document
2023Entry Decision, the Option to Delay Entry, and Business Cycles. (2023). Vardishvili, ia. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2023-04.

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2023Expectations, self-fulfilling prophecies and the business cycle. (2023). Venditti, Alain ; Nishimura, Kazuo ; Dufourt, Frédéric. In: AMSE Working Papers. RePEc:aim:wpaimx:2234.

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2023Dynamic Adaptive Mixture Models. (2016). Catania, Leopoldo. In: Papers. RePEc:arx:papers:1603.01308.

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2023Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552.

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2023Sparse time-varying parameter VECMs with an application to modeling electricity prices. (2020). Pfarrhofer, Michael ; Hauzenberger, Niko ; Rossini, Luca. In: Papers. RePEc:arx:papers:2011.04577.

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2023Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2023A multivariate semi-parametric portfolio risk optimization and forecasting framework. (2022). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2207.04595.

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2023The Short-Term Predictability of Returns in Order Book Markets: a Deep Learning Perspective. (2022). Veraart, Almut ; Pakkanen, Mikko ; Lucchese, Lorenzo. In: Papers. RePEc:arx:papers:2211.13777.

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2023Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions. (2023). Hecq, Alain ; Wilms, Ines ; Ternes, Marie. In: Papers. RePEc:arx:papers:2301.10592.

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2023Testing Quantile Forecast Optimality. (2023). Pohle, Marc-Oliver ; Gutknecht, Daniel ; Fosten, Jack. In: Papers. RePEc:arx:papers:2302.02747.

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2023Realized recurrent conditional heteroskedasticity model for volatility modelling. (2023). Kohn, Robert ; Tran, Minh-Ngoc ; Wang, Chao ; Liu, Chen. In: Papers. RePEc:arx:papers:2302.08002.

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2023Network log-ARCH models for forecasting stock market volatility. (2023). Otto, Philipp ; Mattera, Raffaele. In: Papers. RePEc:arx:papers:2303.11064.

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2023Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2023). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488.

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2023Precision versus Shrinkage: A Comparative Analysis of Covariance Estimation Methods for Portfolio Allocation. (2023). Jain, Shashi ; Dutta, Sumanjay. In: Papers. RePEc:arx:papers:2305.11298.

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2023Sparsified Simultaneous Confidence Intervals for High-Dimensional Linear Models. (2023). Wang, Peng ; Qin, Yichen ; Zhu, Xiaorui. In: Papers. RePEc:arx:papers:2307.07574.

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2023Graph Neural Networks for Forecasting Multivariate Realized Volatility with Spillover Effects. (2023). Dong, Xiaowen ; Cucuringu, Mihai ; Pu, Xingyue ; Zhang, Chao. In: Papers. RePEc:arx:papers:2308.01419.

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2023Characterizing Correlation Matrices that Admit a Clustered Factor Representation. (2023). Hansen, Peter Reinhard ; Tong, Chen. In: Papers. RePEc:arx:papers:2308.05895.

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2023Inflation Expectations Measurement and its Effect on Inflation Dynamics in Colombia. (2023). Sanchez-Jabba, Andres ; Romero-Torres, Bernardo ; Villabon-Hinestroz, Erick. In: Borradores de Economia. RePEc:bdr:borrec:1257.

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2023Long-term debt propagation and real reversals. (2023). Korinek, Anton ; Juselius, Mikael ; Drehmann, Mathias. In: BIS Working Papers. RePEc:bis:biswps:1098.

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2023Tail risk of coal futures in Chinas market. (2023). Wan, Qing ; Wang, Minglu ; Shen, ZE. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:s2:p:2827-2845.

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2023Extracting business cycles with three filters: A comparative study and application in the case of China. (2023). Li, Naiqian ; Sun, Chentong. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:2:p:254-269.

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2023Predicting stock realized variance based on an asymmetric robust regression approach. (2023). He, Mengxi ; Zhang, Yaojie ; Hao, Xianfeng ; Zhao, Yuqi. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:4:p:1022-1047.

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2023Machine learning advances for time series forecasting. (2023). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:1:p:76-111.

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2023.

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2023The contribution of realized covariance models to the economic value of volatility timing. (2023). Bauwens, Luc ; Xu, Yongdeng. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2023018.

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2023Realized Covariance Models with Time-varying Parameters and Spillover Effects. (2023). Bauwens, Luc ; Otranto, Edoardo. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2023019.

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2023A comparison of high-frequency realized variance measures: Does anything beat ACD(1,1)?. (2023). Wiedemann, Timo ; Segnon, Mawuli ; Schulte-Tillmann, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:10523.

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2023Multi-horizon uniform superior predictive ability revisited: A size-exploiting and consistent test. (2023). Wilfling, Bernd ; Trede, Mark ; Monschang, Verena. In: CQE Working Papers. RePEc:cqe:wpaper:10623.

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2023Data cloning for a threshold asymmetric stochastic volatility model. (2023). Lopes, Maria Helena ; Marin, Juan Miguel. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:36569.

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2023The Long-Run Phillips Curve is ... a Curve. (2023). Bonomolo, Paolo ; Haque, Qazi ; Ascari, Guido. In: Working Papers. RePEc:dnb:dnbwpp:789.

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2023Rational inattention and the business cycle effects of productivity and news shocks. (2023). Maćkowiak, Bartosz ; Wiederholt, Mirko ; Makowiak, Bartosz. In: Working Paper Series. RePEc:ecb:ecbwps:20232827.

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2023Visualization and assessment of model selection uncertainty. (2023). Li, Rong ; Wang, Linna ; Qin, Yichen. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:178:y:2023:i:c:s0167947322001785.

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2023Estimation of heuristic switching in behavioral macroeconomic models. (2023). Sacht, Stephen ; Kukacka, Jiri. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002883.

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2023Monetary policy and the term structure of inflation expectations with information frictions. (2023). McNeil, James. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002913.

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2023Nonparametric tests for market timing ability using daily mutual fund returns. (2023). Peng, Liang ; Liu, Xiaohui ; Jiang, Lei ; Ding, Jing. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:150:y:2023:i:c:s0165188923000416.

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2023Risk transmission of El Niño-induced climate change to regional Green Economy Index. (2023). Wang, LU ; Yu, Sixin ; Li, Yan ; Zhang, LI. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:79:y:2023:i:c:p:860-872.

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2023Are low frequency macroeconomic variables important for high frequency electricity prices?. (2023). Rossini, Luca ; Ravazzolo, Francesco ; Foroni, Claudia. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322003972.

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2023Nowcasting Chinese GDP in a data-rich environment: Lessons from machine learning algorithms. (2023). Xu, Hao ; Ni, HE ; Zhang, Qin. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000160.

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2023Price-setting heterogeneity and robust monetary policy in a two-sector DSGE model of a small open economy. (2023). Leszczyska-Paczesna, Agnieszka ; Kuchta, Zbigniew ; Gorajski, Mariusz. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000391.

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2023The role of uncertainty in forecasting volatility comovements across stock markets. (2023). Palomba, Giulio ; Rossi, Eduardo ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001219.

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2023Price Risk Analysis using GARCH Family Models: Evidence from Shanghai Crude Oil Futures Market. (2023). Si, Xiaoli ; Pei, Haotian ; Yang, Aijun ; Bei, Shuhua. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001797.

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2023Shock-based inference on the Phillips curve with the cost channel. (2023). Galvo, Ana Beatriz ; da Silva, Edilean Kleber. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002316.

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2023Coordination and non-coordination risks of monetary and macroprudential authorities: A robust welfare analysis. (2023). Górajski, Mariusz ; Kuchta, Zbigniew ; Gorajski, Mariusz. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000451.

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2023Forecasting VIX using two-component realized EGARCH model. (2023). Liu, LI ; Zhao, AN ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000578.

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2023Volatility forecasting in the Bitcoin market: A new proposed measure based on the VS-ACARR approach. (2023). Iqbal, Najaf ; Umar, Zaghum ; Yin, Xuebao ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000712.

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2023Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process. (2023). Yu, Jun ; Xiao, Weilin ; Wang, Xiaohu. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:389-415.

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2023A simple joint model for returns, volatility and volatility of volatility. (2023). Ding, Yashuang. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:521-543.

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2023Conditional asymmetry in Power ARCH(?) models. (2023). Royer, Julien. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:178-204.

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2023Bootstrap analysis of mutual fund performance. (2023). Peng, Liang ; Leng, Xuan ; Jiang, Lei ; Huang, Haitao. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:239-255.

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2023Modeling realized covariance measures with heterogeneous liquidity: A generalized matrix-variate Wishart state-space model. (2023). Hartkopf, Jan Patrick ; Gribisch, Bastian. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:43-64.

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2023Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models. (2023). Shin, Minchul ; Rubio-Ramirez, Juan F ; Arias, Jonas E. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1054-1086.

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2023Parametric estimation of long memory in factor models. (2023). Ergemen, Yunus Emre. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1483-1499.

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2023Structural VAR models in the Frequency Domain. (2023). Pelgrin, Florian ; Guay, Alain. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001604.

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2023We modeled long memory with just one lag!. (2023). Chevillon, Guillaume ; Bauwens, Luc ; Laurent, Sebastien. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001616.

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2023Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach. (2023). Trucíos, Carlos ; Hallin, Marc ; Trucios, Carlos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:27:y:2023:i:c:p:1-15.

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2023Assignats or death: The politics and dynamics of hyperinflation in revolutionary France. (2023). Ingber, Joshua S ; Rouanet, Louis ; Cutsinger, Bryan P. In: European Economic Review. RePEc:eee:eecrev:v:157:y:2023:i:c:s0014292123001393.

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2023The contribution of jump signs and activity to forecasting stock price volatility. (2023). Murphy, Anthony ; Izzeldin, Marwan ; Hizmeri, Rodrigo ; Bu, Ruijun ; Tsionas, Mike. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:144-164.

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2023Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices. (2023). Fiszeder, Piotr ; Molnar, Peter ; Fadziski, Marcin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:308-321.

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2023Forecasting realized volatility with machine learning: Panel data perspective. (2023). Liu, Zhi ; He, Lidan ; Bai, LU ; Zhu, Haibin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:251-271.

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2023Foreseeing the worst: Forecasting electricity DART spikes. (2023). Godin, Frederic ; Gauthier, Genevieve ; Galarneau-Vincent, Remi. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000191.

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2023Multi-perspective investor attention and oil futures volatility forecasting. (2023). Li, Guo ; Qu, Hui. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000294.

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2023Predicting energy futures high-frequency volatility using technical indicators: The role of interaction. (2023). Zhang, Yue ; Ye, Xin ; Gong, Xue. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000312.

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2023Attention to oil prices and its impact on the oil, gold and stock markets and their covariance. (2023). Fiszeder, Piotr ; Molnar, Peter ; Fadziski, Marcin. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s014098832300141x.

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2023Impact of economic policy uncertainty on the volatility of Chinas emission trading scheme pilots. (2023). Xu, Liang ; Xue, Shan ; Wei, Yigang ; Guan, Xinyue ; Liu, Tao. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s014098832300124x.

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2023Volatility forecasting of crude oil futures market: Which structural change-based HAR models have better performance?. (2023). Zhang, Han. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004045.

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2023Forecasting global stock market volatilities in an uncertain world. (2023). Zhang, Ting ; Wang, Gang-Jin ; Zeng, Zhi-Jian ; Xie, Chi ; Li, Zhao-Chen. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004136.

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2023Measuring minimum variance hedging effectiveness: Traditional vs. sophisticated models. (2023). Karmakar, Madhusudan ; Sharma, Udayan. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001370.

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2023Forecasting stock volatility with economic policy uncertainty: A smooth transition GARCH-MIDAS model. (2023). Li, Lihong ; Zhang, LI. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923002247.

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2023Examining the volatility of soybean market in the MIDAS framework: The importance of bagging-based weather information. (2023). Xu, Weiju ; Ma, Weichun ; Wu, Rui ; Wang, LU. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002363.

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2023Forecasting stock market volatility with various geopolitical risks categories: New evidence from machine learning models. (2023). Zhang, Hongwei ; Wang, Chenlu ; Niu, Zibo. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002545.

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2023How does institutional investors information acquisition inhibit share pledging? Evidence from China. (2023). Chen, Kang ; Xiao, Zhongyi. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002624.

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2023Which component of air quality index drives stock price volatility in China: a decomposition-based forecasting method. (2023). Wu, Rui ; Peng, Lijuan ; Zhang, LI ; Yu, Jize. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005839.

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2023How do stock prices respond to the leading economic indicators? Analysis of large and small shocks. (2023). Chen, Zhonglu ; Liu, Jing. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006079.

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2023Geopolitical uncertainty and crude oil volatility: Evidence from oil-importing and oil-exporting countries. (2023). Huang, Juan ; Liu, LI ; Pan, Zhiyuan. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322007413.

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2023Global economic policy uncertainty and oil futures volatility prediction. (2023). Zhao, Ling. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323000673.

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2023Do extreme range estimators improve realized volatility forecasts? Evidence from G7 Stock Markets. (2023). McMillan, David G ; Kambouroudis, Dimos ; Korkusuz, Burak. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003641.

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2023A Real-Time GARCH-MIDAS model. (2023). Cheng, Tengfei ; Zhao, AN ; Wu, Xinyu. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004750.

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2023The Chinese oil futures volatility: Evidence from high-low estimator information. (2023). Song, Juan ; Wang, Yubao ; Huang, Xiaozhou. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004804.

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2023Challenging golden standards in EWMA smoothing parameter calibration based on realized covariance measures. (2023). Reh, Laura ; Hartkopf, Jan Patrick. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323005019.

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2023Unobserved components model estimates of credit cycles: Tests and predictions. (2023). Hessler, Andrew. In: Journal of Financial Stability. RePEc:eee:finsta:v:66:y:2023:i:c:s1572308923000207.

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2023Discovering the drivers of stock market volatility in a data-rich world. (2023). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001561.

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2023Forecasting expected shortfall: Should we use a multivariate model for stock market factors?. (2023). Dionne, Georges ; Simonato, Jean-Guy ; Fortin, Alain-Philippe. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:314-331.

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2023Estimation of a dynamic multi-level factor model with possible long-range dependence. (2023). Rodriguez-Caballero, Vladimir C ; Ergemen, Yunus Emre. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:405-430.

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2023Forecasting electricity prices with expert, linear, and nonlinear models. (2023). Ravazzolo, Francesco ; del Grosso, Filippo ; Gianfreda, Angelica ; Bille, Anna Gloria. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:570-586.

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2023Forecasting extreme financial risk: A score-driven approach. (2023). Herrera, Rodrigo ; Clements, Adam ; Fuentes, Fernanda. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:720-735.

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2023Time-varying variance and skewness in realized volatility measures. (2023). Lucas, Andre ; Opschoor, Anne. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:827-840.

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2023DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations. (2023). Bauwens, Luc ; Xu, Yongdeng. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:938-955.

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2023Static and dynamic models for multivariate distribution forecasts: Proper scoring rule tests of factor-quantile versus multivariate GARCH models. (2023). Meng, Xiaochun ; Han, Yang ; Alexander, Carol. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1078-1096.

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2023Forecasting CPI inflation components with Hierarchical Recurrent Neural Networks. (2023). Benchimol, Jonathan ; Koenigstein, Noam ; Hammer, Allon ; Cohen, Eliya ; Caspi, Itamar ; Barkan, Oren. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1145-1162.

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2023Model combinations through revised base rates. (2023). Panagiotelis, Anastasios ; Spiliotis, Evangelos ; Petropoulos, Fotios. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1477-1492.

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2023Currency exchange rate predictability: The new power of Bitcoin prices. (2023). Zhang, Zhengjun ; Feng, Wenjun. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:132:y:2023:i:c:s0261560623000128.

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2023Which factor model? A systematic return covariation perspective. (2023). Tsvetanov, Daniel ; Symeonidis, Lazaros ; Bu, Ziwen ; Ahmed, Shamim. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:136:y:2023:i:c:s0261560623000669.

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2023Do the Hamilton and Beveridge–Nelson filters provide the same information about output gaps? An empirical comparison for practitioners. (2023). Biolsi, Christopher. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:75:y:2023:i:c:s0164070422000891.

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2023Cryptocurrency uncertainty and volatility forecasting of precious metal futures markets. (2023). Vigne, Samuel A ; Lucey, Brian M ; Wang, Yizhi ; Wei, YU. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:29:y:2023:i:c:s2405851322000629.

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2023Chinese crude oil futures volatility and sustainability: An uncertainty indices perspective. (2023). Zhao, Chenchen ; Huang, Dengshi ; Xu, Weiju. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722006705.

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2023Cointegration between high base metals prices and backwardation: Getting ready for the metals super-cycle. (2023). Labeaga, Jose ; Martin-Garcia, Rodrigo ; Galan-Gutierrez, Juan Antonio. In: Resources Policy. RePEc:eee:jrpoli:v:81:y:2023:i:c:s0301420723001216.

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2023Predicting volatility in natural gas under a cloud of uncertainties. (2023). Xiao, Zuoping ; Chen, Juan ; Guo, Hongling ; Bai, Jiancheng. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723001447.

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

Works by James M. Nason:

YearTitleTypeCited
2010The Model Confidence Set In: CREATES Research Papers.
[Full Text][Citation analysis]		paper912
2011The Model Confidence Set.(2011) In: Econometrica.
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1995Output Dynamics in Real-Business-Cycle Models. In: American Economic Review.
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1993Output dynamics in real business cycle models.(1993) In: Working Papers in Applied Economic Theory.
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2007The McKenna Rule and UK World War I Finance In: American Economic Review.
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2007The McKenna rule and U.K. World War I finance.(2007) In: FRB Atlanta Working Paper.
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2007The McKenna Rule and UK World War I Finance.(2007) In: Reserve Bank of New Zealand Discussion Paper Series.
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2012UK World War I and interwar data for business cycle and growth analysis In: Cliometrica, Journal of Historical Economics and Econometric History.
[Full Text][Citation analysis]		article2
2011UK World War I and Interwar Data for Business Cycle and Growth Analysis.(2011) In: CAMA Working Papers.
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2009U.K. World War I and interwar data for business cycle and growth analysis.(2009) In: FRB Atlanta Working Paper.
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This paper has nother version. Agregated cites: 2		paper
2011UK World War I and interwar data for business cycle and growth analysis.(2011) In: Working Papers.
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2018Inflation and professional forecast dynamics: an evaluation of stickiness, persistence, and volatility In: BIS Working Papers.
[Full Text][Citation analysis]		paper31
2015Inflation and Professional Forecast Dynamics: An Evaluation of Stickiness, Persistence, and Volatility.(2015) In: CAMA Working Papers.
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This paper has nother version. Agregated cites: 31		paper
2017Inflation and professional forecast dynamics: An evaluation of stickiness, persistence, and volatility.(2017) In: CAMA Working Papers.
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This paper has nother version. Agregated cites: 31		paper
2020Inflation and professional forecast dynamics: An evaluation of stickiness, persistence, and volatility.(2020) In: Quantitative Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 31		article
2003Choosing the Best Volatility Models: The Model Confidence Set Approach* In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article123
2003Choosing the Best Volatility Models:The Model Confidence Set Approach.(2003) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 123		paper
2003Choosing the best volatility models: the model confidence set approach.(2003) In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 123		paper
2008Great Moderation(s) and US Interest Rates: Unconditional Evidence In: The B.E. Journal of Macroeconomics.
[Full Text][Citation analysis]		article10
2008Great moderations and U.S. interest rates: unconditional evidence.(2008) In: FRB Atlanta Working Paper.
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This paper has nother version. Agregated cites: 10		paper
2007Great Moderation(s) And U.s. Interest Rates: Unconditional Evidence.(2007) In: Working Paper.
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This paper has nother version. Agregated cites: 10		paper
2009Business Cycle Implications of Internal Consumption Habit for New Keynesian Model In: CARF F-Series.
[Full Text][Citation analysis]		paper10
2010Business Cycle Implications of Internal Consumption Habit for New Keynesian Models.(2010) In: CAMA Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2009Business cycle implications of internal consumption habit for New Keynesian models.(2009) In: FRB Atlanta Working Paper.
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This paper has nother version. Agregated cites: 10		paper
2012Business cycle implications of internal consumption habit for new Keynesian models.(2012) In: Working Papers.
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This paper has nother version. Agregated cites: 10		paper
2012Business Cycle Implications of Internal Consumption Habit for New Keynesian Models.(2012) In: Discussion Papers.
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This paper has nother version. Agregated cites: 10		paper
2009Business Cycle Implications of Internal Consumption Habit for New Keynesian Models.(2009) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2014Business Cycle Implications of Internal Consumption Habit for New Keynesian Models.(2014) In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		article
2006Common trends and common cycles in Canada: who knew so much has been going on? In: Canadian Journal of Economics.
[Full Text][Citation analysis]		article11
2004Common trends and common cycles in Canada: who knew so much has been going on?.(2004) In: FRB Atlanta Working Paper.
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This paper has nother version. Agregated cites: 11		paper
2006Common trends and common cycles in Canada: who knew so much has been going on?.(2006) In: Canadian Journal of Economics/Revue canadienne d'économique.
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This paper has nother version. Agregated cites: 11		article
1999Long Run Monetary Neutrality in Three Samples: The United Kingdom, the United States, and the Small In: Working Papers.
[Citation analysis]		paper2
2015BUSINESS CYCLES AND FINANCIAL CRISES: THE ROLES OF CREDIT SUPPLY AND DEMAND SHOCKS In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		article21
2012Business Cycles and Financial Crises: The Roles of Credit Supply and Demand Shocks.(2012) In: CAMA Working Papers.
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This paper has nother version. Agregated cites: 21		paper
2012Business cycles and financial crises: the roles of credit supply and demand shocks.(2012) In: Working Papers (Old Series).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 21		paper
2012Business cycles and financial crises: the roles of credit supply and demand shocks.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 21		paper
2007Information Criteria for Impulse Response Function Matching Estimation of DSGE Models In: Working Papers.
[Full Text][Citation analysis]		paper81
2009INFORMATION CRITERIA FOR IMPULSE RESPONSE FUNCTION MATCHING ESTIMATION OF DSGE MODELS.(2009) In: Working Papers.
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This paper has nother version. Agregated cites: 81		paper
2010Information Criteria for Impulse Response Function Matching Estimation of DSGE Models.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 81		paper
2012Information criteria for impulse response function matching estimation of DSGE models.(2012) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 81		article
2007Information criteria for impulse response function matching estimation of DSGE models.(2007) In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 81		paper
2009Information Criteria for Impulse Response Function Matching Estimation of DSGE Models.(2009) In: Centre for Growth and Business Cycle Research Discussion Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 81		paper
2004Business Cycle Implications of Habit Formation In: Econometric Society 2004 Far Eastern Meetings.
[Full Text][Citation analysis]		paper2
2004Business Cycle Implications of Habit Formation.(2004) In: Computing in Economics and Finance 2004.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
1995Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article562
1993Effects of the Hodrick-Prescott filter on trend and difference stationary time series: implications for business cycle research.(1993) In: Working Papers in Applied Economic Theory.
[Citation analysis]
This paper has nother version. Agregated cites: 562		paper
1993Impulse dynamics and propagation mechanisms in a real business cycle model In: Economics Letters.
[Full Text][Citation analysis]		article37
2003The long-horizon regression approach to monetary neutrality: how should the evidence be interpreted? In: Economics Letters.
[Full Text][Citation analysis]		article17
2008Introduction: Journal of Econometrics special issue honoring the research contributions of Charles R. Nelson In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
1996Testing for structural breaks in cointegrated relationships In: Journal of Econometrics.
[Full Text][Citation analysis]		article130
1990Nonparametric exchange rate prediction? In: Journal of International Economics.
[Full Text][Citation analysis]		article247
1989Nonparametric exchange rate prediction?.(1989) In: Finance and Economics Discussion Series.
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This paper has nother version. Agregated cites: 247		paper
2006The present-value model of the current account has been rejected: Round up the usual suspects In: Journal of International Economics.
[Full Text][Citation analysis]		article133
2003The present-value model of the current account has been rejected: Round up the usual suspects.(2003) In: FRB Atlanta Working Paper.
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This paper has nother version. Agregated cites: 133		paper
2003The present-value model of the current account has been rejected: round up the usual suspects.(2003) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 133		paper
2001The Present Value Model of the Current Account Has Been Rejected: Round Up the Usual Subjects.(2001) In: Computing in Economics and Finance 2001.
[Citation analysis]
This paper has nother version. Agregated cites: 133		paper
2007Simple versus optimal rules as guides to policy In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article43
2007Simple versus optimal rules as guides to policy.(2007) In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 43		paper
2012Bayesian Estimation of DSGE Models In: CAMA Working Papers.
[Full Text][Citation analysis]		paper19
2013Bayesian estimation of DSGE models.(2013) In: Chapters.
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This paper has nother version. Agregated cites: 19		chapter
2012Bayesian estimation of DSGE models.(2012) In: Working Papers.
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This paper has nother version. Agregated cites: 19		paper
2014Measuring the Slowly Evolving Trend in US Inflation with Professional Forecasts In: CAMA Working Papers.
[Full Text][Citation analysis]		paper11
2013Measuring The Slowly Evolving Trend In Us Inflation With Professional Forecasts.(2013) In: Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		paper
2021Measuring the slowly evolving trend in US inflation with professional forecasts.(2021) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		article
2014Bringing Financial Stability into Monetary Policy In: CAMA Working Papers.
[Full Text][Citation analysis]		paper23
2015Bringing Financial Stability into Monetary Policy*.(2015) In: Working Paper Series.
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This paper has nother version. Agregated cites: 23		paper
2014Bringing Financial Stability into Monetary Policy.(2014) In: CAEPR Working Papers.
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This paper has nother version. Agregated cites: 23		paper
2021UK inflation forecasts since the thirteenth century In: CAMA Working Papers.
[Full Text][Citation analysis]		paper0
2021UK Inflation Forecasts since the Thirteenth Century.(2021) In: Working Paper.
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2006Instability in U.S. inflation: 1967-2005 In: Economic Review.
[Full Text][Citation analysis]		article6
2003Bulk commodities and the Liverpool and London markets of the mid-19th century In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper0
2004Along the New Keynesian Phillips curve with nominal and real rigidities In: FRB Atlanta Working Paper.
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2003Along the New Keynesian Phillips Curve with Nominal and Real Rigidities.(2003) In: Computing in Economics and Finance 2003.
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This paper has nother version. Agregated cites: 8		paper
2005Identifying the New Keynesian Phillips curve In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper145
2008Identifying the new Keynesian Phillips curve.(2008) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 145		article
2005Identifying The New Keynesian Phillips Curve.(2005) In: Working Paper.
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This paper has nother version. Agregated cites: 145		paper
2005Testing the significance of calendar effects In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper18
2005Model confidence sets for forecasting models In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper19
2006Interwar U.K. unemployment: the Benjamin and Kochin hypothesis or the legacy of “just” taxes? In: FRB Atlanta Working Paper.
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2008Exchange rates and fundamentals: a generalization In: FRB Atlanta Working Paper.
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2008Exchange rates and fundamentals: a generalization.(2008) In: International Finance Discussion Papers.
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1991Effects of the Hodrick-Prescott filter on integrated time series In: Proceedings.
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1988The equity premium and time-varying risk behavior In: Finance and Economics Discussion Series.
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1999Investment and the current account in the short run and the long run In: International Finance Discussion Papers.
[Full Text][Citation analysis]		paper61
2002Investment and the Current Account in the Short Run and the Long Run..(2002) In: Journal of Money, Credit and Banking.
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This paper has nother version. Agregated cites: 61		article
1991The permanent income hypothesis when the bliss point is stochastic In: Discussion Paper / Institute for Empirical Macroeconomics.
[Full Text][Citation analysis]		paper1
2012Time-consistency and credible monetary policy after the crisis In: Business Review.
[Full Text][Citation analysis]		article0
2013Reverse Kalman filtering U.S. inflation with sticky professional forecasts In: Working Papers.
[Full Text][Citation analysis]		paper3
2008The New Keynesian Phillips curve : lessons from single-equation econometric estimation In: Economic Quarterly.
[Full Text][Citation analysis]		article48
2012Appendix: Business Cycle Implications of Internal Consumption Habit for New Keynesian Models In: Discussion Papers.
[Full Text][Citation analysis]		paper2
2004Long-run monetary neutrality and long-horizon regressions In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article18
1994Testing the Implications of Long-Run Neutrality for Monetary Business Cycle Models. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article40
1991Testing For Structural Breaks In: Working Paper.
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2007Information Criteria for Impulse Response Function Matching Estimation In: 2007 Meeting Papers.
[Citation analysis]		paper27
2005Over the Top: U.K. World War I Finance and Its Aftermath In: Computing in Economics and Finance 2005.
[Citation analysis]		paper0

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