Charles R. Nelson : Citation Profile


Are you Charles R. Nelson?

University of Washington

34

H index

49

i10 index

10482

Citations

RESEARCH PRODUCTION:

73

Articles

96

Papers

1

Books

RESEARCH ACTIVITY:

   44 years (1970 - 2014). See details.
   Cites by year: 238
   Journals where Charles R. Nelson has often published
   Relations with other researchers
   Recent citing documents: 196.    Total self citations: 43 (0.41 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pne247
   Updated: 2024-01-16    RAS profile: 2023-03-11    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Charles R. Nelson.

Is cited by:

Gil-Alana, Luis (111)

Morley, James (105)

Piger, Jeremy (91)

GUPTA, RANGAN (82)

Kim, Chang-Jin (66)

Miller, Stephen (56)

Diebold, Francis (56)

Perron, Pierre (51)

Kishor, N (47)

Caporale, Guglielmo Maria (46)

Wong, Benjamin (42)

Cites to:

Startz, Richard (24)

Kim, Chang-Jin (23)

Perron, Pierre (11)

Hamilton, James (11)

Morley, James (11)

Galí, Jordi (10)

Stock, James (10)

Orphanides, Athanasios (10)

Gertler, Mark (9)

Schwert, G. (9)

Watson, Mark (8)

Main data


Where Charles R. Nelson has published?


Journals with more than one article published# docs
Journal of Money, Credit and Banking8
Journal of Monetary Economics6
Journal of Business & Economic Statistics6
Journal of Political Economy5
Journal of Econometrics5
Journal of Empirical Finance4
Journal of Finance3
Econometrica3
American Economic Review3
International Economic Review3
The Review of Economics and Statistics3
Proceedings3
The Journal of Business3
Carnegie-Rochester Conference Series on Public Policy2

Working Papers Series with more than one paper published# docs
Working Papers / University of Washington, Department of Economics38
NBER Working Papers / National Bureau of Economic Research, Inc7
Working Papers / Federal Reserve Bank of St. Louis3
Econometrics / University Library of Munich, Germany2
International Finance Discussion Papers / Board of Governors of the Federal Reserve System (U.S.)2
Econometric Society World Congress 2000 Contributed Papers / Econometric Society2

Recent works citing Charles R. Nelson (2024 and 2023)


YearTitle of citing document
2023Forecasting Net Charge-Off Rates of Large U.S. Bank Holding Companies using Macroeconomic Latent Factors. (2023). Son, Jisoo ; Kim, Hyeongwoo. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2023-02.

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2023Trend 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.

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2023Trend 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.

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2023EFFECTS OF INDEX ADDITIONS ON STOCK PRICE INFORMATIVENESS. (2023). Gavrilova, Daria. In: Review of Economic and Business Studies. RePEc:aic:revebs:y:2023:j:31:gavrilovad.

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

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

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2023Dynamic Shrinkage Priors for Large Time-varying Parameter Regressions using Scalable Markov Chain Monte Carlo Methods. (2020). Huber, Florian ; Koop, Gary ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2005.03906.

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2023Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices. (2022). Ricco, Giovanni ; Pellegrino, Filippo ; Hasenzagl, Thomas ; Reichlin, Lucrezia. In: Papers. RePEc:arx:papers:2201.05556.

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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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2023Inference on Extreme Quantiles of Unobserved Individual Heterogeneity. (2022). Morozov, Vladislav . In: Papers. RePEc:arx:papers:2210.08524.

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2023Parameterized Neural Networks for Finance. (2023). Pilz, Kay F ; Hamaekers, Jan ; Oeltz, Daniel. In: Papers. RePEc:arx:papers:2304.08883.

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2023Nowcasting with signature methods. (2023). Mantoan, Giulia ; Malpass, Will ; Lui, Silvia ; Cohen, Samuel N ; Yang, Lingyi ; Small, Emma ; Scott, Craig ; Reeves, Andrew ; Nesheim, Lars. In: Papers. RePEc:arx:papers:2305.10256.

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2023Inference in Predictive Quantile Regressions. (2023). Kuriyama, Nina ; Shimotsu, Katsumi ; Maynard, Alex. In: Papers. RePEc:arx:papers:2306.00296.

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2023The Dynamic Persistence of Economic Shocks. (2023). Vacha, Lukas ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2306.01511.

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2023The shape of business cycles: a cross-country analysis of Friedman s plucking theory. (2023). Rees, Daniel ; Moessner, Richhild ; Kohlscheen, Emanuel. In: Papers. RePEc:arx:papers:2306.01552.

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2024Deep calibration with random grids. (2023). Rossi, Pietro ; Bormetti, Giacomo ; Baschetti, Fabio. In: Papers. RePEc:arx:papers:2306.11061.

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2024Forecasted Treatment Effects. (2023). Weidner, Martin ; Giacomini, Raffaella ; Botosaru, Irene. In: Papers. RePEc:arx:papers:2309.05639.

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2023Applying Deep Learning to Calibrate Stochastic Volatility Models. (2023). Bilokon, Paul ; Sridi, Abir. In: Papers. RePEc:arx:papers:2309.07843.

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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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2023An Identification and Dimensionality Robust Test for Instrumental Variables Models. (2023). Navjeevan, Manu. In: Papers. RePEc:arx:papers:2311.14892.

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2023Inference on common trends in functional time series. (2023). Seo, Won-Ki ; Nielsen, Morten Orregaard ; Seong, Dakyung. In: Papers. RePEc:arx:papers:2312.00590.

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2023Potential output and the neutral rate in Canada: 2023 assessment. (2023). Melinchuk, Harlee ; Matveev, Dmitry ; Hajzler, Christopher ; Champagne, Julien ; Taskin, Temel ; Park, Youngmin ; Ozhan, Kemal ; Poulin-Moore, Antoine. In: Staff Analytical Notes. RePEc:bca:bocsan:23-6.

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2023Effects 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.

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2023The Three Intelligible Factors of the Yield Curve in Mexico. (2023). Rocio, Elizondo. In: Working Papers. RePEc:bdm:wpaper:2023-13.

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2023The shape of business cycles: a cross-country analysis of Friedmans plucking theory. (2023). Rees, Daniel ; Moessner, Richhild ; Kohlscheen, Emanuel. In: BIS Working Papers. RePEc:bis:biswps:1076.

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2023Market sentiment to COVID?19 and the Chinese stock market. (2023). Xu, Hao ; Chen, Jilong. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:s1:p:1121-1135.

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2023.

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2023.

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2023Forecasting inflation with a zero lower bound or negative interest rates: Evidence from point and density forecasts. (2023). Caporale, Guglielmo Maria ; Anderl, Christina. In: Manchester School. RePEc:bla:manchs:v:91:y:2023:i:3:p:171-232.

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2023.

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2023Contradictory effects of technological change across developed countries. (2023). Rossen, Anja ; Ludewig, Oliver ; Blien, Uwe. In: Review of International Economics. RePEc:bla:reviec:v:31:y:2023:i:2:p:580-608.

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2023Uncertainty and the Term Structure of Interest Rates. (2023). Poon, Aubrey ; Zhu, Dan ; Cross, Jamie L. In: Working Papers. RePEc:bny:wpaper:0123.

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2023Liquidity and Exchange Rates: An Empirical Investigation. (2023). Yeung, Steve Pak ; Engel, Charles. In: University of California at San Diego, Economics Working Paper Series. RePEc:cdl:ucsdec:qt4z80w6cd.

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2023Time-Varying Parameters in Monetary Policy Rules: A GMM Approach. (2023). Caporale, Guglielmo Maria ; Anderl, Christina. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10451.

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2023Functional Shocks to Inflation Expectations and Real Interest Rates and Their Macroeconomic Effects. (2023). Caporale, Guglielmo Maria ; Anderl, Christina. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10656.

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2023Production Function Estimation with Multi-Destination Firms. (2023). Reshef, Ariell ; Ollivier, Helene ; Barrows, Geoffrey. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10716.

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2023Long-Run Trends and Cycles in US House Prices. (2023). Gil-Alana, Luis Alberiko ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10751.

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2023Underlying inflation and asymmetric risks. (2023). Leiva-Leon, Danilo ; Pacce, Matias ; le Bihan, Herve. In: Working Paper Series. RePEc:ecb:ecbwps:20232848.

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2023Monetary/fiscal policy regimes in post-war Europe. (2023). Jacquinot, Pascal ; Bouabdallah, Othman ; Patella, Valeria. In: Working Paper Series. RePEc:ecb:ecbwps:20232871.

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2023Public Policy and Economic Misery Nexus: A Comparative Analysis of Developed and Developing World. (2023). Audi, Marc ; Ali, Amjad. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2023-03-6.

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2023Fossil Fuel Energy Consumption, Economic Growth, Urbanization, and Carbon Dioxide Emissions in Kenya. (2023). Bagire, Vincent ; Mutenyo, John ; Watundu, Susan ; Otim, Jacob. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-03-50.

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2023The Effects of Energy Prices on Oil-Gas Sectoral Stock Returns for BRIC Countries: Evidence from Space State Models. (2023). Catik, Nazif A ; Helmi, Mohamad Husam ; Akdeniz, Coskun ; Huyuguzel, Gul Serife ; Kosedagli, Begum Yurteri. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-06-45.

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2023Is the Peoples Bank of China consistent in words and deeds?. (2023). Zhu, Chuanqi ; Chen, Liangyuan ; Mei, Ziwei ; Lin, Jianhao. In: China Economic Review. RePEc:eee:chieco:v:78:y:2023:i:c:s1043951x23000044.

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2023Asymmetric response to earnings news across different sentiment states: The role of cognitive dissonance. (2023). Huang, Zhijian James ; Wen, Fenghua ; Li, Zhuo. In: Journal of Corporate Finance. RePEc:eee:corfin:v:78:y:2023:i:c:s0929119922001869.

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

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2023Duration structure of unemployment hazards and the trend unemployment rate. (2023). Ahn, Hie Joo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:151:y:2023:i:c:s0165188923000702.

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2023Modelling output gaps in the Euro Area with structural breaks: The COVID-19 recession. (2023). , Joo ; Dias, Jose Carlos ; Dutra, Tiago Mota ; Fernandes, Mario Correia. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:1046-1058.

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2023ITFIN: A stock-flow consistent model for the Italian economy. (2023). Felici, Francesco ; Favero, Carlo A ; Cagnazzo, Alberto ; Hermitte, Riccardo Barbieri ; Tegami, Cristian ; Nucci, Francesco ; Macauda, Valeria. In: Economic Modelling. RePEc:eee:ecmode:v:119:y:2023:i:c:s0264999322003509.

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2023A regime-switching model of stock returns with momentum and mean reversion. (2023). Zakamulin, Valeriy ; Giner, Javier. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000494.

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

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2023Sovereign yield curves and the COVID-19 in emerging markets. (2023). Moura, Rubens ; Candelon, Bertrand. In: Economic Modelling. RePEc:eee:ecmode:v:127:y:2023:i:c:s0264999323002651.

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2023Which stock price component drives the Amihud illiquidity premium?. (2023). Kim, Yongsik. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s106294082200211x.

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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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2023Inflation-related tax distortions in business valuation models: A clarification. (2023). Nam, Pham Khanh ; Kim-Duc, Nguyen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s106294082300030x.

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2023Nowcasting the output gap. (2023). Wong, Benjamin ; Morley, James ; Berger, Tino. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:1:p:18-34.

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2023Scalable inference for a full multivariate stochastic volatility model. (2023). Plataniotis, Anastasios ; Petrova, Katerina ; Titsias, Michalis K ; Dellaportas, Petros. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:501-520.

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2023Reprint of: Initial conditions and moment restrictions in dynamic panel data models. (2023). Blundell, Richard ; Bond, Stephen. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:s:p:38-55.

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2023Instrument strength in IV estimation and inference: A guide to theory and practice. (2023). Neal, Timothy ; Keane, Michael. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1625-1653.

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2023Specification tests for time-varying coefficient models. (2023). Su, Liangjun ; Hong, Yongmiao ; Wang, Xia ; Fu, Zhonghao. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:720-744.

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2023When will Arctic sea ice disappear? Projections of area, extent, thickness, and volume. (2023). Rudebusch, Glenn ; Zhang, Boyuan ; Coulombe, Philippe Goulet ; Gobel, Maximilian ; Diebold, Francis X. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:2:s0304407623001951.

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2023Fast cluster bootstrap methods for linear regression models. (2023). MacKinnon, James G. In: Econometrics and Statistics. RePEc:eee:ecosta:v:26:y:2023:i:c:p:52-71.

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2023On illiquidity of an emerging sovereign bond market. (2023). Soykok, Emre ; Karahan, Cenk C. In: Economic Systems. RePEc:eee:ecosys:v:47:y:2023:i:2:s093936252300002x.

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2023Estimating the euro area output gap using multivariate information and addressing the COVID-19 pandemic. (2023). Wong, Benjamin ; Morley, James ; Sun, Yiqiao ; Rodriguez-Palenzuela, Diego. In: European Economic Review. RePEc:eee:eecrev:v:153:y:2023:i:c:s0014292123000144.

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2023Price convergence between credit default swap and put option: New evidence. (2023). Poon, Ser-Huang ; Lin, Ming-Tsung ; Kolokolova, Olga ; Chan, Ka Kei. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:188-213.

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2023Sectoral convergence analysis of Chinas emissions intensity and its implications. (2023). Yuan, Rong ; Zheng, Shenglin. In: Energy. RePEc:eee:energy:v:262:y:2023:i:pb:s0360544222023982.

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2023Intra-hour photovoltaic forecasting through a time-varying Markov switching model. (2023). Guillen-Burguete, Servio Tulio ; Elvira, Victor ; Angeles-Camacho, Cesar ; Rosen, Karol. In: Energy. RePEc:eee:energy:v:278:y:2023:i:pb:s0360544223013464.

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2023Heterogeneously informed trading and the stock market efficiency during the COVID-19 pandemic. (2023). Zhao, Yang ; Zhang, Xuan ; Xue, Mingqi. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001242.

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2023Financial constraints on credit ratings and cash-flow sensitivity. (2023). Chang, Ming-Jen ; Chen, Shikuan ; Chien, Chih-Chung. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923001461.

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2023Measuring sovereign bond fragmentation in the Eurozone. (2023). Iacopini, Matteo ; Costola, Michele. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005323.

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2023Corporate Carbon-Risk and Credit-Risk: The Impact of Carbon-Risk Exposure and Management on Credit Spreads in Different Regulatory Environments. (2023). Hock, Andre ; Dumrose, Maurice. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005918.

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2023The impact of the US yield curve on sub-Saharan African equities. (2023). Teplova, Tamara ; Agyei, Samuel Kwaku ; Umar, Zaghum ; Bossman, Ahmed. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000107.

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2023Fresh evidence on the oil-stock interactions under heterogeneous market conditions. (2023). Garg, Bhavesh ; Chowdhury, Kushal Banik. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001009.

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2023Market systemic risk, predictability and macroeconomics news. (2023). Xie, Yiqiang ; Fan, Rui. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004749.

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2023Limited investor attention and biased reactions to information: Evidence from the COVID-19 pandemic. (2023). Zhao, Jing ; Zhang, Xuan ; Xu, Liao. In: Journal of Financial Markets. RePEc:eee:finmar:v:62:y:2023:i:c:s1386418122000490.

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2023Predicting the equity risk premium using the smooth cross-sectional tail risk: The importance of correlation. (2023). Faias, Jose Afonso. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000593.

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2023Job postings and aggregate stock returns. (2023). Odoherty, Michael S ; Kothari, Pratik. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418123000022.

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

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2023Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds. (2023). Chernov, Mikhail ; Hordahl, Peter ; Creal, Drew. In: Journal of International Economics. RePEc:eee:inecon:v:140:y:2023:i:c:s0022199622001246.

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2023Forecasting the U.S. Dollar in the 21st Century. (2023). Engel, Charles ; Yeung, Steve Pak. In: Journal of International Economics. RePEc:eee:inecon:v:141:y:2023:i:c:s0022199623000016.

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2023Empirically-transformed linear opinion pools. (2023). Vahey, Shaun P ; Henckel, Timo ; Garratt, Anthony. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:736-753.

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2023The RWDAR model: A novel state-space approach to forecasting. (2023). Silvestrini, Andrea ; Sbrana, Giacomo. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:922-937.

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2023Nowcasting growth using Google Trends data: A Bayesian Structural Time Series model. (2023). Bhattacharjee, Arnab ; Kohns, David. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1384-1412.

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2023A shadow rate without a lower bound constraint. (2023). Ristiniemi, Annukka ; de Rezende, Rafael B. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002667.

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2023Exploiting the dynamics of commodity futures curves. (2023). Zhang, Tingxi ; Miffre, Joelle ; Fan, John Hua ; Bianchi, Robert J. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001632.

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2023The incremental information in the yield curve about future interest rate risk. (2023). Christensen, Bent Jesper ; Veliyev, Bezirgen ; Kjar, Mads Markvart. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:155:y:2023:i:c:s0378426623001711.

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2023Central bank credibility during COVID-19: Evidence from Japan. (2023). Spiegel, Mark M. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:131:y:2023:i:c:s0261560622001917.

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2023Inflation, interest rate, and firm efficiency: The impact of policy uncertainty. (2023). Tarkom, Augustine ; Ujah, Nacasius U. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:131:y:2023:i:c:s0261560622002029.

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2023Time-varying exchange rate pass-through into terms of trade. (2023). Dainauskas, Justas. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623001067.

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2023Conditional mean reversion of financial ratios and the predictability of returns. (2023). Tokpavi, S ; Jasinski, A ; Boucher, C. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623001080.

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

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2023The relative pricing of WTI and Brent crude oil futures: Expectations or risk premia?. (2023). Liu, Rui ; Gao, Xin. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000319.

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2023Wheat price volatility regimes over 140 years: An analysis of daily price ranges. (2023). Huss, Matthias ; Zimmermann, Heinz ; Haase, Marco. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851323000363.

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2023Hysteresis, financial frictions and monetary policy. (2023). Giakas, Konstantinos. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:27:y:2023:i:c:s1703494922000469.

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2023Oil rents and non-oil economic growth in CIS oil exporters. The role of financial development. (2023). Suleymanov, Elchin ; Hasanov, Fakhri J ; Taskin, Dilvin ; Aliyev, Ruslan. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723002313.

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2023Subsample stability, change detection and dynamics of oil and metal markets: A recursive approach. (2023). Shahbaz, Muhammad ; Napari, Ayuba ; Ul, Asad. In: Resources Policy. RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723003124.

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2023Commodity price shocks: Order within chaos?. (2023). Kabundi, Alain ; Baffes, John. In: Resources Policy. RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723003513.

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2023Estimates of the US Shadow-Rate. (2023). Pia, Marco ; Alfaro, Rodrigo. In: Latin American Journal of Central Banking (previously Monetaria). RePEc:eee:lajcba:v:4:y:2023:i:1:s2666143822000345.

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2023Prospect theory and mutual fund flows: Evidence from China. (2023). Han, Jing ; Wang, Cheng. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:80:y:2023:i:c:s0927538x23001336.

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

Works by Charles R. Nelson:


YearTitleTypeCited
1972The Prediction Performance of the FRB-MIT-PENN Model of the U.S. Economy. In: American Economic Review.
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article78
1974The Stochastic Structure of the Velocity of Money. In: American Economic Review.
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article12
1977Short-Term Interest Rates as Predictors of Inflation: On Testing the Hypothesis That the Real Rate of Interest is Constant. In: American Economic Review.
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article135
1989The NERC Fan in Retrospect and Lessons for the Future In: The Energy Journal.
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article4
2005Welfare Impacts of Alternative Public Policies for Environmental Protection in Agriculture in an Open Economy: A General Equilibrium Framework In: 2005 Annual meeting, July 24-27, Providence, RI.
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paper4
1979SPURIOUS PERIODICITY IN INAPPROPRIATELY DETRENDED TIME SERIES In: Economic Research Papers.
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paper169
1981Spurious Periodicity in Inappropriately Detrended Time Series..(1981) In: Econometrica.
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article
1979Spurious Periodicity in Inappropriately Detrended Time Series.(1979) In: The Warwick Economics Research Paper Series (TWERPS).
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This paper has nother version. Agregated cites: 169
paper
2001Markov Regime Switching and Unit-Root Tests. In: Journal of Business & Economic Statistics.
[Citation analysis]
article72
2000Markov regime-switching and unit root tests.(2000) In: International Finance Discussion Papers.
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This paper has nother version. Agregated cites: 72
paper
2001Markov regime switching and unit root tests.(2001) In: Working Papers.
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This paper has nother version. Agregated cites: 72
paper
2004The Less-Volatile U.S. Economy: A Bayesian Investigation of Timing, Breadth, and Potential Explanations. In: Journal of Business & Economic Statistics.
[Citation analysis]
article134
2001The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations.(2001) In: International Finance Discussion Papers.
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This paper has nother version. Agregated cites: 134
paper
2003The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations.(2003) In: Working Papers.
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This paper has nother version. Agregated cites: 134
paper
2005The Structural Break in the Equity Premium In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article38
1984Pitfalls in the Use of Time as an Explanatory Variable in Regression. In: Journal of Business & Economic Statistics.
[Citation analysis]
article78
1983Pitfalls in the use of Time as an Explanatory Variable in Regression.(1983) In: NBER Technical Working Papers.
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This paper has nother version. Agregated cites: 78
paper
1985The NERC Fan: A Retrospective Analysis of the NERC Summary Forecasts. In: Journal of Business & Economic Statistics.
[Citation analysis]
article3
1989The Time-Varying-Parameter Model for Modeling Changing Conditional Variance: The Case of the Lucas Hypothesis. In: Journal of Business & Economic Statistics.
[Citation analysis]
article36
1976Inflation and Rates of Return on Common Stocks. In: Journal of Finance.
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article198
1976Inflation and Capital Budgeting. In: Journal of Finance.
[Full Text][Citation analysis]
article9
1993 Predictable Stock Returns: The Role of Small Sample Bias. In: Journal of Finance.
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article296
Nelson_Plosser In: Instructional Stata datasets for econometrics.
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paper0
2007Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified In: Studies in Nonlinear Dynamics & Econometrics.
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article21
2007Spurious Inference in the GARCH(1,1) Model When It Is Weakly Identified.(2007) In: Working Papers.
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This paper has nother version. Agregated cites: 21
paper
1988Long-Term Behavior of Yield Curves In: Journal of Financial and Quantitative Analysis.
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article25
1986Long-Term Behavior of Yield Curves.(1986) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 25
paper
2006BUSINESS-CYCLE FILTERING OF MACROECONOMIC DATA VIA A LATENT BUSINESS-CYCLE INDEX In: Macroeconomic Dynamics.
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article7
2006Business-Cycle Filtering of Macroeconomic Data Via A Latent Business-Cycle Index.(2006) In: Working Papers.
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This paper has nother version. Agregated cites: 7
paper
1972Estimation of Term Premiums from Average Yield Differentials in the Term Structure of Interest Rates. In: Econometrica.
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article6
1990Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator. In: Econometrica.
[Full Text][Citation analysis]
article272
1988SOME FURTHERE RESULTS ON THE EXACT SMALL SAMPLE PROPERTIES OF THE INSTRUMENTAL VARIABLE ESTIMATOR..(1988) In: Discussion Papers in Economics at the University of Washington.
[Citation analysis]
This paper has nother version. Agregated cites: 272
paper
1988Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator.(1988) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
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paper
1988SOME FURTHERE RESULTS ON THE EXACT SMALL SAMPLE PROPERTIES OF THE INSTRUMENTAL VARIABLE ESTIMATOR..(1988) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 272
paper
2004Earnings Growth and the Bull Market of the 1990s: Is There a Case for Rational Exuberance? In: Econometric Society 2004 Far Eastern Meetings.
[Citation analysis]
paper2
2007Earnings growth and the bull market of the 1990s: Is there a case for rational exuberance?.(2007) In: Journal of Macroeconomics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2
article
2004The Zero-Information-Limit Condition and Spurious Inference In: Econometric Society 2004 North American Winter Meetings.
[Citation analysis]
paper1
2000Why are Beveridge-Nelson and Unobserved-Component Decompositions of GDP so Different? In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]
paper335
2000Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different?.(2000) In: Discussion Papers in Economics at the University of Washington.
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This paper has nother version. Agregated cites: 335
paper
2003Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different?.(2003) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 335
article
2000Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different?.(2000) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 335
paper
2002Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different?.(2002) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 335
paper
2003Why are Beveridge-Nelson and Unobserved-component decompositions of GDP so Different?.(2003) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 335
paper
2000Improved Inference for the Instrumental Variables Estimator In: Econometric Society World Congress 2000 Contributed Papers.
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paper14
1999Improved Inference for the Instrumental Variable Estimator.(1999) In: Discussion Papers in Economics at the University of Washington.
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This paper has nother version. Agregated cites: 14
paper
1999Improved Inference for the Instrumental Variable Estimator.(1999) In: Working Papers.
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paper
1999Improved Inference for the Instrumental Variable Estimator.(1999) In: Econometrics.
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This paper has nother version. Agregated cites: 14
paper
1979Discussion of the Zellner and Schwert papers In: Carnegie-Rochester Conference Series on Public Policy.
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article1
1985Macroeconomic time-series, business cycles, and macroeconomic policies A comment In: Carnegie-Rochester Conference Series on Public Policy.
[Full Text][Citation analysis]
article1
1988Spurious trend and cycle in the state space decomposition of a time series with a unit root In: Journal of Economic Dynamics and Control.
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article27
1987Spurious Trend and Cycle in the State Space Decomposition of a Time Series with a Unit Root.(1987) In: NBER Technical Working Papers.
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This paper has nother version. Agregated cites: 27
paper
1979Hypothesis testing based on goodness-of-fit in the moving average time series model In: Journal of Econometrics.
[Full Text][Citation analysis]
article0
2007The zero-information-limit condition and spurious inference in weakly identified models In: Journal of Econometrics.
[Full Text][Citation analysis]
article29
2004The Zero-Information-Limit Condition and Spurious Inference in Weakly Identified Models.(2004) In: Working Papers.
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This paper has nother version. Agregated cites: 29
paper
2007The Zero-Information-Limit-Condition and Spurious Inference in Weakly Identified Models.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 29
paper
2008The Beveridge-Nelson decomposition in retrospect and prospect In: Journal of Econometrics.
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article35
2006The Beveridge-Nelson Decomposition in Retrospect and Prospect.(2006) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 35
paper
1974The first-order moving average process : Identification, estimation and prediction In: Journal of Econometrics.
[Full Text][Citation analysis]
article4
1976Gains in efficiency from joint estimation of systems of autoregressive-moving average processes In: Journal of Econometrics.
[Full Text][Citation analysis]
article1
2007Why are stock returns and volatility negatively correlated? In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article43
1998Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization1 In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article85
1998Testing for mean reversion in heteroskedastic data II: Autoregression tests based on Gibbs-sampling-augmented randomization1 In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article53
2001Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices? In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article15
2000Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?.(2000) In: Discussion Papers in Economics at the University of Washington.
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paper
1999Does an Intertemporal Tradeoff between Risk and Return Explain Mean Reversion in Stock Prices?.(1999) In: Discussion Papers in Economics at the University of Washington.
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This paper has nother version. Agregated cites: 15
paper
2000Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?.(2000) In: Working Papers.
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paper
1999Does an Intertemporal Tradeoff between Risk and Return Explain Mean Reversion in Stock Prices?.(1999) In: Working Papers.
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This paper has nother version. Agregated cites: 15
paper
1989A Markov model of heteroskedasticity, risk, and learning in the stock market In: Journal of Financial Economics.
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article261
1989THE MARKOV MODEL OF HETEROSKEDASTICITY, RISK AND LEARNING IN THE STOCK MARKET..(1989) In: Discussion Papers in Economics at the University of Washington.
[Citation analysis]
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paper
1989A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market.(1989) In: NBER Working Papers.
[Full Text][Citation analysis]
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paper
1989THE MARKOV MODEL OF HETEROSKEDASTICITY, RISK AND LEARNING IN THE STOCK MARKET..(1989) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 261
paper
1982Trends and random walks in macroeconmic time series : Some evidence and implications In: Journal of Monetary Economics.
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article2148
2000The uncertain trend in U.S. GDP In: Journal of Monetary Economics.
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article79
1998The Uncertain Trend in U.S. GDP.(1998) In: Discussion Papers in Economics at the University of Washington.
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paper
1997The Uncertain Trend in U.S. GDP..(1997) In: Discussion Papers in Economics at the University of Washington.
[Citation analysis]
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paper
1998The Uncertain Trend in U.S. GDP.(1998) In: Working Papers.
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paper
1997The Uncertain Trend in U.S. GDP..(1997) In: Working Papers.
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paper
1997The Uncertain Trend in U.S. GDP.(1997) In: Computational Economics.
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paper
1978The stochastic properties of velocity and the quantity theory of money In: Journal of Monetary Economics.
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article2
2006Estimation of a forward-looking monetary policy rule: A time-varying parameter model using ex post data In: Journal of Monetary Economics.
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article140
2007New measures of the output gap based on the forward-looking new Keynesian Phillips curve In: Journal of Monetary Economics.
[Full Text][Citation analysis]
article78
1981A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the `business cycle In: Journal of Monetary Economics.
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article1344
1976Recursive structure in U.S. income, prices and output In: Proceedings.
[Citation analysis]
article6
1979Recursive Structure in U.S. Income, Prices, and Output..(1979) In: Journal of Political Economy.
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This paper has nother version. Agregated cites: 6
article
1979Adjustment lags vs. information lags: a test of alternative explanations of the Phillips curve phenomenon In: Proceedings.
[Citation analysis]
article0
2000Output fluctuations in the United States: what has changed since the early 1980s? comments In: Proceedings.
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article9
1994Empirical evidence on the recent behavior and usefulness of simple-sum and weighted measures of the money stock (commentary) In: Proceedings.
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article0
1994Empirical evidence on the recent behavior and usefulness of simple-sum and weighted measures of the money stock (commentary).(1994) In: Review.
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This paper has nother version. Agregated cites: 0
article
2003Business cycle detrending of macroeconomic data via a latent business cycle index In: Working Papers.
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paper1
2000The Great Depression and Output Persistence In: Discussion Papers in Economics at the University of Washington.
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paper12
2002The Great Depression and Output Persistence..(2002) In: Journal of Money, Credit and Banking.
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article
2000The Great Depression and Output Persistence.(2000) In: Working Papers.
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paper
2000State-Space Modeling of the Relationship Between Air Quality and Mortality In: Discussion Papers in Economics at the University of Washington.
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paper2
2000State-Space Modeling of the Relationship Between Air Quality and Mortality.(2000) In: Working Papers.
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2000Is There a Positive Relationship between Stock Market Volatility and the Equity Premium? In: Discussion Papers in Economics at the University of Washington.
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paper57
2004Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?.(2004) In: Journal of Money, Credit and Banking.
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2000Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?.(2000) In: Working Papers.
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2000Is There a Structural Break in the Equity Premium? In: Discussion Papers in Economics at the University of Washington.
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paper1
2000Is There a Structural Break in the Equity Premium?.(2000) In: Working Papers.
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paper
1999A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models In: Discussion Papers in Economics at the University of Washington.
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paper31
1998A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models.(1998) In: Discussion Papers in Economics at the University of Washington.
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2001A Bayesian Approach to Testing for Markov-Switching in Univariate and Dynamic Factor Models..(2001) In: International Economic Review.
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1999A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models.(1999) In: Working Papers.
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1998A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models.(1998) In: Working Papers.
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paper
1999Unit Root Tests in the Presence of Markov Regime-Switching In: Discussion Papers in Economics at the University of Washington.
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paper4
1999Unit Root Tests in the Presence of Markov Regime-Switching.(1999) In: Working Papers.
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This paper has nother version. Agregated cites: 4
paper
1988THE DISTRIBUTION OF THE INSTRUMENTAL VARIABLES ESTIMATOR AND ITS T-RATIO WHEN THE INSTRUMENT IS A POOR ONE. In: Discussion Papers in Economics at the University of Washington.
[Citation analysis]
paper258
1988The Distribution of the Instrumental Variables Estimator and Its t-RatioWhen the Instrument is a Poor One.(1988) In: NBER Technical Working Papers.
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1990The Distribution of the Instrumental Variables Estimator and Its t-Ratio When the Instrument Is a Poor One..(1990) In: The Journal of Business.
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This paper has nother version. Agregated cites: 258
article
1988THE DISTRIBUTION OF THE INSTRUMENTAL VARIABLES ESTIMATOR AND ITS T-RATIO WHEN THE INSTRUMENT IS A POOR ONE..(1988) In: Working Papers.
[Citation analysis]
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paper
1988THE TIME-VARYING-PARAMETER MODEL AS AN ALTERNATIVE TO ARCH FOR MODELING CHANGING CONDITIONAL VARIANCE: THE CASE OF THE LUCAS HYPOTHESIS. In: Discussion Papers in Economics at the University of Washington.
[Citation analysis]
paper4
1988The Time-Varying-Parameter Model as an Alternative to ARCH for Modeling Changing Conditional Variance: The Case of Lucas Hypothesis.(1988) In: NBER Technical Working Papers.
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1988THE TIME-VARYING-PARAMETER MODEL AS AN ALTERNATIVE TO ARCH FOR MODELING CHANGING CONDITIONAL VARIANCE: THE CASE OF THE LUCAS HYPOTHESIS..(1988) In: Working Papers.
[Citation analysis]
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paper
1988MEAN REVERSION IN STOCK PRICES? A REAPPRAISAL OF EMPIRICAL EVIDENCE. In: Discussion Papers in Economics at the University of Washington.
[Citation analysis]
paper180
1988Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence.(1988) In: NBER Working Papers.
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1991Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence.(1991) In: Review of Economic Studies.
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1988MEAN REVERSION IN STOCK PRICES? A REAPPRAISAL OF EMPIRICAL EVIDENCE..(1988) In: Working Papers.
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This paper has nother version. Agregated cites: 180
paper
1989GRANT FUNDING IN ECONOMICS FROM THE NATIONAL SCIENCE FOUNDATION DURING FISCAL YEAR 1987. In: Discussion Papers in Economics at the University of Washington.
[Citation analysis]
paper0
1989GRANT FUNDING IN ECONOMICS FROM THE NATIONAL SCIENCE FOUNDATION DURING FISCAL YEAR 1987..(1989) In: Working Papers.
[Citation analysis]
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paper
1990PREDICTABLE STOCK RETURNS: REALITY OR STATISTICAL ILLUSION?. In: Discussion Papers in Economics at the University of Washington.
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paper2
1990Predictable Stock Returns: Reality or Statistical Illusion?.(1990) In: NBER Working Papers.
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1990PREDICTABLE STOCK RETURNS: REALITY OR STATISTICAL ILLUSION?..(1990) In: Working Papers.
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paper
1990More on the Exact Small Sample Distribution of the Instrumental Variable Estimator: A Reply to Maddala and Jeong. In: Discussion Papers in Economics at the University of Washington.
[Citation analysis]
paper2
1990More on the Exact Small Sample Distribution of the Instrumental Variable Estimator: A Reply to Maddala and Jeong..(1990) In: Working Papers.
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1996Testing for Men reversion in Heteroskedastic data Based on Gibbs-Simpling-Augmented Randomization. In: Discussion Papers in Economics at the University of Washington.
[Citation analysis]
paper0
1996Testing for Men reversion in Heteroskedastic data Based on Gibbs-Simpling-Augmented Randomization..(1996) In: Working Papers.
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1996Valid Confidence Intervals and Inference in the Presence of Weak Instruments. In: Discussion Papers in Economics at the University of Washington.
[Citation analysis]
paper52
1997Valid Confidence Intervals and Inference in the Presence of Weak Instruments..(1997) In: Discussion Papers in Economics at the University of Washington.
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1998Valid Confidence Intervals and Inference in the Presence of Weak Instruments..(1998) In: International Economic Review.
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1996Valid Confidence Intervals and Inference in the Presence of Weak Instruments..(1996) In: Working Papers.
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1997Valid Confidence Intervals and Inference in the Presence of Weak Instruments..(1997) In: Working Papers.
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1996Valid Confidence Intervals and Inference in the Presence of Weak Instruments.(1996) In: Econometrics.
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1997Friedmans Plucking Model of Business Fluctuations : Tests and Estimates of Permanent and Transitory Components. In: Discussion Papers in Economics at the University of Washington.
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1999Friedmans Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components..(1999) In: Journal of Money, Credit and Banking.
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1997Friedmans Plucking Model of Business Fluctuations : Tests and Estimates of Permanent and Transitory Components..(1997) In: Working Papers.
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1997Testing for Mean Reversion in Heteroskedastic Data II : Autoregression Tests Based on Gibbs-Sampling-Augmented Randomization. In: Discussion Papers in Economics at the University of Washington.
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1997Testing for Mean Reversion in Heteroskedastic Data II : Autoregression Tests Based on Gibbs-Sampling-Augmented Randomization..(1997) In: Working Papers.
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2013Trend Inflation and the Nature of Structural Breaks in the New Keynesian Phillips Curve In: Discussion Paper Series.
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2013Trend Inflation and the Nature of Structural Breaks in the New Keynesian Phillips Curve.(2013) In: MPRA Paper.
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2014Trend Inflation and the Nature of Structural Breaks in the New Keynesian Phillips Curve.(2014) In: Journal of Money, Credit and Banking.
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1975Rational Expectations and the Estimation of Econometric Models. In: International Economic Review.
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2010Valid Inference for a Class of Models Where Standard Inference Performs Poorly: Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components In: Economics Series.
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2008Valid Inference for a Class of Models Where Standard Inference Performs Poorly: Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components.(2008) In: Working Papers.
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1989Implict Estimates of the Natural and Cyclical Components of Japans Real GNP In: Monetary and Economic Studies.
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2007Expectation horizon and the Phillips Curve: the solution to an empirical puzzle In: Journal of Applied Econometrics.
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1981Adjustment Lags versus Information Lags: A Test of Alternative Explanations of the Phillips Curve Phenomenon. In: Journal of Money, Credit and Banking.
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1981Adjustment Lags versus Information Lags: A Test of Alternative Explanations of the Phillips Curve Phenomenon: A Reply. In: Journal of Money, Credit and Banking.
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