Charles R. Nelson : Citation Profile

University of Washington

35

H index

49

i10 index

10842

Citations

RESEARCH PRODUCTION:

74

Articles

96

Papers

1

Books

RESEARCH ACTIVITY:

   44 years (1970 - 2014). See details.
   Cites by year: 246
   Journals where Charles R. Nelson has often published
   Relations with other researchers
   Recent citing documents: 232.    Total self citations: 43 (0.4 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pne247
   Updated: 2025-05-17    RAS profile: 2025-01-08    
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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 (122)

Morley, James (113)

Piger, Jeremy (91)

GUPTA, RANGAN (82)

Kim, Chang-Jin (66)

Diebold, Francis (59)

Caporale, Guglielmo Maria (58)

Miller, Stephen (56)

Perron, Pierre (51)

Kishor, N (48)

Owyang, Michael (43)

Cites to:

Startz, Richard (24)

Kim, Chang-Jin (23)

Schwert, G. (13)

Hamilton, James (11)

Perron, Pierre (11)

Morley, James (11)

Galí, Jordi (10)

Stock, James (10)

Orphanides, Athanasios (10)

Gertler, Mark (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 Business & Economic Statistics6
Journal of Monetary Economics6
Journal of Econometrics5
Journal of Political Economy5
Journal of Empirical Finance4
Journal of Finance3
American Economic Review3
The Review of Economics and Statistics3
Econometrica3
International Economic Review3
The Journal of Business3
Proceedings3
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
Econometric Society World Congress 2000 Contributed Papers / Econometric Society2
Econometrics / University Library of Munich, Germany2
International Finance Discussion Papers / Board of Governors of the Federal Reserve System (U.S.)2

Recent works citing Charles R. Nelson (2025 and 2024)

YearTitle of citing document
2024What Charge-Off Rates Are Predictable by Macroeconomic Latent Factors?. (2024). Kim, Hyeongwoo ; Son, Jisoo. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2024-01.

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2025Asymmetric Roles of Macroeconomic Variables in the Real Exchange Rate: Insights from U.S.-Korea Data. (2025). Kim, Hyeongwoo ; Behera, Sarthak. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2025-01.

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2024La medición de las expectativas de inflación en Argentina: consultoras económicas versus mercados financieros. (2024). Temperley, Patricio. In: Asociación Argentina de Economía Política: Working Papers. RePEc:aep:anales:4766.

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2024Causality, Connectedness, and Volatility Pass-through among Energy-Metal-Stock-Carbon Markets: New Evidence from the EU. (2024). Manera, Matteo ; Pakrooh, Parisa. In: FEEM Working Papers. RePEc:ags:feemwp:344790.

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2024A Time Trend and Persistence Analysis of Sunflower Oil and Olive Oil Prices in the Context of the Russia-Ukraine War. (2024). Monge, Manuel. In: Research on World Agricultural Economy. RePEc:ags:reowae:348135.

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2024The credit spread curve. I: Fundamental concepts, fitting, par-adjusted spread, and expected return. (2024). Martin, Richard J. In: Papers. RePEc:arx:papers:2201.01330.

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2025Approximate Factor Models for Functional Time Series. (2025). Otto, Sven ; Salish, Nazarii. In: Papers. RePEc:arx:papers:2201.02532.

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2024Inference in Predictive Quantile Regressions. (2024). Maynard, Alex ; Kuriyama, Nina ; Shimotsu, Katsumi. In: Papers. RePEc:arx:papers:2306.00296.

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

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

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2024An Identification and Dimensionality Robust Test for Instrumental Variables Models. (2024). Navjeevan, Manu. In: Papers. RePEc:arx:papers:2311.14892.

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2024Inference on common trends in functional time series. (2024). Seong, Dakyung ; Nielsen, Morten. In: Papers. RePEc:arx:papers:2312.00590.

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2024A Quantile Nelson-Siegel model. (2024). Rossini, Luca ; Poon, Aubrey ; Iacopini, Matteo ; Zhu, Dan. In: Papers. RePEc:arx:papers:2401.09874.

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2024Deep Generative Modeling for Financial Time Series with Application in VaR: A Comparative Review. (2024). Han, Xusi ; Zhu, Xuejun ; Guo, Steve ; Li, Shuang ; Fu, Rao ; Ericson, Lars. In: Papers. RePEc:arx:papers:2401.10370.

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2024The geometry of multi-curve interest rate models. (2024). Lanaro, Giacomo ; Fontana, Claudio ; Murgoci, Agatha. In: Papers. RePEc:arx:papers:2401.11619.

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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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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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2024Resistant Inference in Instrumental Variable Models. (2024). Zhelonkin, Mikhail ; Klooster, Jens. In: Papers. RePEc:arx:papers:2403.16844.

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2024Deep Joint Learning valuation of Bermudan Swaptions. (2024). Casanova, Francisco G'Omez ; de Lope, Fernando ; 'Alvaro Leitao, . In: Papers. RePEc:arx:papers:2404.11257.

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2025Efficient mid-term forecasting of hourly electricity load using generalized additive models. (2025). Zimmermann, Monika ; Ziel, Florian. In: Papers. RePEc:arx:papers:2405.17070.

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2024Temporal Representation Learning for Stock Similarities and Its Applications in Investment Management. (2024). Hwang, Yoontae ; Lee, Yongjae ; Zohren, Stefan. In: Papers. RePEc:arx:papers:2407.13751.

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2024Income, health, and cointegration. (2024). Ionides, Edward L. In: Papers. RePEc:arx:papers:2407.15755.

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2024On Deep Learning for computing the Dynamic Initial Margin and Margin Value Adjustment. (2024). Villarino, Joel P ; 'Alvaro Leitao, . In: Papers. RePEc:arx:papers:2407.16435.

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2024Spatial Weather, Socio-Economic and Political Risks in Probabilistic Load Forecasting. (2024). Zimmermann, Monika ; Ziel, Florian. In: Papers. RePEc:arx:papers:2408.00507.

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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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2024The Transmission of Monetary Policy via Common Cycles in the Euro Area. (2024). Pruser, Jan ; Berend, Lukas. In: Papers. RePEc:arx:papers:2410.05741.

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2024Term structure shapes and their consistent dynamics in the Svensson family. (2024). Sachse, Felix ; Keller-Ressel, Martin. In: Papers. RePEc:arx:papers:2410.08808.

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2024Distributionally Robust Instrumental Variables Estimation. (2024). Kwon, Yongchan ; Qu, Zhaonan. In: Papers. RePEc:arx:papers:2410.15634.

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2024Evaluating utility in synthetic banking microdata applications. (2024). Moews, Ben ; Caceres, Hugo E. In: Papers. RePEc:arx:papers:2410.22519.

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2024Filling in Missing FX Implied Volatilities with Uncertainties: Improving VAE-Based Volatility Imputation. (2024). Gopal, Achintya. In: Papers. RePEc:arx:papers:2411.05998.

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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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2025Heath-Jarrow-Morton meet lifted Heston in energy markets for joint historical and implied calibration. (2025). Sotnikov, Dimitri ; de Carvalho, Nathan ; Bruneau, Soukaina ; Jaber, Eduardo Abi ; Tur, Laurent. In: Papers. RePEc:arx:papers:2501.05975.

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2025Panel Data Estimation and Inference: Homogeneity versus Heterogeneity. (2025). GAO, Jiti ; Peng, Bin ; Liu, Fei ; Yan, Yayi. In: Papers. RePEc:arx:papers:2502.03019.

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2025Minnesota BART. (2025). Carvalho, Carlos M ; Lima, Pedro A ; Herren, Andrew ; Lopes, Hedibert F. In: Papers. RePEc:arx:papers:2503.13759.

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2024Decomposing Large Banks’ Systemic Trading Losses. (2024). Raykov, Radoslav. In: Staff Working Papers. RePEc:bca:bocawp:24-6.

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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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2024Effect of Public Investment on Private Investment in C̫te d۪Ivoire: A Long-Term Analysis. (2024). Guei, Pierre. In: International Journal of Research and Innovation in Social Science. RePEc:bcp:journl:v:8:y:2024:i:7:p:3402-3411.

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2024Was Covid-19 a wake-up call on climate risks? Evidence from the greenium. (2024). Marinelli, Giuseppe ; Liberati, Danilo. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_832_24.

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2025Output Gap Measurement after COVID for Colombia: Lessons from a Permanent-Transitory Approach. (2025). Parra-Amado, Daniel ; Granados, Camilo. In: Borradores de Economia. RePEc:bdr:borrec:1295.

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2024The Natural Rate of Interest in the Euro Area: Evidence from Inflation-Indexed Bonds. (2024). Mouabbi, Sarah ; Christensen, Jens. In: Working papers. RePEc:bfr:banfra:948.

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2025The Pricing Kernel under Proportional Ambiguity. (2025). Spengemann, Marco. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:700.

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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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2024Unmitigated disasters? Risk-sharing and macroeconomic recovery in a large international panel. (2024). von Peter, Goetz ; Saxena, Sweta ; von Dahlen, Sebastian. In: BIS Working Papers. RePEc:bis:biswps:1175.

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2024Accounting for Inflation: The Dog That Didnt Bark. (2024). Ball, Ray. In: Abacus. RePEc:bla:abacus:v:60:y:2024:i:1:p:1-12.

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2024A random walk for agricultural total factor productivity. (2024). Vercammen, James. In: Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie. RePEc:bla:canjag:v:72:y:2024:i:3:p:213-233.

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2024International comovements of public debt. (2024). Yun, Youngjin ; Payne, James ; Lee, Junsoo ; Arčabić, Vladimir ; Arabi, Vladimir ; Isomitdinov, Hasan. In: Economic Inquiry. RePEc:bla:ecinqu:v:62:y:2024:i:2:p:722-747.

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2024On the impact of institutional change: Rights reassignment and career length. (2024). Schmidt, Martin. In: Economic Inquiry. RePEc:bla:ecinqu:v:62:y:2024:i:4:p:1702-1721.

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2024Impacts of Monetary Policy Shocks on Inflation and Output in New Zealand. (2024). Kirkby, Robert ; Vu, Huong Ngoc. In: The Economic Record. RePEc:bla:ecorec:v:100:y:2024:i:329:p:160-187.

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2024A review of Phillips‐Sul approach‐based club convergence tests. (2024). Tomal, Mateusz. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:3:p:899-930.

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2024The Narrow Channel of Quantitative Easing: Evidence from YCC Down Under. (2024). Wright, Jonathan ; Lucca, David O. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:2:p:1055-1085.

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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 shape of business cycles: A cross‐country analysis of Friedmans plucking theory. (2024). Rees, Daniel ; Moessner, Richhild. In: Kyklos. RePEc:bla:kyklos:v:77:y:2024:i:2:p:351-370.

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2024Forecasting Inflation with the New Keynesian Phillips Curve: Frequencies Matter. (2024). Verona, Fabio ; Martins, Manuel. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:86:y:2024:i:4:p:811-832.

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2024Multivariate Trend‐Cycle‐Seasonal Decompositions with Correlated Innovations. (2024). Jacobs, Jan ; Osborn, Denise R ; Tian, Jing. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:86:y:2024:i:5:p:1260-1289.

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2024The Time-varying Zone-like and Asymmetric Preference of Central Banks: Evidence from China. (2024). Yu, Jun ; Chen, Chuanglian ; Zeng, Tao ; Liu, Xiaobin. In: Working Papers. RePEc:boa:wpaper:202421.

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2024Estimating the Natural Yield Curve in Japan Using a VAR with Common Trends. (2024). Iwasaki, Yuto ; Hatayama, Yudai. In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp24e17.

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2024On Bayesian Filtering for Markov Regime Switching Models. (2024). Maih, Junior ; Kirsanova, Tatiana ; Hashimzade, Nigar. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10941.

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2024Functional Oil Price Expectations Shocks and Inflation. (2024). Caporale, Guglielmo Maria ; Anderl, Christina. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10998.

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2024Expectations and Speculation in the Natural Gas Markets. (2024). Caporale, Guglielmo Maria ; Anderl, Christina. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11341.

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2024The Changing Nature of Technology Shocks. (2024). Gunn, Christopher ; Görtz, Christoph ; Lubik, Thomas A ; Grtz, Christoph. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11385.

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2024Dynamic Factor Models and Fractional Integration – With an Application to US Real Economic Activity. (2024). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Piqueras, Pedro Jos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11486.

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2025Testing for Persistence in Real House Prices in 47 Countries from the OECD Database. (2025). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Dominguez, Alfonso. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11662.

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2025Persistence in Real GDP: Evidence from Europe and the US. (2025). Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11764.

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2025The information matrix test for Markov switching autoregressive models with covariate-dependent transition probabilities. (2025). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2025_2502.

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2024Variation Index of the Output Gap (VIOG): A New Way of Testing Potential GDP Estimations. (2024). Ceballos, Hermilson Velasquez ; Rendon, Alvaro Hurtado ; Barrera, Alejandro Pinilla. In: Documentos de Trabajo de Valor Público. RePEc:col:000122:000002.

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2024Revisiting 15 Years of Unusual Transatlantic Monetary Policies. (2024). Sahuc, Jean-Guillaume ; Garcia-Revelo, Jose ; Levieuge, Gregory. In: EconomiX Working Papers. RePEc:drm:wpaper:2024-13.

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2024Outages in sovereign bond markets. (2024). Kerssenfischer, Mark ; Helmus, Caspar. In: Working Paper Series. RePEc:ecb:ecbwps:20242944.

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2024Introducing sspaneltvp: a code to estimating state-space time varying parameter models in panels. An application to Okun’s law.. (2024). Tamarit, Cecilio ; Camarero, Mariam ; Sapena, Juan. In: Working Papers. RePEc:eec:wpaper:2405.

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2025On the use of the cumulant generating function for inference on time series. (2025). Ronchetti, E ; la Vecchia, D ; Moor, A. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:201:y:2025:i:c:s0167947324001282.

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2024Risks and risk premia in the US Treasury market. (2024). Sarno, Lucio ; Li, Junye ; Zinna, Gabriele. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:158:y:2024:i:c:s016518892300194x.

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2024Dynamic hysteresis effects. (2024). Mendieta-Muñoz, Ivan ; Li, Mengheng ; Mendieta-Muoz, Ivan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:163:y:2024:i:c:s0165188924000629.

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2024Replicating business cycles and asset returns with sentiment and low risk aversion. (2024). Lansing, Kevin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:167:y:2024:i:c:s0165188924001131.

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2024Characterizing the schooling cycle. (2024). Sadaba, Barbara ; MAIER, SOFIA ; Vuji, Sunica. In: Economic Modelling. RePEc:eee:ecmode:v:132:y:2024:i:c:s0264999324000051.

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2024Business cycle synchronization and asymmetry in the European Union. (2024). Tica, Josip ; Panovska, Irina ; Arčabić, Vladimir ; Arabi, Vladimir. In: Economic Modelling. RePEc:eee:ecmode:v:139:y:2024:i:c:s0264999324001676.

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2024Inflation dynamics and persistence: The importance of the uncertainty channel. (2024). Canepa, Alessandra. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000603.

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2024Dynamic impact of the US yield curve on green bonds: Navigating through recent crises. (2024). Umar, Zaghum ; Teplova, Tamara ; Iqbal, Najaf ; Tan, Duojiao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001487.

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2024Yield curve trading strategies exploiting sentiment data. (2024). Serwart, Jan ; Audrino, Francesco. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001517.

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2024The comovement of bubbles’ responses to monetary policy shocks. (2024). Caraiani, Petre ; Calin, Adrian Cantemir ; Clin, Adrian Cantemir. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001694.

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2024Nowcasting the output gap with shadow rates. (2024). Kempa, Bernd ; Dubbert, Tore. In: Economics Letters. RePEc:eee:ecolet:v:236:y:2024:i:c:s0165176524000661.

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2024A robust Beveridge–Nelson decomposition using a score-driven approach with an application. (2024). van Brummelen, Janneke ; Koopman, Siem Jan ; Gorgi, P ; Blasques, F. In: Economics Letters. RePEc:eee:ecolet:v:236:y:2024:i:c:s0165176524000715.

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2024Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions. (2024). van Brummelen, Janneke ; Koopman, Siem Jan ; Gorgi, Paolo ; Blasques, Francisco. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002919.

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2024Advances in nowcasting economic activity: The role of heterogeneous dynamics and fat tails. (2024). Petrella, Ivan ; Drechsel, Thomas ; Antolin-Diaz, Juan. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003500.

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2024Reprint of: When will Arctic sea ice disappear? Projections of area, extent, thickness, and volume. (2024). Rudebusch, Glenn ; Goulet Coulombe, Philippe ; Diebold, Francis ; Gobel, Maximilian ; Zhang, Boyuan. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:1:s0304407623003615.

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2024Estimation and inference for high dimensional factor model with regime switching. (2024). Urga, Giovanni ; Wang, FA. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s0304407624000988.

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2024Better the devil you know: Improved forecasts from imperfect models. (2024). Oh, Dong Hwan ; Patton, Andrew J. In: Journal of Econometrics. RePEc:eee:econom:v:242:y:2024:i:1:s0304407624001131.

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

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2024A new macro-financial condition index for the euro area. (2024). MORANA, CLAUDIO. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:64-87.

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2024Partially one-sided semiparametric inference for trending persistent and antipersistent processes. (2024). Distaso, Walter ; Giraitis, Liudas ; Abadir, Karim M. In: Econometrics and Statistics. RePEc:eee:ecosta:v:30:y:2024:i:c:p:1-14.

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2024Supply or demand? Policy makers’ confusion in the presence of hysteresis. (2024). Singh, Sanjay ; Fatas, Antonio. In: European Economic Review. RePEc:eee:eecrev:v:161:y:2024:i:c:s0014292123002453.

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2024Gravity, globalization and time-varying heterogeneity. (2024). Standaert, Samuel ; Baier, Scott. In: European Economic Review. RePEc:eee:eecrev:v:163:y:2024:i:c:s0014292124000084.

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2024Does one (unconventional) size fit all? Effects of the ECB’s unconventional monetary policies on the euro area economies. (2024). Pagliari, Maria Sole. In: European Economic Review. RePEc:eee:eecrev:v:168:y:2024:i:c:s0014292124001466.

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2024The welfare costs of business cycles unveiled: Measuring the extent of stabilization policies. (2024). Doherty Luduvice, André Victor ; Barros, Fernando ; Augusto, Fabio ; Victor, Andre. In: European Economic Review. RePEc:eee:eecrev:v:169:y:2024:i:c:s001429212400151x.

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2024Instantaneous volatility of the yield curve, variance risk premium and bond return predictability. (2024). Yin, Ximing ; Yang, GE. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000252.

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2024The risk–return tradeoff among equity factors. (2024). Barroso, Pedro ; Maio, Paulo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000537.

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2024The influence of the Ukraine-Russia conflict on renewable and fossil energy price cycles. (2024). Yamaka, Woraphon ; Maneejuk, Paravee ; Kaewtathip, Nuttaphong. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323007168.

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2024Variance dynamics and term structure of the natural gas market. (2024). Wei, Xinyang ; Bhar, Ramaprasad ; Sheng, NI ; Colwell, David B ; Shao, Chengwu. In: Energy Economics. RePEc:eee:eneeco:v:137:y:2024:i:c:s0140988324004882.

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2024Green bond credit spreads and bank loans in China. (2024). Zhou, Wenyu ; Long, Huaigang ; Wang, Congcong ; Zaremba, Adam. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002321.

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2024A consumption-based term structure model of bonds and equity. (2024). Suzuki, Masataka. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002424.

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2024International interest rate arbitrage: Study on a novel strategy. (2024). Feng, Xuan ; Li, Zhuoran ; Wu, Wei. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924006379.

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2024State-dependent volatility feedback effect in the ICAPM. (2024). Kilic, Osman ; O'Connor, Matthew L ; Nam, Kiseok. In: Finance Research Letters. RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323010723.

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2024Quantile-on-quantile connectedness measures: Evidence from the US treasury yield curve. (2024). Stenfors, Alexis ; Gabauer, David. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323012242.

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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.
[Full Text][Citation analysis]		article78
1974The Stochastic Structure of the Velocity of Money. In: American Economic Review.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		article135
1989The NERC Fan in Retrospect and Lessons for the Future In: The Energy Journal.
[Full Text][Citation analysis]		article4
1989The NERC Fan in Retrospect and Lessons for the Future.(1989) In: The Energy Journal.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		article
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.
[Full Text][Citation analysis]		paper4
1979SPURIOUS PERIODICITY IN INAPPROPRIATELY DETRENDED TIME SERIES In: Economic Research Papers.
[Full Text][Citation analysis]		paper173
1981Spurious Periodicity in Inappropriately Detrended Time Series..(1981) In: Econometrica.
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1979Spurious Periodicity in Inappropriately Detrended Time Series.(1979) In: The Warwick Economics Research Paper Series (TWERPS).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 173		paper
2001Markov Regime Switching and Unit-Root Tests. In: Journal of Business & Economic Statistics.
[Citation analysis]		article78
2000Markov regime-switching and unit root tests.(2000) In: International Finance Discussion Papers.
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2001Markov regime switching and unit root tests.(2001) In: Working Papers.
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2004The Less-Volatile U.S. Economy: A Bayesian Investigation of Timing, Breadth, and Potential Explanations. In: Journal of Business & Economic Statistics.
[Citation analysis]		article135
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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2003The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations.(2003) In: Working Papers.
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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]		article79
1983Pitfalls in the use of Time as an Explanatory Variable in Regression.(1983) In: NBER Technical Working Papers.
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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.
[Full Text][Citation analysis]		article203
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.
[Full Text][Citation analysis]		article303
Nelson_Plosser In: Instructional Stata datasets for econometrics.
[Full Text][Citation analysis]		paper0
2007Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article21
2007Spurious Inference in the GARCH(1,1) Model When It Is Weakly Identified.(2007) In: Working Papers.
[Full Text][Citation analysis]
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1988Long-Term Behavior of Yield Curves In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article25
1986Long-Term Behavior of Yield Curves.(1986) In: NBER Working Papers.
[Full Text][Citation analysis]
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2006BUSINESS-CYCLE FILTERING OF MACROECONOMIC DATA VIA A LATENT BUSINESS-CYCLE INDEX In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		article6
1990Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator. In: Econometrica.
[Full Text][Citation analysis]		article279
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: 279		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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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: 279		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]		paper343
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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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: 343		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: 343		paper
2002Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different?.(2002) In: Working Papers.
[Full Text][Citation analysis]
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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: 343		paper
2000Improved Inference for the Instrumental Variables Estimator In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]		paper14
1999Improved Inference for the Instrumental Variable Estimator.(1999) In: Discussion Papers in Economics at the University of Washington.
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1999Improved Inference for the Instrumental Variable Estimator.(1999) In: Working Papers.
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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.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]		article38
2006The Beveridge-Nelson Decomposition in Retrospect and Prospect.(2006) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 38		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]		article47
1998Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization1 In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article86
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]		article54
2001Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices? In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article16
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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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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2000Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?.(2000) In: Working Papers.
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1999Does an Intertemporal Tradeoff between Risk and Return Explain Mean Reversion in Stock Prices?.(1999) In: Working Papers.
[Full Text][Citation analysis]
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1989A Markov model of heteroskedasticity, risk, and learning in the stock market In: Journal of Financial Economics.
[Full Text][Citation analysis]		article266
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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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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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: 266		paper
1982Trends and random walks in macroeconmic time series : Some evidence and implications In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article2226
2000The uncertain trend in U.S. GDP In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article80
1998The Uncertain Trend in U.S. GDP.(1998) In: Discussion Papers in Economics at the University of Washington.
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1997The Uncertain Trend in U.S. GDP..(1997) In: Discussion Papers in Economics at the University of Washington.
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1998The Uncertain Trend in U.S. GDP.(1998) In: Working Papers.
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1997The Uncertain Trend in U.S. GDP..(1997) In: Working Papers.
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1997The Uncertain Trend in U.S. GDP.(1997) In: Computational Economics.
[Full Text][Citation analysis]
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1978The stochastic properties of velocity and the quantity theory of money In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article2
2006Estimation of a forward-looking monetary policy rule: A time-varying parameter model using ex post data In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article143
2007New measures of the output gap based on the forward-looking new Keynesian Phillips curve In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article81
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.
[Full Text][Citation analysis]		article1389
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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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.
[Full Text][Citation analysis]		article9
1994Empirical evidence on the recent behavior and usefulness of simple-sum and weighted measures of the money stock (commentary) In: Proceedings.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		paper1
2000The Great Depression and Output Persistence In: Discussion Papers in Economics at the University of Washington.
[Full Text][Citation analysis]		paper12
2002The Great Depression and Output Persistence..(2002) In: Journal of Money, Credit and Banking.
[Citation analysis]
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2000The Great Depression and Output Persistence.(2000) In: Working Papers.
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2000State-Space Modeling of the Relationship Between Air Quality and Mortality In: Discussion Papers in Economics at the University of Washington.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		paper59
2004Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?.(2004) In: Journal of Money, Credit and Banking.
[Citation analysis]
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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.
[Full Text][Citation analysis]		paper1
2000Is There a Structural Break in the Equity Premium?.(2000) In: Working Papers.
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1999A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models In: Discussion Papers in Economics at the University of Washington.
[Full Text][Citation analysis]		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.
[Citation analysis]
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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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1999Unit Root Tests in the Presence of Markov Regime-Switching In: Discussion Papers in Economics at the University of Washington.
[Full Text][Citation analysis]		paper4
1999Unit Root Tests in the Presence of Markov Regime-Switching.(1999) In: Working Papers.
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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]		paper261
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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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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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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1988MEAN REVERSION IN STOCK PRICES? A REAPPRAISAL OF EMPIRICAL EVIDENCE. In: Discussion Papers in Economics at the University of Washington.
[Citation analysis]		paper181
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: The Review of Economic Studies.
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1988MEAN REVERSION IN STOCK PRICES? A REAPPRAISAL OF EMPIRICAL EVIDENCE..(1988) In: Working Papers.
[Citation analysis]
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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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1990PREDICTABLE STOCK RETURNS: REALITY OR STATISTICAL ILLUSION?. In: Discussion Papers in Economics at the University of Washington.
[Citation analysis]		paper3
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.
[Citation analysis]
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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.
[Citation analysis]
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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.
[Citation analysis]
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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]		paper55
1997Valid Confidence Intervals and Inference in the Presence of Weak Instruments..(1997) In: Discussion Papers in Economics at the University of Washington.
[Citation analysis]
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1998Valid Confidence Intervals and Inference in the Presence of Weak Instruments..(1998) In: International Economic Review.
[Citation analysis]
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1996Valid Confidence Intervals and Inference in the Presence of Weak Instruments..(1996) In: Working Papers.
[Citation analysis]
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1997Valid Confidence Intervals and Inference in the Presence of Weak Instruments..(1997) In: Working Papers.
[Citation analysis]
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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.
[Citation analysis]		paper122
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.
[Citation analysis]
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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.
[Citation analysis]		paper0
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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