James Hamilton : Citation Profile

University of California-San Diego (UCSD)

52

H index

79

i10 index

22429

Citations

RESEARCH PRODUCTION:

72

Articles

67

Papers

3

Chapters

RESEARCH ACTIVITY:

   41 years (1983 - 2024). See details.
   Cites by year: 547
   Journals where James Hamilton has often published
   Relations with other researchers
   Recent citing documents: 719.    Total self citations: 59 (0.26 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pha60
   Updated: 2025-05-17    RAS profile: 2023-03-10    
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Relations with other researchers

Works with:

Baumeister, Christiane (6)

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

Is cited by:

Kilian, Lutz (268)

GUPTA, RANGAN (261)

Wang, Yudong (127)

Baumeister, Christiane (121)

Balcilar, Mehmet (121)

Filis, George (120)

Ratti, Ronald (119)

Owyang, Michael (109)

Ferrara, Laurent (99)

Serletis, Apostolos (93)

Degiannakis, Stavros (90)

Cites to:

Kilian, Lutz (60)

Baumeister, Christiane (44)

Swanson, Eric (41)

Gürkaynak, Refet (33)

Rudebusch, Glenn (30)

Zha, Tao (26)

Watson, Mark (25)

Peersman, Gert (23)

Canova, Fabio (22)

Piazzesi, Monika (19)

Ang, Andrew (18)

Main data

Where James Hamilton has published?

Journals with more than one article published# docs
Journal of Monetary Economics7
Journal of Econometrics7
Journal of Money, Credit and Banking6
Journal of Political Economy5
American Economic Review4
Journal of International Money and Finance4
Journal of Economic Dynamics and Control3
Journal of Business & Economic Statistics3
Review2
Econometric Reviews2
Carnegie-Rochester Conference Series on Public Policy2
The Energy Journal2
Macroeconomic Dynamics2
Econometrica2
Review of Economic Dynamics2
International Journal of Forecasting2
Empirical Economics2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc45
CEPR Discussion Papers / C.E.P.R. Discussion Papers4
University of California at San Diego, Economics Working Paper Series / Department of Economics, UC San Diego3
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)2

Recent works citing James Hamilton (2025 and 2024)

YearTitle of citing document
2024The Ends of 27 Big Depressions. (2024). O'Rourke, Kevin ; Lee, Sang Seok ; Ellison, Martin. In: American Economic Review. RePEc:aea:aecrev:v:114:y:2024:i:1:p:134-68.

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2024The impact of oil price shocks on economic growth in Algeria. (2024). Dib, Hafsa. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxxi:y:2024:i:4(641):p:323-338.

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2024Quantitative easing and its implications for contingent convertible triggers: an analytical perspective. (2024). Vid, Alin Ioan ; Chepti, Alexandra ; Cotescu, Rzvan ; Vasilca, Miruna-Mihaela. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxxi:y:2024:i:4(641):p:357-373.

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2025The relationship between external factors and economic growth: Differences between the global financial crisis and the COVID-19 pandemic from a Granger causality perspective. (2025). Vid, Alin-Ioan ; Vasilca, Miruna-Mihaela ; Bejenaru, Cristina ; Cheptis, Alexandra. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxxii:y:2025:i:1(642):p:125-134.

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2024Nitrogen Fertilizer Price Bubbles and Contributing Factors: Evidence from the Chinese Urea Fertilizer Market. (2024). Hu, Zhepeng ; Lai, Tianyun. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea22:343535.

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2024Dynamic Linkages in Agricultural and Energy Markets: A Quantile Impulse Response Approach. (2024). Wang, Linjie ; Li, Jian ; Chavas, Jean-Paul. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea22:343541.

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2024Short-Term Impact of the Trade War on U.S. Agricultural Commodities Futures Prices. (2024). Yu, Shuo. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea22:344060.

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2025When do common time series estimands have nonparametric causal meaning?. (2025). Shephard, Neil ; Rambachan, Ashesh. In: Papers. RePEc:arx:papers:1903.01637.

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2024Consistent Specification Test of the Quantile Autoregression. (2024). Phella, Anthoulla. In: Papers. RePEc:arx:papers:2010.03898.

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2024Theory of Low Frequency Contamination from Nonstationarity and Misspecification: Consequences for HAR Inference. (2024). Perron, Pierre ; Deng, Taosong ; Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.01604.

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2024Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models. (2024). Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.02981.

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2024Options Pricing under Bayesian MS-VAR Process. (2024). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2109.05998.

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2024Regime-Switching Density Forecasts Using Economists Scenarios. (2024). Moramarco, Graziano. In: Papers. RePEc:arx:papers:2110.13761.

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2024Equity-Linked Life Insurances on Maximum of Several Assets. (2024). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2111.04038.

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2024Augmented Dynamic Gordon Growth Model. (2024). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2201.06012.

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2024Policy Choice in Time Series by Empirical Welfare Maximization. (2024). Wang, Weining ; Kitagawa, Toru ; Xu, Mengshan. In: Papers. RePEc:arx:papers:2205.03970.

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2024The Log Private Company Valuation Model. (2024). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2206.09666.

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2024Modelling Large Dimensional Datasets with Markov Switching Factor Models. (2024). Barigozzi, Matteo ; Massacci, Daniele. In: Papers. RePEc:arx:papers:2210.09828.

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2024Bayesian Neural Networks for Macroeconomic Analysis. (2024). Marcellino, Massimiliano ; Huber, Florian ; Hauzenberger, Niko ; Klieber, Karin. In: Papers. RePEc:arx:papers:2211.04752.

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2024Uncertain Short-Run Restrictions and Statistically Identified Structural Vector Autoregressions. (2024). Keweloh, Sascha A. In: Papers. RePEc:arx:papers:2303.13281.

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2024Structural Analysis of Vector Autoregressive Models. (2024). Katsouris, Christis. In: Papers. RePEc:arx:papers:2312.06402.

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2024Stochastic Equilibrium the Lucas Critique and Keynesian Economics. (2024). Staines, David. In: Papers. RePEc:arx:papers:2312.16214.

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2024Robust Inference for Multiple Predictive Regressions with an Application on Bond Risk Premia. (2024). Li, Xinjue ; Liao, Xiaosai ; Fan, Qingliang. In: Papers. RePEc:arx:papers:2401.01064.

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2024Predicting the volatility of major energy commodity prices: the dynamic persistence model. (2024). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2402.01354.

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2024Downside Risk Reduction Using Regime-Switching Signals: A Statistical Jump Model Approach. (2024). Shu, Yizhan ; Mulvey, John M ; Yu, Chenyu. In: Papers. RePEc:arx:papers:2402.05272.

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2024Selective linear segmentation for detecting relevant parameter changes. (2024). Houndetoungan, Aristide ; Dufays, Arnaud ; Coen, Alain. In: Papers. RePEc:arx:papers:2402.05329.

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2024On Bayesian Filtering for Markov Regime Switching Models. (2024). Maih, Junior ; Kirsanova, Tatiana ; Hashimzade, Nigar. In: Papers. RePEc:arx:papers:2402.08051.

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2025A Gaussian smooth transition vector autoregressive model: An application to the macroeconomic effects of severe weather shocks. (2025). Lanne, Markku ; Virolainen, Savi. In: Papers. RePEc:arx:papers:2403.14216.

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2024Bayesian Markov-Switching Vector Autoregressive Process. (2024). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2404.11235.

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2025Kernel Three Pass Regression Filter. (2025). Jat, Rajveer ; Padha, Daanish. In: Papers. RePEc:arx:papers:2405.07292.

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2024NIFTY Financial News Headlines Dataset. (2024). Saqur, Raeid ; Vinden, Nicholas ; Kato, Ken ; Rudzicz, Frank. In: Papers. RePEc:arx:papers:2405.09747.

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2024Mixing it up: Inflation at risk. (2024). Schroder, Maximilian. In: Papers. RePEc:arx:papers:2405.17237.

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2024Modelling and Forecasting Energy Market Volatility Using GARCH and Machine Learning Approach. (2024). Chung, Seulki. In: Papers. RePEc:arx:papers:2405.19849.

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2024Dynamic Asset Allocation with Asset-Specific Regime Forecasts. (2024). Shu, Yizhan ; Mulvey, John M ; Yu, Chenyu. In: Papers. RePEc:arx:papers:2406.09578.

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2024EM Estimation of Conditional Matrix Variate $t$ Distributions. (2024). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2406.10837.

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2024What Teaches Robots to Walk, Teaches Them to Trade too -- Regime Adaptive Execution using Informed Data and LLMs. (2024). Saqur, Raeid. In: Papers. RePEc:arx:papers:2406.15508.

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2024The Mertons Default Risk Model for Public Company. (2024). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2406.18121.

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2024How do financial variables impact public debt growth in China? An empirical study based on Markov regime-switching model. (2024). Liu, Zhixin ; Xu, Yingying ; Zhou, Tianbao. In: Papers. RePEc:arx:papers:2407.02183.

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2024Volatility modeling in a Markovian environment: Two Ornstein-Uhlenbeck-related approaches. (2024). Behme, Anita. In: Papers. RePEc:arx:papers:2407.05866.

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2024Has the Recession Started?. (2024). Michaillat, Pascal ; Saez, Emmanuel. In: Papers. RePEc:arx:papers:2408.05856.

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2024The mean-variance portfolio selection based on the average and current profitability of the risky asset. (2024). Li, YU ; Wu, Yuhan ; Zhang, Shuhua. In: Papers. RePEc:arx:papers:2408.07969.

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2024Machine Learning and the Yield Curve: Tree-Based Macroeconomic Regime Switching. (2024). Diebold, Francis ; Bie, Siyu ; Li, Junye ; He, Jingyu. In: Papers. RePEc:arx:papers:2408.12863.

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2024Modeling the Dynamics of Growth in Master-Planned Communities. (2024). Gabashvili, Irene S ; Allsup, Christopher K. In: Papers. RePEc:arx:papers:2408.14214.

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2024Structural counterfactual analysis in macroeconomics: theory and inference. (2024). Wang, Endong. In: Papers. RePEc:arx:papers:2409.09577.

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2024Simple robust two-stage estimation and inference for generalized impulse responses and multi-horizon causality. (2024). Dufour, Jean-Marie ; Wang, Endong. In: Papers. RePEc:arx:papers:2409.10820.

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2024A Run on Fossil Fuel? Climate Change and Transition Risk. (2024). Barnett, Michael. In: Papers. RePEc:arx:papers:2410.00902.

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2024Robust Bond Risk Premia Predictability Test in the Quantiles. (2024). Fan, Qingliang ; Li, Xinjue ; Liao, Xiaosai. In: Papers. RePEc:arx:papers:2410.03557.

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2024Dynamic Factor Allocation Leveraging Regime-Switching Signals. (2024). Mulvey, John M ; Shu, Yizhan. In: Papers. RePEc:arx:papers:2410.14841.

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2024MSTest: An R-Package for Testing Markov Switching Models. (2024). Rodriguez-Rondon, Gabriel ; Dufour, Jean-Marie. In: Papers. RePEc:arx:papers:2411.08188.

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2024Underlying Core Inflation with Multiple Regimes. (2024). Rodriguez-Rondon, Gabriel. In: Papers. RePEc:arx:papers:2411.12845.

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2024Dual Interpretation of Machine Learning Forecasts. (2024). Goulet Coulombe, Philippe ; Goebel, Maximilian ; Klieber, Karin. In: Papers. RePEc:arx:papers:2412.13076.

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2024Advanced Models for Hourly Marginal CO2 Emission Factor Estimation: A Synergy between Fundamental and Statistical Approaches. (2024). Muesgens, Felix ; Batzlineiro, Taimyra ; Sgarciu, Smaranda ; ben Amor, Souhir. In: Papers. RePEc:arx:papers:2412.17379.

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2024Asymptotic Properties of the Maximum Likelihood Estimator for Markov-switching Observation-driven Models. (2024). Krabbe, Frederik. In: Papers. RePEc:arx:papers:2412.19555.

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2025Bayesian Analyses of Structural Vector Autoregressions with Sign, Zero, and Narrative Restrictions Using the R Package bsvarSIGNs. (2025). Wo, Tomasz ; Wang, Xiaolei. In: Papers. RePEc:arx:papers:2501.16711.

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2025AlphaSharpe: LLM-Driven Discovery of Robust Risk-Adjusted Metrics. (2025). Yuksel, Kamer Ali ; Sawaf, Hassan. In: Papers. RePEc:arx:papers:2502.00029.

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2025Fiscal Policy and Household Savings in Central Europe (Poland, Croatia, and Slovak Republic) -- A Markov Switching VAR with Covid Shock. (2025). , Ehsanullah ; Yusof, Mohd Faizal ; Hassan, Md Sharif ; Islam, Md Aminul ; Rab, Naharin Binte. In: Papers. RePEc:arx:papers:2502.14041.

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2025Contrastive Similarity Learning for Market Forecasting: The ContraSim Framework. (2025). Vinden, Nicholas ; Saqur, Raeid ; Zhu, Zining ; Rudzicz, Frank. In: Papers. RePEc:arx:papers:2502.16023.

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2025Tactical Asset Allocation with Macroeconomic Regime Detection. (2025). Oliveira, Daniel Cunha ; Sandfelder, Dylan ; Dong, Xiaowen ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2503.11499.

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2025Large Structural VARs with Multiple Sign and Ranking Restrictions. (2025). Matthes, Christian ; Chan, Joshua ; Yu, Xuewen. In: Papers. RePEc:arx:papers:2503.20668.

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2025Labor Market Impact on Homelessness: Evidence from Canadian Administrative Data on Shelter Usage. (2025). Tuvaandorj, Purevdorj ; Lkhagvasuren, Damba. In: Papers. RePEc:arx:papers:2503.23259.

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2025Statistical applications of the 20/60/20 rule in risk management and portfolio optimization. (2025). Wyloma, Agnieszka ; Pitera, Marcin ; Pkaczek, Kewin ; Jelito, Damian. In: Papers. RePEc:arx:papers:2504.02840.

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2025Modeling Regime Structure and Informational Drivers of Stock Market Volatility via the Financial Chaos Index. (2025). Ataei, Masoud. In: Papers. RePEc:arx:papers:2504.18958.

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2024Policy choice in time series by empirical welfare maximization. (2024). Xu, Mengshan ; Wang, Weining ; Kitagawa, Toru. In: CeMMAP working papers. RePEc:azt:cemmap:27/24.

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2024Bayesian nonparametric methods for macroeconomic forecasting. (2024). Pfarrhofer, Michael ; Marcellino, Massimiliano. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp24224.

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2024The Neutral Interest Rate: Past, Present and Future. (2024). Ozhan, Galip ; Feunou, Bruno ; Cacciatore, Matteo. In: Discussion Papers. RePEc:bca:bocadp:24-03.

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2024Does Unconventional Monetary and Fiscal Policy Contribute to the COVID Inflation Surge in the US?. (2024). Zhang, Ji ; Xie, Yinxi ; Wu, Jing Cynthia. In: Staff Working Papers. RePEc:bca:bocawp:24-38.

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2024Renewable Energy Shocks and Business Cycle Dynamics with Application to Brazil. (2024). Kornelius, Alexandre ; Divino, Jose Angelo. In: Working Papers Series. RePEc:bcb:wpaper:592.

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2024The Effect of Global Economic Policy Uncertainty on Selected Islamic Stock Market Returns. (2024). Yacob, Norzahidah ; Mohd, Siti Musliha ; Yussof, Khairunnisa ; Wan, Wan Rasyidah ; Adam, Norashikin. In: International Journal of Research and Innovation in Social Science. RePEc:bcp:journl:v:8:y:2024:i:10:p:195-210.

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2024US monetary policy spillovers to the euro area. (2024). Degasperi, Riccardo ; Venditti, Fabrizio. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_891_24.

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2025Energy price shocks and their effects on the main macroeconomic variables: a Bayesian SVAR analysis. (2025). Lilla, Francesca ; Infante, Luigi ; Pasetto, Michela E. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_926_25.

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2024Oil price shocks in real time. (2024). Gazzani, Andrea Giovanni ; Veronese, Giovanni ; Venditti, Fabrizio. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1448_24.

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2025The macroeconomic effects of a greener technology mix. (2025). Gazzani, Andrea Giovanni ; Natoli, Filippo ; Ferriani, Fabrizio. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1482_25.

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2024Heterogeneous recessions and expansions in Mexican regions and sectors. (2024). Mascarua, Miguel A. In: Working Papers. RePEc:bdm:wpaper:2024-13.

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2024The Transmission of Supply Shocks in Different Inflation Regimes. (2024). Enders, Zeno ; Arndt, Sarah. In: Working papers. RePEc:bfr:banfra:938.

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2024Unwinding Quantitative Easing: State Dependency and Household Heterogeneity. (2024). Meichtry, Pascal ; Cantore, Cristiano. In: Working papers. RePEc:bfr:banfra:955.

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2024Inflation (De-)Anchoring in the Euro Area. (2024). De Backer, Bruno ; Vladu, Andreea Liliana ; Burban, Valentin. In: Working papers. RePEc:bfr:banfra:965.

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2025Innovations Meet Narratives -Improving the Power-Credibility Trade-off in Macro. (2025). Barnichon, Raegis ; Mesters, Geert. In: Working Papers. RePEc:bge:wpaper:1475.

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2024Causality from Oil Price Shocks to Macroeconomic Indicators: A Comparison for Top Oil Importer Countries. (2024). Kocaman, Merve. In: Bingol University Journal of Economics and Administrative Sciences. RePEc:bgo:journl:v:8:y:2024:i:2:p:205-218.

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2024Quo vadis, r*? The natural rate of interest after the pandemic. (2024). Sandri, Damiano ; Nuño Barrau, Galo ; Hofmann, Boris ; Benigno, Gianluca. In: BIS Quarterly Review. RePEc:bis:bisqtr:2403b.

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2024The plucking model of the unemployment rate floor: Corss-country estimates and empirics. (2024). Suah, Jing Lian. In: BIS Working Papers. RePEc:bis:biswps:1159.

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2024Reserve requirements as a financial stability instrument. (2024). Gondo Mori, Rocio ; Cantu Garcia, Carlos ; Martinez, Berenice. In: BIS Working Papers. RePEc:bis:biswps:1182.

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2024House price responses to monetary policy surprises: evidence from US listings data. (2024). Kudlyak, Marianna ; Kryvtsov, Oleksiy ; Gorea, Denis. In: BIS Working Papers. RePEc:bis:biswps:1212.

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2025Assessment of Portfolio Credit Risk under Dynamic Default Correlation. (2025). Matveev, Aleksandr. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:84:y:2025:i:1:p:129-142.

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2024Estimation of the public debt threshold effects on economic growth in sub‐Saharan African countries. (2024). Kitutila, Yannick. In: African Development Review. RePEc:bla:afrdev:v:36:y:2024:i:2:p:377-390.

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2024The impact of deviations from soybean product crushing estimates on return and risk. (2024). Chitavi, Michael ; Abdoh, Hussein. In: Agricultural Economics. RePEc:bla:agecon:v:55:y:2024:i:2:p:181-199.

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2024Do higher global oil and wheat prices matter for the wheat flour price in Lebanon?. (2024). Karaki, Mohamad ; Neaimeh, Andrios. In: Agricultural Economics. RePEc:bla:agecon:v:55:y:2024:i:4:p:559-571.

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2024Dynamic linkages in agricultural and energy markets: A quantile impulse response approach. (2024). Wang, Linjie ; Li, Jian ; Chavas, Jeanpaul. In: Agricultural Economics. RePEc:bla:agecon:v:55:y:2024:i:4:p:639-676.

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2024Global economic contraction, climate change and the gold market volatility: A GARCH‐MIDAS approach. (2024). Salisu, Afees ; Vo, Xuan Vinh ; Penzin, Dinci J. In: Australian Economic Papers. RePEc:bla:ausecp:v:63:y:2024:i:4:p:712-728.

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

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2024U.S. shale oil production and trend estimation: Forecasting a Hubbert model. (2024). Reynolds, Douglas B. In: Economic Inquiry. RePEc:bla:ecinqu:v:62:y:2024:i:1:p:468-487.

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2024Unequal ground: oil booms and income inequality in the USA. (2024). Abdelwahed, Loujaina ; Campbell, Cole. In: Economica. RePEc:bla:econom:v:91:y:2024:i:363:p:880-910.

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2024Alternative Monetary Policy Commitments and the Yield Curve. (2024). Haworth, Cameron ; Gai, Prasanna. In: The Economic Record. RePEc:bla:ecorec:v:100:y:2024:i:329:p:137-159.

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2024Hybrid SV‐GARCH, t‐GARCH and Markov‐switching covariance structures in VEC models—Which is better from a predictive perspective?. (2024). Pajor, Anna ; Kwiatkowski, Ukasz ; Wroblewska, Justyna ; Osiewalski, Jacek. In: International Statistical Review. RePEc:bla:istatr:v:92:y:2024:i:1:p:62-86.

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2024Financial stability, stranded assets and the low‐carbon transition – A critical review of the theoretical and applied literatures. (2024). Daumas, Louis. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:3:p:601-716.

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2024Interest Rate Skewness and Biased Beliefs. (2024). Chernov, Mikhail ; Bauer, Michael. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:1:p:173-217.

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2024What Drives Variation in the U.S. Debt‐to‐Output Ratio? The Dogs that Did not Bark. (2024). Van Nieuwerburgh, Stijn ; Xiaolan, Mindy Z ; Lustig, Hanno ; Jiang, Zhengyang. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:4:p:2603-2665.

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2024The Working Capital Credit Multiplier. (2024). Kim, Taehyun ; Carvalho, Daniel ; Almeida, Heitor. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:6:p:4247-4302.

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2024Socioeconomic impacts of Russian invasion of Ukraine: A multiregional assessment for Europe. (2024). Almazngmez, Miguel Ngel ; Llano, Carlos ; Rauhut, Daniel ; Prez, Julin. In: Journal of Regional Science. RePEc:bla:jregsc:v:64:y:2024:i:2:p:333-354.

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2024Give me a U, give me a V, give me an L!: How effective are countercyclical policies in shaping the output dynamic during recessions. (2024). Pearrieta, Luis Castro ; Castaeda, Gonzalo. In: Metroeconomica. RePEc:bla:metroe:v:75:y:2024:i:1:p:107-133.

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2024Sequencing the COVID‐19 Recession in the USA: What Were the Macroeconomic Drivers?. (2024). Scharler, Johann ; Grndler, Daniel ; Geiger, Martin ; Breitenlechner, Max. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:86:y:2024:i:1:p:119-136.

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2024A New Approach to Forecasting the Probability of Recessions after the COVID‐19 Pandemic. (2024). Camacho, Maximo ; Ruiz, Manuel ; Ramallo, Salvador. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:86:y:2024:i:4:p:833-855.

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

Works by James Hamilton:

YearTitleTypeCited
1986On the Limitations of Government Borrowing: A Framework for EmpiricalTesting. In: American Economic Review.
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1985On the Limitations of Government Borrowing: A Framework for Empirical Testing.(1985) In: NBER Working Papers.
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1990Long Swings in the Dollar: Are They in the Data and Do Markets Know It? In: American Economic Review.
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1992Was the Deflation during the Great Depression Anticipated? Evidence from the Commodity Futures Market. In: American Economic Review.
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1997Measuring the Liquidity Effect. In: American Economic Review.
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1996Measuring the liquidity effect.(1996) In: Working Papers in Applied Economic Theory.
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2011Estimating the Market-Perceived Monetary Policy Rule In: American Economic Journal: Macroeconomics.
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2010Estimating the Market-Perceived Monetary Policy Rule.(2010) In: NBER Working Papers.
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1985Historical Causes of Postwar Oil Shocks and Recessions In: The Energy Journal.
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2009Understanding Crude Oil Prices In: The Energy Journal.
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2008Understanding Crude Oil Prices.(2008) In: NBER Working Papers.
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1986Estimation of Unobserved Expected Monthly Inflation Using Kalman Filtering. In: Journal of Business & Economic Statistics.
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1991A Quasi-Bayesian Approach to Estimating Parameters for Mixtures of Normal Distributions. In: Journal of Business & Economic Statistics.
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1991The Quantitative Significance of the Lucas Critique: Comment. In: Journal of Business & Economic Statistics.
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2009Causes and Consequences of the Oil Shock of 2007-08 In: Brookings Papers on Economic Activity.
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2010Causes and consequences of the oil shock of 2007–08.(2010) In: FRB Atlanta CQER Working Paper.
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2009Causes and Consequences of the Oil Shock of 2007-08.(2009) In: NBER Working Papers.
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1988ROLE OF THE INTERNATIONAL GOLD STANDARD IN PROPAGATING THE GREAT DEPRESSION In: Contemporary Economic Policy.
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2018Inference in structural vector auto regressions when the identifying assumptions are not fully believed : Re-evaluating the role of monetary policy in economic fluctuations In: Research Discussion Papers.
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2005Comment on Investigating Nonlinearity In: Studies in Nonlinear Dynamics & Econometrics.
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2001Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy In: University of California at San Diego, Economics Working Paper Series.
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1999A Parametric Approach to Flexible Nonlinear Inference In: University of California at San Diego, Economics Working Paper Series.
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2001A Parametric Approach to Flexible Nonlinear Inference..(2001) In: Econometrica.
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2000A Re-examination of the Predictability of Economic Activity Using the Yield Spread In: University of California at San Diego, Economics Working Paper Series.
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2002A Reexamination of the Predictability of Economic Activity Using the Yield Spread..(2002) In: Journal of Money, Credit and Banking.
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2000A Re-examination of the Predictability of Economic Activity Using the Yield Spread.(2000) In: NBER Working Papers.
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2015Robust Bond Risk Premia In: CESifo Working Paper Series.
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2015Robust bond risk premia.(2015) In: Working Paper Series.
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2017Robust Bond Risk Premia.(2017) In: NBER Working Papers.
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2017Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks In: CEPR Discussion Papers.
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2018Inference 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.
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2020Drawing Conclusions from Structural Vector Autoregressions Identified on the Basis of Sign Restrictions In: CEPR Discussion Papers.
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2020Drawing conclusions from structural vector autoregressions identified on the basis of sign restrictions.(2020) In: Journal of International Money and Finance.
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2020Drawing Conclusions from Structural Vector Autoregressions Identified on the Basis of Sign Restrictions.(2020) In: NBER Working Papers.
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2020Advances in Structural Vector Autoregressions with Imperfect Identifying Information In: CEPR Discussion Papers.
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2008INSIDE THE ECONOMISTS MIND In: Macroeconomic Dynamics.
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2011NONLINEARITIES AND THE MACROECONOMIC EFFECTS OF OIL PRICES In: Macroeconomic Dynamics.
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2010Nonlinearities and the Macroeconomic Effects of Oil Prices.(2010) In: NBER Working Papers.
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1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. In: Econometrica.
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1988Are the macroeconomic effects of oil-price changes symmetric? : A comment In: Carnegie-Rochester Conference Series on Public Policy.
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1998The supply and demand for Federal Reserve deposits In: Carnegie-Rochester Conference Series on Public Policy.
[Full Text][Citation analysis]		article17
1988Rational-expectations econometric analysis of changes in regime : An investigation of the term structure of interest rates In: Journal of Economic Dynamics and Control.
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2002On the interpretation of cointegration in the linear-quadratic inventory model In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article14
2003Comment on A comparison of two business cycle dating methods In: Journal of Economic Dynamics and Control.
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1986State-space models In: Handbook of Econometrics.
[Full Text][Citation analysis]		chapter10
2003What is an oil shock? In: Journal of Econometrics.
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2000What is an Oil Shock?.(2000) In: NBER Working Papers.
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2012Identification and estimation of Gaussian affine term structure models In: Journal of Econometrics.
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2012Identification and Estimation of Gaussian Affine Term Structure Models.(2012) In: NBER Working Papers.
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2014Testable implications of affine term structure models In: Journal of Econometrics.
[Full Text][Citation analysis]		article33
2011Testable Implications of Affine Term Structure Models.(2011) In: NBER Working Papers.
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1986A standard error for the estimated state vector of a state-space model In: Journal of Econometrics.
[Full Text][Citation analysis]		article94
1990Analysis of time series subject to changes in regime In: Journal of Econometrics.
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1994Autoregressive conditional heteroskedasticity and changes in regime In: Journal of Econometrics.
[Full Text][Citation analysis]		article894
1996Specification testing in Markov-switching time-series models In: Journal of Econometrics.
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2011Calling recessions in real time In: International Journal of Forecasting.
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2010Calling Recessions in Real Time.(2010) In: NBER Working Papers.
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2011Response to comments In: International Journal of Forecasting.
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2021Reprint: Drawing conclusions from structural vector autoregressions identified on the basis of sign restrictions In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article1
2014Risk premia in crude oil futures prices In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article198
2013Risk Premia in Crude Oil Futures Prices.(2013) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 198		paper
2019Comments 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]		article0
2016Macroeconomic Regimes and Regime Shifts In: Handbook of Macroeconomics.
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2016Macroeconomic Regimes and Regime Shifts.(2016) In: NBER Working Papers.
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2018Inference 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.
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2018Inference 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.
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This paper has nother version. Agregated cites: 87		paper
2018Inference in structural vector auto regressions when the identifying assumptions are not fully believed: Re-evaluating the role of monetary policy in economic fluctuations.(2018) In: Bank of Finland Research Discussion Papers.
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This paper has nother version. Agregated cites: 87		paper
1985The observable implications of self-fulfilling expectations In: Journal of Monetary Economics.
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1987Monetary factors in the great depression In: Journal of Monetary Economics.
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1989The long-run behavior of the velocity of circulation : A review essay In: Journal of Monetary Economics.
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1996This is what happened to the oil price-macroeconomy relationship In: Journal of Monetary Economics.
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1998The augmented Solow model and the productivity slowdown In: Journal of Monetary Economics.
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2008Daily monetary policy shocks and new home sales In: Journal of Monetary Economics.
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2016Heterogeneity and Unemployment Dynamics In: Working Papers.
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2016Heterogeneity and Unemployment Dynamics.(2016) In: Finance and Economics Discussion Series.
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2016Heterogeneity and Unemployment Dynamics.(2016) In: NBER Working Papers.
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2004Normalization in econometrics In: FRB Atlanta Working Paper.
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2007Normalization in Econometrics.(2007) In: Econometric Reviews.
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2016Do macro variables help forecast interest rates? In: FRBSF Economic Letter.
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2004Regime shifts in a dynamic term structure model of U.S. Treasury bond yields, comments In: Proceedings.
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2019Measuring Labor-Force Participation and the Incidence and Duration of Unemployment In: Finance and Economics Discussion Series.
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2020Measuring Labor-Force Participation and the Incidence and Duration of Unemployment.(2020) In: NBER Working Papers.
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2022Measuring Labor-Force Participation and the Incidence and Duration of Unemployment.(2022) In: Review of Economic Dynamics.
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2018Factors in Unemployment Dynamics In: FEDS Notes.
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2009The market-perceived monetary policy rule In: International Finance Discussion Papers.
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2007Housing and the monetary transmission mechanism: commentary In: Proceedings - Economic Policy Symposium - Jackson Hole.
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2005Whats real about the business cycle? In: Review.
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2005Whats Real About the Business Cycle?.(2005) In: NBER Working Papers.
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2008Assessing monetary policy effects using daily federal funds futures contracts In: Review.
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2009The propagation of regional recessions In: Working Papers.
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2011The Propagation of Regional Recessions.(2011) In: NBER Working Papers.
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2012The Propagation of Regional Recessions.(2012) In: The Review of Economics and Statistics.
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1999A model for the federal funds rate target In: Department of Economics.
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2000A Model for the Federal Funds Rate Target.(2000) In: NBER Working Papers.
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2002A Model of the Federal Funds Rate Target.(2002) In: Journal of Political Economy.
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2009Concerns about the Feds New Balance Sheet In: Book Chapters.
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1986On Testing for Self-fulfilling Speculative Price Bubbles. In: International Economic Review.
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2012Import Prices and Inflation In: International Journal of Central Banking.
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1996Stock Market Volatility and the Business Cycle. In: Journal of Applied Econometrics.
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1991The Sustainability of Budget Deficits with Lump-Sum and with Income-Based Taxation: Comment. In: Journal of Money, Credit and Banking.
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2004Why Are Prices Sticky? The Dynamics of Wholesale Gasoline Prices. In: Journal of Money, Credit and Banking.
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2003Why Are Prices Sticky? The Dynamics of Wholesale Gasoline Prices.(2003) In: NBER Working Papers.
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2004Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy: Comment. In: Journal of Money, Credit and Banking.
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2009Daily Changes in Fed Funds Futures Prices In: Journal of Money, Credit and Banking.
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2007Daily Changes in Fed Funds Futures Prices.(2007) In: NBER Working Papers.
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2012The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment In: Journal of Money, Credit and Banking.
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2011The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment.(2011) In: NBER Working Papers.
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2005Dating Business Cycle Turning Points In: NBER Working Papers.
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2007Assessing Monetary Policy Effects Using Daily Fed Funds Futures Contracts In: NBER Working Papers.
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2008Macroeconomics and ARCH In: NBER Working Papers.
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2008Daily Monetary Policy Shocks and the Delayed Response of New Home Sales In: NBER Working Papers.
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2010Sources of Variation in Holding Returns for Fed Funds Futures Contracts In: NBER Working Papers.
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2011Sources of variation in holding returns for fed funds futures contracts.(2011) In: Journal of Futures Markets.
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2011Historical Oil Shocks In: NBER Working Papers.
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2012Oil Prices, Exhaustible Resources, and Economic Growth In: NBER Working Papers.
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2013Off-Balance-Sheet Federal Liabilities In: NBER Working Papers.
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2013Crunch Time: Fiscal Crises and the Role of Monetary Policy In: NBER Working Papers.
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2014Effects of Index-Fund Investing on Commodity Futures Prices In: NBER Working Papers.
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2014The Changing Face of World Oil Markets In: NBER Working Papers.
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2014Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information In: NBER Working Papers.
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2015Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information.(2015) In: Econometrica.
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2015The Equilibrium Real Funds Rate: Past, Present and Future In: NBER Working Papers.
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2016The Equilibrium Real Funds Rate: Past, Present, and Future.(2016) In: IMF Economic Review.
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2017Why You Should Never Use the Hodrick-Prescott Filter In: NBER Working Papers.
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2017Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks In: NBER Working Papers.
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2018A Skeptical View of the Impact of the Fed’s Balance Sheet In: NBER Working Papers.
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2019Measuring Global Economic Activity In: NBER Working Papers.
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2019Perspectives on U.S. Monetary Policy Tools and Instruments In: NBER Working Papers.
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2020Advances in Using Vector Autoregressions to Estimate Structural Magnitudes In: NBER Working Papers.
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1989Long Swings in the Exchange Rate: Are they in the Data and Do Markets Know It? In: NBER Working Papers.
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2024Principal Component Analysis for a Mix of Stationary and Nonstationary Variables In: NBER Working Papers.
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2021Online Appendix to Measuring Labor-Force Participation and the Incidence and Duration of Unemployment In: Online Appendices.
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1997Comment on U.S. Oil Consumption, Oil Prices, and the Macroeconomy. In: Empirical Economics.
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2002New directions in business cycle research and financial analysis In: Empirical Economics.
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2000Book review In: Econometric Reviews.
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1996What Do the Leading Indicators Lead? In: The Journal of Business.
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1996The Daily Market for Federal Funds. In: Journal of Political Economy.
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1983Oil and the Macroeconomy since World War II. In: Journal of Political Economy.
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1985Uncovering Financial Market Expectations of Inflation. In: Journal of Political Economy.
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1988A Neoclassical Model of Unemployment and the Business Cycle. In: Journal of Political Economy.
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