Marcelle Chauvet : Citation Profile

Are you Marcelle Chauvet?

University of California-Riverside

18

H index

31

i10 index

1457

Citations

RESEARCH PRODUCTION:

31

Articles

44

Papers

1

Books

6

Chapters

RESEARCH ACTIVITY:

   25 years (1998 - 2023). See details.
   Cites by year: 58
   Journals where Marcelle Chauvet has often published
   Relations with other researchers
   Recent citing documents: 86.    Total self citations: 46 (3.06 %)

EXPERT IN:

   Econometric and Statistical Methods and Methodology: General
   Single Equation Models; Single Variables
   Multiple or Simultaneous Equation Models; Multiple Variables
   Econometric and Statistical Methods: Special Topics
   Econometric Modeling

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pch41
   Updated: 2024-12-03    RAS profile: 2024-07-04    
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Relations with other researchers

Works with:

Kim, Insu (2)

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

Is cited by:

Barnett, William (94)

Ferrara, Laurent (60)

Piger, Jeremy (31)

Kholodilin, Konstantin (28)

Owyang, Michael (27)

Camacho, Maximo (25)

Perez Quiros, Gabriel (23)

Issler, João (22)

Leiva-Leon, Danilo (22)

Darné, Olivier (22)

DIEBOLT, Claude (20)

Cites to:

Barnett, William (93)

Diebold, Francis (48)

Perez Quiros, Gabriel (35)

Hamilton, James (35)

Potter, Simon (35)

Reichlin, Lucrezia (29)

Kim, Chang-Jin (28)

Giannone, Domenico (27)

Belongia, Michael (26)

Watson, Mark (23)

Croushore, Dean (23)

Main data

Where Marcelle Chauvet has published?

Journals with more than one article published# docs
Macroeconomic Dynamics3
Manchester School3
International Journal of Forecasting3
Empirical Economics2
Economics Letters2
Economic Review2
Journal of Econometrics2
Brazilian Review of Econometrics2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany17
WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS / University of Kansas, Department of Economics6
Staff Reports / Federal Reserve Bank of New York4
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)3
Working Papers Series / Central Bank of Brazil, Research Department2
FRB Atlanta Working Paper / Federal Reserve Bank of Atlanta2
Working Papers / Federal Reserve Bank of St. Louis2

Recent works citing Marcelle Chauvet (2024 and 2023)

YearTitle of citing document
2023Extraction of deterministic components for high frequency stochastic process -- an application from CSI 300 index. (2022). Sengupta, Indranil ; Zhou, Yan ; Sun, Baiqing ; Hui, Xianfei. In: Papers. RePEc:arx:papers:2204.02891.

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2023Estimation and Inference for High Dimensional Factor Model with Regime Switching. (2022). Wang, FA ; Urga, Giovanni. In: Papers. RePEc:arx:papers:2205.12126.

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2024Reservoir Computing for Macroeconomic Forecasting with Mixed Frequency Data. (2022). Ortega, Juan-Pablo ; van Huellen, Sophie ; Hirt, Marcel ; Grigoryeva, Lyudmila ; Dellaportas, Petros ; Ballarin, Giovanni. In: Papers. RePEc:arx:papers:2211.00363.

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2023Valuation Duration of the Stock Market. (2023). Wang, Chen ; Li, YE. In: Papers. RePEc:arx:papers:2310.07110.

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2024Real-time Prediction of the Great Recession and the Covid-19 Recession. (2023). Chung, Seulki. In: Papers. RePEc:arx:papers:2310.08536.

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2024Inside the black box: Neural network-based real-time prediction of US recessions. (2023). Chung, Seulki. In: Papers. RePEc:arx:papers:2310.17571.

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2023Predicting Recessions in (almost) Real Time in a Big-data Setting. (2023). Gaglianone, Wagner ; Fialho, Artur Brasil ; Issler, Joo Victor ; Teixeira, Osmani ; Cavalcanti, Pedro ; Bonnet, Alexandre. In: Working Papers Series. RePEc:bcb:wpaper:587.

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2023The impacts of imports and trade liberalization in Brazil: Insights from an aggregate cost function. (2023). Truett, Dale B. In: Review of Development Economics. RePEc:bla:rdevec:v:27:y:2023:i:2:p:1013-1033.

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2023ROC and PRC Approaches to Evaluate Recession Forecasts. (2023). Lahiri, Kajal ; Yang, Cheng. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10449.

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2024Improving the robustness of Markov-switching dynamic factor models with time-varying volatility. (2024). Royer, Julien ; Aumond, Romain. In: Working Papers. RePEc:crs:wpaper:2024-04.

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2023Forecasting carbon prices based on real-time decomposition and causal temporal convolutional networks. (2023). Chen, Min ; Wang, Chaoqun ; Li, Yijun ; Wu, QI. In: Applied Energy. RePEc:eee:appene:v:331:y:2023:i:c:s0306261922017093.

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2024Applying the root cause analysis methodology to study the lack of market success of micro gas turbine systems. (2024). Torres-Garcia, Miguel ; Sanchez, David ; Tilocca, Giuseppe. In: Applied Energy. RePEc:eee:appene:v:360:y:2024:i:c:s0306261924001004.

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2023A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market. (2023). Xing, Haipeng ; Chen, Xinyun ; Li, Zhicheng. In: Economic Modelling. RePEc:eee:ecmode:v:118:y:2023:i:c:s0264999322003194.

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2023Frequency heterogeneity of tail connectedness: Evidence from global stock markets. (2023). Xu, Huiling ; Zhu, Zhican ; Lu, Haisong ; Jian, Zhihong. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001669.

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2023How does inter-industry spillover improve the performance of volatility forecasting?. (2023). Zhu, Xingting ; Xiao, Wen ; Liu, Bin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:65:y:2023:i:c:s1062940823000013.

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2024Industrial Connectedness and Business Cycle Comovements. (2024). Owyang, Michael ; Guisinger, Amy ; Soques, Daniel. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:132-149.

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2023Mixed-frequency Growth-at-Risk with the MIDAS-QR method: Evidence from China. (2023). Jiang, Cuixia ; Xu, Mengnan ; Fu, Weizhong. In: Economic Systems. RePEc:eee:ecosys:v:47:y:2023:i:4:s0939362523000651.

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2023Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables. (2023). Nonejad, Nima. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:91-122.

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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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2024The shape of the Treasury yield curve and commodity prices. (2024). Qadan, Mahmoud ; Bayaa, Yasmeen. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002436.

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2024Transportation sector and Chinese stock volatility forecasting: Evidence from freight and passenger traffic. (2024). Zhong, Juandan ; Zhang, Lili. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s154461232301334x.

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2024On sectoral market efficiency. (2024). Araneda, Axel A ; Villena, Marcelo J. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612323013211.

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2024Fixed vs. adjustable-rate mortgages and attention. (2024). Gonzalez-Velasco, Carmen ; Saez, Francisco Jose ; Gonzalez-Fernandez, Marcos. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001806.

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

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2023Predictability of bull and bear markets: A new look at forecasting stock market regimes (and returns) in the US. (2023). Neuenkirch, Matthias ; Haase, Felix. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:587-605.

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2024Accelerating peak dating in a dynamic factor Markov-switching model. (2024). van Dijk, Dick ; van Os, Bram. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:313-323.

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2024Words or numbers? Macroeconomic nowcasting with textual and macroeconomic data. (2024). Fang, Kuangnan ; Jin, Wei ; Zheng, Tingguo. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:746-761.

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2023Are monetary policy shocks causal to bank health? Evidence from the euro area. (2023). Jung, Alexander. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:75:y:2023:i:c:s0164070422000878.

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2023Commodity futures return predictability and intertemporal asset pricing. (2023). Poti, Valerio ; Eyiah-Donkor, Emmanuel ; Cotter, John. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851322000460.

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2024How does the economic structure break change the forecast effect of money and credit on output? Evidence based on machine learning algorithms. (2024). Zhan, Minghua ; Tian, Yuan ; Zhao, Zhihui ; Lu, Yao. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:84:y:2024:i:c:s0927538x24000763.

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2023Recessions and flattening of the yield curve (1960–2021): A two-way road under a regime switching approach. (2023). Cendejas, Jose Luis. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:88:y:2023:i:c:p:8-20.

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2023Does expected idiosyncratic skewness of firms profit predict the cross-section of stock returns? Evidence from China. (2023). Liu, Hao ; Zhang, Peihui. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002252.

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2023Forecasting state- and MSA-level housing returns of the US: The role of mortgage default risks. (2023). Lesame, Keagile ; Gupta, Rangan ; Christou, Christina ; Bouras, Christos. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000788.

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2023Money Matters: Broad Divisia Money and the Recovery of Nominal GDP from the COVID-19 Recession. (2023). Duca, John ; Bordo, Michael D. In: Working Papers. RePEc:fip:feddwp:96241.

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2023Recession Signals and Business Cycle Dynamics: Tying the Pieces Together. (2023). Kiley, Michael T. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2023-08.

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2023Financial and Macroeconomic Data Through the Lens of a Nonlinear Dynamic Factor Model. (2023). Zhong, Molin ; Khazanov, Alexey ; Guerron-Quintana, Pablo. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2023-27.

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2023Firm Financial Conditions and the Transmission of Monetary Policy. (2023). Ostry, Daniel ; Rogers, John ; Revil, Thiago. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:96639.

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2023.

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2024.

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2024How Does a Firm Adapt in a Changing World? The Case of Prosper Marketplace. (2024). Ching, Andrew T ; Li, Xinlong. In: Marketing Science. RePEc:inm:ormksc:v:43:y:2024:i:3:p:673-693.

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2023Have Credit Card Services Become Important to Monetary Aggregation? An Application of Sign Restricted Bayesian VAR. (2023). Park, Hyun ; Barnett, William. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202304.

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2023Welfare Cost of Inflation, when Credit Card Transaction Services Are Included among Monetary Services. (2023). Barnett, William ; Park, Sohee. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202306.

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2023Sentiment-based indicators of real estate market stress and systemic risk: international evidence. (2023). Shchepeleva, Maria ; Stolbov, Mikhail. In: Annals of Finance. RePEc:kap:annfin:v:19:y:2023:i:3:d:10.1007_s10436-023-00429-y.

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2024To Dip or Not to Dip? A Comment on Kyer and Maggs (2019). (2024). Findlay, David W. In: International Advances in Economic Research. RePEc:kap:iaecre:v:30:y:2024:i:1:d:10.1007_s11294-024-09889-y.

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2024Local Housing Market Sentiments and Returns: Evidence from China. (2024). Pang, Jindong ; Zhao, Yiyi ; Shen, Shulin. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:68:y:2024:i:3:d:10.1007_s11146-022-09933-w.

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2023Macroeconomic Fluctuations in the United States: The Role of Monetary and Fiscal Policy Shocks. (2023). Serletis, Apostolos ; Dery, Cosmas. In: Open Economies Review. RePEc:kap:openec:v:34:y:2023:i:5:d:10.1007_s11079-023-09712-x.

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2023Dynamic asset allocation strategy: an economic regime approach. (2023). Kwon, Dohyoung ; Kim, Minjeong. In: Journal of Asset Management. RePEc:pal:assmgt:v:24:y:2023:i:2:d:10.1057_s41260-022-00296-8.

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2023Text-Based Recession Probabilities. (2023). Mezo, Helena ; Lebastard, Laura ; Minesso, Massimo Ferrari. In: IMF Economic Review. RePEc:pal:imfecr:v:71:y:2023:i:2:d:10.1057_s41308-022-00177-5.

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2023Not all bull and bear markets are alike: insights from a five-state hidden semi-Markov model. (2023). Zakamulin, Valeriy. In: Risk Management. RePEc:pal:risman:v:25:y:2023:i:1:d:10.1057_s41283-022-00112-y.

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2023Estimation and Inference for High Dimensional Factor Model with Regime Switching. (2023). Wang, FA ; Urga, Giovanni. In: MPRA Paper. RePEc:pra:mprapa:117012.

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2023Broad Divisia Money and the Recovery of U.S. Nominal GDP from the COVID-19 Recession. (2023). Duca, John ; Bordo, Michael D. In: Working Papers. RePEc:pri:cepsud:319.

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2023A new look at asymmetric effect of oil price changes on inflation: Evidence from Malaysia. (2023). Sek, Siok Kun. In: Energy & Environment. RePEc:sae:engenv:v:34:y:2023:i:5:p:1524-1547.

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2023Nowcasting Japan’s GDP. (2023). Tachi, Yuta ; Hayashi, Fumio. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:4:d:10.1007_s00181-022-02301-w.

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2023Predicting binary outcomes based on the pair-copula construction. (2023). Yang, Liu ; Lahiri, Kajal. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:6:d:10.1007_s00181-023-02418-6.

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2023Dissecting Brazilian agriculture business cycles in high-dimensional and time-irregular span contexts. (2023). Castro, Nicole Renno ; Maranho, Andre Nunes. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:4:d:10.1007_s00181-023-02391-0.

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2023ROC and PRC Approaches to Evaluate Recession Forecasts. (2023). Yang, Cheng ; Lahiri, Kajal. In: Journal of Business Cycle Research. RePEc:spr:jbuscr:v:19:y:2023:i:2:d:10.1007_s41549-023-00082-4.

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2023Gender diversity of boards and executives on real earnings management in the bull or bear period: Empirical evidence from China. (2023). Duc, Toan Luu ; Ishaque, Maria ; Ahmed, Rizwan ; Than, Ei Thuzar ; Li, Xiaojiao. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:3:p:2753-2771.

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2023Commodity price uncertainty as a leading indicator of economic activity. (2023). Bakas, Dimitrios ; Triantafyllou, Athanasios ; Ioakimidis, Marilou. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:4:p:4194-4219.

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2023Forecasting low?frequency macroeconomic events with high?frequency data. (2022). Owyang, Michael ; Galvo, Ana Beatriz. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:37:y:2022:i:7:p:1314-1333.

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2023An investigation into the probability that this is the last year of the economic expansion. (2023). Li, Yao ; Leamer, Edward ; Keil, Manfred. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:5:p:1228-1244.

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2023Predictive power of the implied volatility term structure in the fixed?income market. (2023). Li, Xiaowei ; Huang, Jeffrey ; Hsieh, Peilin ; Chen, Renraw. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:3:p:349-383.

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2023Recessions and recoveries in Central African countries: Lessons from the past. (2023). Djoumessi, Any Flore. In: Journal of International Development. RePEc:wly:jintdv:v:35:y:2023:i:6:p:1121-1142.

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2023Market?timing the business cycle. (2015). Pelaez, Rolando F. In: Review of Financial Economics. RePEc:wly:revfec:v:26:y:2015:i:1:p:55-64.

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2023Transformation in der Arbeitswelt gestalten: Welchen Beitrag leistet eine akademische Weiterbildung von Betriebs- und Personalräten?. (2023). Klee, Andreas ; Hocke, Simone. In: Working Paper Forschungsförderung. RePEc:zbw:hbsfof:279799.

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Works by Marcelle Chauvet:

YearTitleTypeCited
2001The Brazilian Economic Fluctuations In: Anais do XXIX Encontro Nacional de Economia [Proceedings of the 29th Brazilian Economics Meeting].
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2014Real-Time Nowcasting of Nominal GDP Under Structural Breaks In: Staff Working Papers.
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2021Transfer Learning for Business Cycle Identification In: Working Papers Series.
[Full Text][Citation analysis]		paper4
2000Leading Indicators of Inflation for Brazil In: Working Papers Series.
[Full Text][Citation analysis]		paper41
2008A Comparison of the Real-Time Performance of Business Cycle Dating Methods In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article208
2005A comparison of the real-time performance of business cycle dating methods.(2005) In: Working Papers.
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This paper has nother version. Agregated cites: 208		paper
2001Recent Changes in the US Business Cycle In: Manchester School.
[Full Text][Citation analysis]		article47
2001Recent changes in the U.S. business cycle.(2001) In: Staff Reports.
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This paper has nother version. Agregated cites: 47		paper
2013EMPLOYMENT AND THE BUSINESS CYCLE In: Manchester School.
[Full Text][Citation analysis]		article4
2010Employment and the business cycle.(2010) In: MPRA Paper.
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This paper has nother version. Agregated cites: 4		paper
2010Employment and the business cycle.(2010) In: MPRA Paper.
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This paper has nother version. Agregated cites: 4		paper
2013EMPLOYMENT AND THE BUSINESS CYCLE In: Manchester School.
[Full Text][Citation analysis]		article4
2009MEASUREMENT ERROR IN MONETARY AGGREGATES: A MARKOV SWITCHING FACTOR APPROACH In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		article11
2008Measurement Error in Monetary Aggregates: A Markov Switching Factor Approach.(2008) In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
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This paper has nother version. Agregated cites: 11		paper
2008Measurement Error in Monetary Aggregates: A Markov Switching Factor Approach.(2008) In: MPRA Paper.
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2008Measurement Error in Monetary Aggregates: A Markov Switching Factor Approach.(2008) In: MPRA Paper.
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2007Measurement Error in Monetary Aggregates: A Markov Switching Factor Approach.(2007) In: MPRA Paper.
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2011Measurement Error in Monetary Aggregates: A Markov Switching Factor Approach.(2011) In: World Scientific Book Chapters.
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2001NONLINEAR RISK In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		article16
1999Nonlinear risk.(1999) In: Staff Reports.
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This paper has nother version. Agregated cites: 16		paper
2003SUNSPOTS, ANIMAL SPIRITS, AND ECONOMIC FLUCTUATIONS In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		article26
2015What does financial volatility tell us about macroeconomic fluctuations? In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article40
2012What does financial volatility tell us about macroeconomic fluctuations?.(2012) In: Finance and Economics Discussion Series.
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2013What does financial volatility tell us about macroeconomic fluctuations?.(2013) In: Finance and Economics Discussion Series.
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2011What does financial volatility tell us about macroeconomic fluctuations?.(2011) In: MPRA Paper.
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2013Forecasting Output In: Handbook of Economic Forecasting.
[Full Text][Citation analysis]		chapter21
2017Assessment of hybrid Phillips Curve specifications In: Economics Letters.
[Full Text][Citation analysis]		article0
2002Predicting a recession: evidence from the yield curve in the presence of structural breaks In: Economics Letters.
[Full Text][Citation analysis]		article17
2011How better monetary statistics could have signaled the financial crisis In: Journal of Econometrics.
[Full Text][Citation analysis]		article69
2010How Better Monetary Statistics Could Have Signaled the Financial Crisis.(2010) In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
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2010How better monetary statistics could have signaled the financial crisis.(2010) In: MPRA Paper.
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This paper has nother version. Agregated cites: 69		paper
2016Real-time nowcasting of nominal GDP with structural breaks In: Journal of Econometrics.
[Full Text][Citation analysis]		article14
2000Coincident and leading indicators of the stock market In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article82
2023Nonlinear relationship between monetary policy and stock returns: Evidence from the U.S. In: Global Finance Journal.
[Full Text][Citation analysis]		article0
2010Business cycle monitoring with structural changes In: International Journal of Forecasting.
[Full Text][Citation analysis]		article8
2015The future of oil: Geology versus technology In: International Journal of Forecasting.
[Full Text][Citation analysis]		article38
2012The Future of Oil: Geology Versus Technology.(2012) In: IMF Working Papers.
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This paper has nother version. Agregated cites: 38		paper
2016A dynamic factor model of the yield curve components as a predictor of the economy In: International Journal of Forecasting.
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2016Mortgage default risk: New evidence from internet search queries In: Journal of Urban Economics.
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In: .
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2005Dating Business Cycle Turning Points.(2005) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 67		paper
2002The Brazilian Business and Growth Cycles In: Revista Brasileira de Economia - RBE.
[Full Text][Citation analysis]		article19
2010Microfoundations of inflation persistence in the New Keynesian Phillips curve In: FRB Atlanta CQER Working Paper.
[Full Text][Citation analysis]		paper3
2010Microfoundations of Inflation Persistence in the New Keynesian Phillips Curve.(2010) In: MPRA Paper.
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2004Leading indicators of country risk and currency crises: the Asian experience In: Economic Review.
[Full Text][Citation analysis]		article11
2006International business cycles: G7 and OECD countries In: Economic Review.
[Full Text][Citation analysis]		article11
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