52
H index
79
i10 index
20850
Citations
University of California-San Diego (UCSD) | 52 H index 79 i10 index 20850 Citations RESEARCH PRODUCTION: 72 Articles 66 Papers 3 Chapters RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with James Hamilton. | Is cited by: | Cites to: |
Year | Title of citing document | |
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2022 | Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-02. Full description at Econpapers || Download paper | |
2023 | Trend Breaks and the Persistence of Closed-End Mutual Fund Discounts. (2023). Kim, Hyeongwoo ; Durmaz, Nazif ; Sun, Yanfei ; Lee, Hyejin. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2023-03. Full description at Econpapers || Download paper | |
2023 | Trend Breaks and the Persistence of Closed-End Fund Discounts. (2023). Kim, Hyeongwoo ; Sun, Yanfei ; Lee, Hyejin ; Durmaz, Nazif. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2023-08. Full description at Econpapers || Download paper | |
2023 | Effects of Government Regulation of Diesel and Petrol Prices on GDP Growth: Evidence from China. (2023). Vespignani, Joaquin ; Hong, Haidi ; Brueckner, Markus. In: ANU Working Papers in Economics and Econometrics. RePEc:acb:cbeeco:2023-690. Full description at Econpapers || Download paper | |
2022 | Working Paper 362 - Economic Growth, Total Factor Productivity and Output Gap in Sierra Leone. (2022). Kumo, Wolassa L. In: Working Paper Series. RePEc:adb:adbwps:2488. Full description at Econpapers || Download paper | |
2022 | Working Paper 365 - Public Investment Efficiency, Economic Growth and Debt Sustainability in Africa. (2022). Balma, Lacina ; Rasmussen, Peter ; Odero, Walter ; Sennoga, Edward ; Oduor, Jacob ; Kararach, George. In: Working Paper Series. RePEc:adb:adbwps:2491. Full description at Econpapers || Download paper | |
2022 | Threshold Effects of Oil Price and Oil Export on Trade Balance in Africa. (2022). Mustafa, Ghulam ; Chin, Lee ; Bala, Umar. In: Journal of Economic Impact. RePEc:adx:journl:v:4:y:2022:i:1:p:14-27. Full description at Econpapers || Download paper | |
2022 | Expected and Realized Inflation in Historical Perspective. (2022). Kamdar, Rupal ; Binder, Carola. In: Journal of Economic Perspectives. RePEc:aea:jecper:v:36:y:2022:i:3:p:131-56. Full description at Econpapers || Download paper | |
2022 | Financial development and public debt. Estimating the role of institutional quality. (2022). Fatima, Sumbal ; Ramzan, Muhammad ; Abbas, Qamar. In: Theoretical and Applied Economics. RePEc:agr:journl:v:3(632):y:2022:i:3(632):p:5-26. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | The connectedness of Energy Transition Metals. (2023). Galeotti, Marzio ; Casoli, Chiara ; Bastianin, Andrea. In: FEEM Working Papers. RePEc:ags:feemwp:336984. Full description at Econpapers || Download paper | |
2023 | ENSO Climate Patterns on Global Economic Conditions. (2023). Pourroy, Marc ; Ginn, William ; Dufrenot, Gilles. In: AMSE Working Papers. RePEc:aim:wpaimx:2308. Full description at Econpapers || Download paper | |
2022 | Forecasting total energy’s CO2 emissions. (2022). Leccadito, Arturo ; Algieri, Bernardina ; Iania, Leonardo. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2022003. Full description at Econpapers || Download paper | |
2023 | Oil Price Shocks and Bond Risk Premia: Evidence from a Panel of 15 Countries. (2023). Nersisyan, Liana ; Lyrio, Marco ; Iania, Leonardo. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2023002. Full description at Econpapers || Download paper | |
2022 | Limited Energy Supply, Sunspots, and Monetary Policy. (2022). Gornemann, Nils ; Kuester, Keith ; Hildebrand, Sebastian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:215. Full description at Econpapers || Download paper | |
2022 | Bond Risk Premia, Priced Regime Shifts, and Macroeconomic Fundamentals. (2022). Petrella, Ivan ; Hevia, Constantino ; Sola, Martin. In: Working Papers. RePEc:aoz:wpaper:200. Full description at Econpapers || Download paper | |
2023 | A Note on Quasi-Maximum-Likelihood Estimation in Hidden Markov Models with Covariate-Dependent Transition Probabilities. (2023). Sola, Martin ; Psaradakis, Zacharias ; Pouzo, Demian. In: Working Papers. RePEc:aoz:wpaper:234. Full description at Econpapers || Download paper | |
2023 | Risk Aversion and Changes in Regime. (2023). Sola, Martin ; Kenc, Turalay ; Driffill, John ; Caravello, Tomas E. In: Working Papers. RePEc:aoz:wpaper:237. Full description at Econpapers || Download paper | |
2022 | The Pricing of Discretionary Accruals Revisited: The Application of Mixtures of Regressions Based on Asymmetric Investor Behavior. (2022). Leon, Assoc Prof. In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2022:p:78-84. Full description at Econpapers || Download paper | |
2023 | Dynamic Adaptive Mixture Models. (2016). Catania, Leopoldo. In: Papers. RePEc:arx:papers:1603.01308. Full description at Econpapers || Download paper | |
2022 | Geometrically stopped Markovian random growth processes and Pareto tails. (2019). Toda, Alexis Akira ; Beare, Brendan. In: Papers. RePEc:arx:papers:1712.01431. Full description at Econpapers || Download paper | |
2022 | Inference of Binary Regime Models with Jump Discontinuities. (2019). Rajani, Sharan ; Goswami, Anindya ; Das, Milan Kumar. In: Papers. RePEc:arx:papers:1910.10606. Full description at Econpapers || Download paper | |
2022 | Predicting bubble bursts in oil prices using mixed causal-noncausal models. (2019). Hecq, Alain ; Voisin, Elisa. In: Papers. RePEc:arx:papers:1911.10916. Full description at Econpapers || Download paper | |
2022 | What Drives Inflation and How: Evidence from Additive Mixed Models Selected by cAIC. (2020). Volkmann, Alexander ; Rossi, Enzo ; Baumann, Philipp. In: Papers. RePEc:arx:papers:2006.06274. Full description at Econpapers || Download paper | |
2022 | Synchronization of Prefectural Business Cycles in Japan 1978-2018. (2020). Onozaki, Tamotsu ; Muto, Makoto ; Saiki, Yoshitaka. In: Papers. RePEc:arx:papers:2010.08835. Full description at Econpapers || Download paper | |
2022 | A Lucas Critique Compliant SVAR model with Observation-driven Time-varying Parameters. (2021). Corsi, Fulvio ; Bormetti, Giacomo. In: Papers. RePEc:arx:papers:2107.05263. Full description at Econpapers || Download paper | |
2023 | Option Pricing under Bayesian MS-VAR Process. (2021). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2109.05998. Full description at Econpapers || Download paper | |
2022 | Optimal Dividends under Markov-Modulated Bankruptcy Level. (2021). Zhu, Shihao ; Schuhmann, Patrick ; Ferrari, Giorgio. In: Papers. RePEc:arx:papers:2111.03724. Full description at Econpapers || Download paper | |
2023 | Equity--Linked Life Insurances on Maximum of Several Assets. (2021). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2111.04038. Full description at Econpapers || Download paper | |
2022 | Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty. (2021). Marcellino, Massimiliano ; Petz, Nico ; Huber, Florian ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2112.01995. Full description at Econpapers || Download paper | |
2022 | Option Pricing with State-dependent Pricing Kernel. (2021). Huang, Zhuo ; Hansen, Peter Reinhard ; Tong, Chen. In: Papers. RePEc:arx:papers:2112.05308. Full description at Econpapers || Download paper | |
2023 | Rainbow Options under Bayesian MS-VAR Process. (2021). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2112.10447. Full description at Econpapers || Download paper | |
2022 | Evolutionary correlation, regime switching, spectral dynamics and optimal trading strategies for cryptocurrencies and equities. (2022). James, Nick. In: Papers. RePEc:arx:papers:2112.15321. Full description at Econpapers || Download paper | |
2023 | Augmented Dynamic Gordon Growth Model. (2022). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2201.06012. Full description at Econpapers || Download paper | |
2022 | Regime recovery using implied volatility in Markov modulated market model. (2022). Patalwala, Irvine Homi ; Mukherjee, Kedar Nath ; Goswami, Anindya. In: Papers. RePEc:arx:papers:2201.10304. Full description at Econpapers || Download paper | |
2022 | A hybrid deep learning approach for purchasing strategy of carbon emission rights -- Based on Shanghai pilot market. (2022). Xu, Jiayue. In: Papers. RePEc:arx:papers:2201.13235. Full description at Econpapers || Download paper | |
2022 | Deep Learning Macroeconomics. (2022). , Rafael ; Rafael, . In: Papers. RePEc:arx:papers:2201.13380. Full description at Econpapers || Download paper | |
2022 | CTMSTOU driven markets: simulated environment for regime-awareness in trading policies. (2022). Balch, Tucker ; Moulin, Aymeric ; Amrouni, Selim. In: Papers. RePEc:arx:papers:2202.00941. Full description at Econpapers || Download paper | |
2022 | Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia. (2022). Roncalli, Thierry ; Kostyuchyk, Nazar ; Bruder, Benjamin. In: Papers. RePEc:arx:papers:2202.10721. Full description at Econpapers || Download paper | |
2022 | Portfolio Diversification Revisited. (2022). Shaw, Charles. In: Papers. RePEc:arx:papers:2204.13398. Full description at Econpapers || Download paper | |
2022 | Efficient Score Computation and Expectation-Maximization Algorithm in Regime-Switching Models. (2022). Qiu, Shi ; Li, Chaojun. In: Papers. RePEc:arx:papers:2205.01565. Full description at Econpapers || Download paper | |
2023 | Policy Choice in Time Series by Empirical Welfare Maximization. (2022). Xu, Mengshan ; Wang, Weining ; Kitagawa, Toru. In: Papers. RePEc:arx:papers:2205.03970. Full description at Econpapers || Download paper | |
2023 | Estimation and Inference for High Dimensional Factor Model with Regime Switching. (2022). Wang, FA ; Urga, Giovanni. In: Papers. RePEc:arx:papers:2205.12126. Full description at Econpapers || Download paper | |
2022 | A new algorithm for structural restrictions in Bayesian vector autoregressions. (2022). Korobilis, Dimitris. In: Papers. RePEc:arx:papers:2206.06892. Full description at Econpapers || Download paper | |
2022 | Parameter Estimation Methods of Required Rate of Return on Stock. (2022). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2206.09657. Full description at Econpapers || Download paper | |
2023 | The Log Private Company Valuation Model. (2022). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2206.09666. Full description at Econpapers || Download paper | |
2022 | Mertons Default Risk Model for Private Company. (2022). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2208.01974. Full description at Econpapers || Download paper | |
2022 | The Econometrics of Financial Duration Modeling. (2022). Cavaliere, Giuseppe ; Vilandt, Frederik ; Rahbek, Anders ; Mikosch, Thomas. In: Papers. RePEc:arx:papers:2208.02098. Full description at Econpapers || Download paper | |
2022 | Regime-based Implied Stochastic Volatility Model for Crypto Option Pricing. (2022). Aste, Tomaso ; Wang, Yuanrong ; Saef, Danial. In: Papers. RePEc:arx:papers:2208.12614. Full description at Econpapers || Download paper | |
2022 | Macroeconomic Predictions using Payments Data and Machine Learning. (2022). Desai, Ajit ; James, . In: Papers. RePEc:arx:papers:2209.00948. Full description at Econpapers || Download paper | |
2022 | Fast Estimation of Bayesian State Space Models Using Amortized Simulation-Based Inference. (2022). Seleznev, Sergei ; Khabibullin, Ramis. In: Papers. RePEc:arx:papers:2210.07154. Full description at Econpapers || Download paper | |
2023 | Modelling Large Dimensional Datasets with Markov Switching Factor Models. (2022). Massacci, Daniele ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2210.09828. Full description at Econpapers || Download paper | |
2023 | Enhanced Bayesian Neural Networks for Macroeconomics and Finance. (2022). Marcellino, Massimiliano ; Klieber, Karin ; Huber, Florian ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2211.04752. Full description at Econpapers || Download paper | |
2022 | Macroeconomic performance of oil price shocks in Russia. (2022). Tiron, Kristina ; Zeynalov, Ayaz. In: Papers. RePEc:arx:papers:2211.04954. Full description at Econpapers || Download paper | |
2022 | Optimal consumption-investment with coupled constraints on consumption and investment strategies in a regime switching market with random coefficients. (2022). Xu, Zuo Quan ; Shi, Xiaomin ; Hu, Ying. In: Papers. RePEc:arx:papers:2211.05291. Full description at Econpapers || Download paper | |
2022 | Fractional integration and cointegration. (2022). Nielsen, Morten ; Hualde, Javier. In: Papers. RePEc:arx:papers:2211.10235. Full description at Econpapers || Download paper | |
2022 | Spatial-temporal dynamics of employment shocks in declining coal mining regions and potentialities of the just transition. (2022). Schwarz, Moritz ; Rafaty, Ryan ; Mark, Ebba. In: Papers. RePEc:arx:papers:2211.12619. Full description at Econpapers || Download paper | |
2023 | Utility-based indifference pricing of pure endowments in a Markov-modulated market model. (2023). Salterini, Benedetta ; Cretarola, Alessandra. In: Papers. RePEc:arx:papers:2301.13575. Full description at Econpapers || Download paper | |
2023 | Regime-switching affine term structures. (2023). Eksi, Zehra ; Eisenberg, Paul ; Celary, Andreas. In: Papers. RePEc:arx:papers:2302.07721. Full description at Econpapers || Download paper | |
2023 | Uncertain Prior Economic Knowledge and Statistically Identified Structural Vector Autoregressions. (2023). Keweloh, Sascha A. In: Papers. RePEc:arx:papers:2303.13281. Full description at Econpapers || Download paper | |
2023 | Collective dynamics, diversification and optimal portfolio construction for cryptocurrencies. (2023). Menzies, Max ; James, Nick. In: Papers. RePEc:arx:papers:2304.08902. Full description at Econpapers || Download paper | |
2023 | Stock Price Predictability and the Business Cycle via Machine Learning. (2023). Fan, Xiuyi ; Fu, Hsuan ; Wang, Lirong. In: Papers. RePEc:arx:papers:2304.09937. Full description at Econpapers || Download paper | |
2023 | Parameter Estimation Methods of Required Rate of Return. (2023). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2305.19708. Full description at Econpapers || Download paper | |
2023 | HireVAE: An Online and Adaptive Factor Model Based on Hierarchical and Regime-Switch VAE. (2023). Lin, Dahua ; Dai, BO ; Rao, Anyi ; Wei, Zikai. In: Papers. RePEc:arx:papers:2306.02848. Full description at Econpapers || Download paper | |
2023 | Identification Robust Inference for the Risk Premium in Term Structure Models. (2023). Kong, Lingwei ; Kleibergen, Frank. In: Papers. RePEc:arx:papers:2307.12628. Full description at Econpapers || Download paper | |
2023 | The Bayesian Context Trees State Space Model for time series modelling and forecasting. (2023). Kontoyiannis, Ioannis ; Papageorgiou, Ioannis. In: Papers. RePEc:arx:papers:2308.00913. Full description at Econpapers || Download paper | |
2023 | Non-linear dimension reduction in factor-augmented vector autoregressions. (2023). Klieber, Karin. In: Papers. RePEc:arx:papers:2309.04821. Full description at Econpapers || Download paper | |
2022 | . Full description at Econpapers || Download paper | |
2023 | Global Evidence of Oil Supply Shocks and Climate Risk a GARCH-MIDAS Approach. (2023). Adeyemi, Farouq A ; Ayinde, Taofeek O. In: Energy RESEARCH LETTERS. RePEc:ayb:jrnerl:78. Full description at Econpapers || Download paper | |
2023 | Stock Returns Under Different Market Regimes: An Application of Markov Switching Models to 24 European Indices. (2023). Gerunov, Anton. In: Economic Studies journal. RePEc:bas:econst:y:2023:i:1:p:18-35. Full description at Econpapers || Download paper | |
2022 | Macroeconomic Predictions Using Payments Data and Machine Learning. (2022). Desai, Ajit ; Chapman, James. In: Staff Working Papers. RePEc:bca:bocawp:22-10. Full description at Econpapers || Download paper | |
2022 | House Price Responses to Monetary Policy Surprises: Evidence from the U.S. Listings Data. (2022). Kudlyak, Marianna ; Kryvtsov, Oleksiy ; Gorea, Denis. In: Staff Working Papers. RePEc:bca:bocawp:22-39. Full description at Econpapers || Download paper | |
2022 | Are Temporary Oil Supply Shocks Real?. (2022). Ellwanger, Reinhard ; Dunbar, Geoffrey ; Brannlund, Johan. In: Staff Working Papers. RePEc:bca:bocawp:22-52. Full description at Econpapers || Download paper | |
2023 | Persistent Debt and Business Cycles in an Economy with Production Heterogeneity. (2023). Khan, Aubhik ; Lee, So Young. In: Staff Working Papers. RePEc:bca:bocawp:23-17. Full description at Econpapers || Download paper | |
2023 | Supply Drivers of US Inflation Since the COVID-19 Pandemic. (2023). Tuzcuoglu, Kerem ; Kabaca, Serdar. In: Staff Working Papers. RePEc:bca:bocawp:23-19. Full description at Econpapers || Download paper | |
2023 | Macroeconomic Disasters and Consumption Smoothing: International Evidence from Historical Data. (2023). Sadaba, Barbara ; Pozzi, Lorenzo. In: Staff Working Papers. RePEc:bca:bocawp:23-4. Full description at Econpapers || Download paper | |
2023 | Assessing global potential output growth and the US neutral rate: April 2023. (2023). Ekanayake, Eshini ; Chaar, Tania ; Avshalumov, Aviel ; Ahmed, Salma ; Xiang, Lin ; Toktamyssov, Argyn ; Rolland-Mills, Jenna ; Poirier, Louis ; Lao, Helen. In: Staff Analytical Notes. RePEc:bca:bocsan:23-5. Full description at Econpapers || Download paper | |
2022 | Skewed SVARs: tracking the structural sources of macroeconomic tail risks. (2022). Ortega, Eva ; Montes-Galdon, Carlos. In: Working Papers. RePEc:bde:wpaper:2208. Full description at Econpapers || Download paper | |
2022 | The Term Structure of Interest Rates in a Heterogeneous Monetary Union. (2022). Thomas, Carlos ; Nuo, Galo ; Costain, James. In: Working Papers. RePEc:bde:wpaper:2223. Full description at Econpapers || Download paper | |
2022 | New Facts on Consumer Price Rigidity in the Euro Area. (2022). Roldan-Blanco, Pau ; Petroulas, Pavlos ; Menz, Jan-Oliver ; Jouvanceau, Valentin ; Gautier, Erwan ; Wieland, Elisabeth ; Santoro, Sergio ; Rumler, Fabio ; Messner, Teresa ; Fadejeva, Ludmila ; Fabo, Brian ; Faber, Riemer P ; Conflitti, Cristina ; Zimmer, Helene. In: Working Papers. RePEc:bde:wpaper:2225. Full description at Econpapers || Download paper | |
2022 | An assessment of Italys energy trade balance. (2022). Tosti, Enrico ; Giordano, Claire. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_696_22. Full description at Econpapers || Download paper | |
2022 | New facts on consumer price rigidity in the Euro Area. (2022). Jouvanceau, Valentin ; Fadejeva, Ludmila ; Zimmer, Hlne ; Fabo, Brian ; Faber, Riemer P ; Wieland, Elisabeth ; Conflitti, Cristina ; Santoro, Sergio ; Gautier, Erwan ; Rumler, Fabio ; Roldan-Blanco, Pau ; Petroulas, Pavlos ; Messner, Teresa ; Menz, Jan-Oliver. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1375_22. Full description at Econpapers || Download paper | |
2022 | Economic fundamentals and stock market valuation: a CAPE-based approach. (2022). Nucera, Federico Calogero ; Drudi, Maria Ludovica. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1393_22. Full description at Econpapers || Download paper | |
2022 | Real-time ineuqalities and policies during the pandemic in the US. (2022). Giglioli, Simona ; Fantozzi, Daniela ; Corrado, Luisa. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1396_22. Full description at Econpapers || Download paper | |
2023 | Effects of the Extraordinary Measures Implemented by Banco de México during the COVID-19 Pandemic on Financial Conditions. (2023). Ibarra, Raul ; Cuadra, Gabriel ; Alba, Carlos ; Gabriel, Cuadra. In: Working Papers. RePEc:bdm:wpaper:2023-03. Full description at Econpapers || Download paper | |
2022 | Latin American Falls, Rebounds and Tail Risks. (2022). Leiva-Leon, Danilo ; Campos, Luciano ; Zapata-Alvarez, Steven. In: Borradores de Economia. RePEc:bdr:borrec:1201. Full description at Econpapers || Download paper | |
2022 | How do Gasoline Prices Respond to a Cost Shock ?. (2022). Marx, Magali ; Gautier, Erwan ; Vertier, Paul. In: Working papers. RePEc:bfr:banfra:861. Full description at Econpapers || Download paper | |
2022 | Financial Conditions and Macroeconomic Downside Risks in the Euro Area. (2022). Lhuissier, Stéphane. In: Working papers. RePEc:bfr:banfra:863. Full description at Econpapers || Download paper | |
2023 | International sanctions and the dollar: Evidence from trade invoicing. (2023). Alain, Naef. In: Working papers. RePEc:bfr:banfra:923. Full description at Econpapers || Download paper | |
2022 | Robust Inference for Non-Gaussian SVAR Models. (2022). Mesters, Geert ; Lee, Adam ; Hoesch, Lukas. In: Working Papers. RePEc:bge:wpaper:1367. Full description at Econpapers || Download paper | |
2023 | The two-regime view of inflation. (2023). Zakrajsek, Egon ; Yetman, James ; Lombardi, Marco Jacopo ; Borio, Claudio. In: BIS Papers. RePEc:bis:bisbps:133. Full description at Econpapers || Download paper | |
2023 | Commodity prices, the dollar and stagflation risk. (2023). Pierres Tejada, Albert ; Hofmann, Boris ; Park, Taejin. In: BIS Quarterly Review. RePEc:bis:bisqtr:2303f. Full description at Econpapers || Download paper | |
2022 | The NAIRU and informality in the Mexican labor market. (2022). Rodriguez-Perez, Cid Alonso ; Ramirez, Claudia ; Alcaraz, Carlo ; Aguilar, Ana. In: BIS Working Papers. RePEc:bis:biswps:1005. Full description at Econpapers || Download paper | |
2022 | How abundant are reserves? Evidence from the wholesale payment system. (2022). Shin, Hyun Song ; Rigon, Lorenzo ; Duffie, Darrell ; Afonso, Gara. In: BIS Working Papers. RePEc:bis:biswps:1053. Full description at Econpapers || Download paper | |
2022 | Term premium dynamics and its determinants: the Mexican case. (2022). Roldan-Pea, Jessica ; Elizondo, Rocio ; Diego-Fernandez, Maria ; Aguilar, Ana. In: BIS Working Papers. RePEc:bis:biswps:993. Full description at Econpapers || Download paper | |
2022 | Monetary policy expectation errors. (2022). Schrimpf, Andreas ; Schmeling, Maik. In: BIS Working Papers. RePEc:bis:biswps:996. Full description at Econpapers || Download paper | |
2022 | Modelling Monetary Surprises Impact on Exchange Rate in Euro Area: Role of Revision of Expectations. (2022). Bannikova, Victoria. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:81:y:2022:i:3:p:3-21. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
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2001 | Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy In: University of California at San Diego, Economics Working Paper Series. [Full Text][Citation analysis] | paper | 52 |
1999 | A Parametric Approach to Flexible Nonlinear Inference In: University of California at San Diego, Economics Working Paper Series. [Full Text][Citation analysis] | paper | 134 |
2001 | A Parametric Approach to Flexible Nonlinear Inference..(2001) In: Econometrica. [Citation analysis] This paper has another version. Agregated cites: 134 | article | |
2000 | A Re-examination of the Predictability of Economic Activity Using the Yield Spread In: University of California at San Diego, Economics Working Paper Series. [Full Text][Citation analysis] | paper | 195 |
2002 | A Reexamination of the Predictability of Economic Activity Using the Yield Spread..(2002) In: Journal of Money, Credit and Banking. [Citation analysis] This paper has another version. Agregated cites: 195 | article | |
2000 | A Re-examination of the Predictability of Economic Activity Using the Yield Spread.(2000) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 195 | paper | |
2015 | Robust Bond Risk Premia In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 69 |
2015 | Robust bond risk premia.(2015) In: Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 69 | paper | |
2017 | Robust Bond Risk Premia.(2017) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 69 | paper | |
2017 | Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 12 |
2018 | Inference in Structural Vector Autoregressions When the Identifying Assumptions are Not Fully Believed: Re-evaluating the Role of Monetary Policy in Economic Fluctuations In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 59 |
2020 | Drawing Conclusions from Structural Vector Autoregressions Identified on the Basis of Sign Restrictions In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 32 |
2020 | Drawing conclusions from structural vector autoregressions identified on the basis of sign restrictions.(2020) In: Journal of International Money and Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 32 | article | |
2020 | Drawing Conclusions from Structural Vector Autoregressions Identified on the Basis of Sign Restrictions.(2020) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 32 | paper | |
2020 | Advances in Structural Vector Autoregressions with Imperfect Identifying Information In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2008 | INSIDE THE ECONOMISTS MIND In: Macroeconomic Dynamics. [Full Text][Citation analysis] | article | 0 |
2011 | NONLINEARITIES AND THE MACROECONOMIC EFFECTS OF OIL PRICES In: Macroeconomic Dynamics. [Full Text][Citation analysis] | article | 296 |
2010 | Nonlinearities and the Macroeconomic Effects of Oil Prices.(2010) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 296 | paper | |
1989 | A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. In: Econometrica. [Full Text][Citation analysis] | article | 4635 |
1988 | Are the macroeconomic effects of oil-price changes symmetric? : A comment In: Carnegie-Rochester Conference Series on Public Policy. [Full Text][Citation analysis] | article | 26 |
1998 | The supply and demand for Federal Reserve deposits In: Carnegie-Rochester Conference Series on Public Policy. [Full Text][Citation analysis] | article | 19 |
1988 | Rational-expectations econometric analysis of changes in regime : An investigation of the term structure of interest rates In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 467 |
2002 | On the interpretation of cointegration in the linear-quadratic inventory model In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 13 |
2003 | Comment on A comparison of two business cycle dating methods In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 31 |
1986 | State-space models In: Handbook of Econometrics. [Full Text][Citation analysis] | chapter | 10 |
2003 | What is an oil shock? In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1407 |
2000 | What is an Oil Shock?.(2000) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1407 | paper | |
2012 | Identification and estimation of Gaussian affine term structure models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 118 |
2012 | Identification and Estimation of Gaussian Affine Term Structure Models.(2012) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 118 | paper | |
2014 | Testable implications of affine term structure models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 31 |
2011 | Testable Implications of Affine Term Structure Models.(2011) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 31 | paper | |
1986 | A standard error for the estimated state vector of a state-space model In: Journal of Econometrics. [Full Text][Citation analysis] | article | 93 |
1990 | Analysis of time series subject to changes in regime In: Journal of Econometrics. [Full Text][Citation analysis] | article | 942 |
1994 | Autoregressive conditional heteroskedasticity and changes in regime In: Journal of Econometrics. [Full Text][Citation analysis] | article | 864 |
1996 | Specification testing in Markov-switching time-series models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 224 |
2011 | Calling recessions in real time In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 114 |
2010 | Calling Recessions in Real Time.(2010) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 114 | paper | |
2011 | Response to comments In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 0 |
2021 | Reprint: Drawing conclusions from structural vector autoregressions identified on the basis of sign restrictions In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 0 |
2014 | Risk premia in crude oil futures prices In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 175 |
2013 | Risk Premia in Crude Oil Futures Prices.(2013) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 175 | paper | |
2019 | Comments on “Foreign Effects of Higher U.S. Interest Rates” by Matteo Iacoviello and Gaston Navarro In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 0 |
2016 | Macroeconomic Regimes and Regime Shifts In: Handbook of Macroeconomics. [Full Text][Citation analysis] | chapter | 56 |
2016 | Macroeconomic Regimes and Regime Shifts.(2016) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 56 | paper | |
2018 | Inference in structural vector autoregressions when the identifying assumptions are not fully believed: Re-evaluating the role of monetary policy in economic fluctuations In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 59 |
2018 | Inference in Structural Vector Autoregressions When the Identifying Assumptions are Not Fully Believed: Re-evaluating the Role of Monetary Policy in Economic Fluctuations.(2018) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 59 | paper | |
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1985 | The observable implications of self-fulfilling expectations In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 100 |
1987 | Monetary factors in the great depression In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 117 |
1989 | The long-run behavior of the velocity of circulation : A review essay In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 9 |
1996 | This is what happened to the oil price-macroeconomy relationship In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 1000 |
1998 | The augmented Solow model and the productivity slowdown In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 55 |
2008 | Daily monetary policy shocks and new home sales In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 69 |
2016 | Heterogeneity and Unemployment Dynamics In: Working Papers. [Full Text][Citation analysis] | paper | 10 |
2016 | Heterogeneity and Unemployment Dynamics.(2016) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
2016 | Heterogeneity and Unemployment Dynamics.(2016) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
2004 | Normalization in econometrics In: FRB Atlanta Working Paper. [Full Text][Citation analysis] | paper | 77 |
2007 | Normalization in Econometrics.(2007) In: Econometric Reviews. [Full Text][Citation analysis] This paper has another version. Agregated cites: 77 | article | |
2016 | Do macro variables help forecast interest rates? In: FRBSF Economic Letter. [Full Text][Citation analysis] | article | 0 |
2004 | Regime shifts in a dynamic term structure model of U.S. Treasury bond yields, comments In: Proceedings. [Full Text][Citation analysis] | article | 0 |
2019 | Measuring Labor-Force Participation and the Incidence and Duration of Unemployment In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 11 |
2020 | Measuring Labor-Force Participation and the Incidence and Duration of Unemployment.(2020) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
2022 | Measuring Labor-Force Participation and the Incidence and Duration of Unemployment.(2022) In: Review of Economic Dynamics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | article | |
2018 | Factors in Unemployment Dynamics In: FEDS Notes. [Full Text][Citation analysis] | paper | 0 |
2009 | The market-perceived monetary policy rule In: International Finance Discussion Papers. [Full Text][Citation analysis] | paper | 12 |
2007 | Housing and the monetary transmission mechanism: commentary In: Proceedings - Economic Policy Symposium - Jackson Hole. [Full Text][Citation analysis] | article | 0 |
2005 | Whats real about the business cycle? In: Review. [Full Text][Citation analysis] | article | 33 |
2005 | Whats Real About the Business Cycle?.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 33 | paper | |
2008 | Assessing monetary policy effects using daily federal funds futures contracts In: Review. [Full Text][Citation analysis] | article | 17 |
2009 | The propagation of regional recessions In: Working Papers. [Full Text][Citation analysis] | paper | 111 |
2011 | The Propagation of Regional Recessions.(2011) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 111 | paper | |
2012 | The Propagation of Regional Recessions.(2012) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 111 | article | |
1999 | A model for the federal funds rate target In: Department of Economics. [Full Text][Citation analysis] | paper | 185 |
2000 | A Model for the Federal Funds Rate Target.(2000) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 185 | paper | |
2002 | A Model of the Federal Funds Rate Target.(2002) In: Journal of Political Economy. [Full Text][Citation analysis] This paper has another version. Agregated cites: 185 | article | |
2009 | Concerns about the Feds New Balance Sheet In: Book Chapters. [Full Text][Citation analysis] | chapter | 1 |
1986 | On Testing for Self-fulfilling Speculative Price Bubbles. In: International Economic Review. [Full Text][Citation analysis] | article | 33 |
2012 | Import Prices and Inflation In: International Journal of Central Banking. [Full Text][Citation analysis] | article | 6 |
1996 | Stock Market Volatility and the Business Cycle. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 349 |
1991 | The Sustainability of Budget Deficits with Lump-Sum and with Income-Based Taxation: Comment. In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] | article | 0 |
2004 | Why Are Prices Sticky? The Dynamics of Wholesale Gasoline Prices. In: Journal of Money, Credit and Banking. [Citation analysis] | article | 101 |
2003 | Why Are Prices Sticky? The Dynamics of Wholesale Gasoline Prices.(2003) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 101 | paper | |
2004 | Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy: Comment. In: Journal of Money, Credit and Banking. [Citation analysis] | article | 463 |
2009 | Daily Changes in Fed Funds Futures Prices In: Journal of Money, Credit and Banking. [Citation analysis] | article | 43 |
2007 | Daily Changes in Fed Funds Futures Prices.(2007) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 43 | paper | |
2012 | The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] | article | 496 |
2011 | The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment.(2011) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 496 | paper | |
2005 | Dating Business Cycle Turning Points In: NBER Working Papers. [Full Text][Citation analysis] | paper | 68 |
2007 | Assessing Monetary Policy Effects Using Daily Fed Funds Futures Contracts In: NBER Working Papers. [Full Text][Citation analysis] | paper | 4 |
2008 | Macroeconomics and ARCH In: NBER Working Papers. [Full Text][Citation analysis] | paper | 46 |
2008 | Daily Monetary Policy Shocks and the Delayed Response of New Home Sales In: NBER Working Papers. [Full Text][Citation analysis] | paper | 67 |
2010 | Sources of Variation in Holding Returns for Fed Funds Futures Contracts In: NBER Working Papers. [Full Text][Citation analysis] | paper | 10 |
2011 | Sources of variation in holding returns for fed funds futures contracts.(2011) In: Journal of Futures Markets. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | article | |
2011 | Historical Oil Shocks In: NBER Working Papers. [Full Text][Citation analysis] | paper | 160 |
2012 | Oil Prices, Exhaustible Resources, and Economic Growth In: NBER Working Papers. [Full Text][Citation analysis] | paper | 28 |
2013 | Off-Balance-Sheet Federal Liabilities In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2013 | Crunch Time: Fiscal Crises and the Role of Monetary Policy In: NBER Working Papers. [Full Text][Citation analysis] | paper | 61 |
2014 | Effects of Index-Fund Investing on Commodity Futures Prices In: NBER Working Papers. [Full Text][Citation analysis] | paper | 34 |
2014 | The Changing Face of World Oil Markets In: NBER Working Papers. [Full Text][Citation analysis] | paper | 12 |
2014 | Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information In: NBER Working Papers. [Full Text][Citation analysis] | paper | 249 |
2015 | Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information.(2015) In: Econometrica. [Full Text][Citation analysis] This paper has another version. Agregated cites: 249 | article | |
2015 | The Equilibrium Real Funds Rate: Past, Present and Future In: NBER Working Papers. [Full Text][Citation analysis] | paper | 252 |
2016 | The Equilibrium Real Funds Rate: Past, Present, and Future.(2016) In: IMF Economic Review. [Full Text][Citation analysis] This paper has another version. Agregated cites: 252 | article | |
2017 | Why You Should Never Use the Hodrick-Prescott Filter In: NBER Working Papers. [Full Text][Citation analysis] | paper | 168 |
2017 | Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks In: NBER Working Papers. [Full Text][Citation analysis] | paper | 326 |
2018 | A Skeptical View of the Impact of the Fed’s Balance Sheet In: NBER Working Papers. [Full Text][Citation analysis] | paper | 15 |
2019 | Measuring Global Economic Activity In: NBER Working Papers. [Full Text][Citation analysis] | paper | 52 |
2019 | Perspectives on U.S. Monetary Policy Tools and Instruments In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | Advances in Using Vector Autoregressions to Estimate Structural Magnitudes In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1 |
2021 | Supply, Demand, and Specialized Production In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1 |
1989 | Long Swings in the Exchange Rate: Are they in the Data and Do Markets Know It? In: NBER Working Papers. [Full Text][Citation analysis] | paper | 11 |
2021 | Online Appendix to Measuring Labor-Force Participation and the Incidence and Duration of Unemployment In: Online Appendices. [Full Text][Citation analysis] | paper | 2 |
2022 | Measuring Labor-Force Participation and the Incidence and Duration of Unemployment.(2022) In: Review of Economic Dynamics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
1997 | Comment on U.S. Oil Consumption, Oil Prices, and the Macroeconomy. In: Empirical Economics. [Citation analysis] | article | 1 |
2002 | New directions in business cycle research and financial analysis In: Empirical Economics. [Full Text][Citation analysis] | article | 28 |
2000 | Book review In: Econometric Reviews. [Full Text][Citation analysis] | article | 2 |
1996 | What Do the Leading Indicators Lead? In: The Journal of Business. [Full Text][Citation analysis] | article | 88 |
1996 | The Daily Market for Federal Funds. In: Journal of Political Economy. [Full Text][Citation analysis] | article | 283 |
1983 | Oil and the Macroeconomy since World War II. In: Journal of Political Economy. [Full Text][Citation analysis] | article | 1968 |
1985 | Uncovering Financial Market Expectations of Inflation. In: Journal of Political Economy. [Full Text][Citation analysis] | article | 43 |
1988 | A Neoclassical Model of Unemployment and the Business Cycle. In: Journal of Political Economy. [Full Text][Citation analysis] | article | 327 |
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