Charles R. Nelson : Citation Profile

Are you Charles R. Nelson?

University of Washington

33

H index

49

i10 index

10322

Citations

RESEARCH PRODUCTION:

73

Articles

96

Papers

1

Books

RESEARCH ACTIVITY:

   44 years (1970 - 2014). See details.
   Cites by year: 234
   Journals where Charles R. Nelson has often published
   Relations with other researchers
   Recent citing documents: 683.    Total self citations: 43 (0.41 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pne247
   Updated: 2023-08-19    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)

GUPTA, RANGAN (81)

Piger, Jeremy (80)

Kim, Chang-Jin (66)

Miller, Stephen (56)

Diebold, Francis (56)

Perron, Pierre (51)

Kishor, N (47)

Caporale, Guglielmo Maria (45)

Guidolin, Massimo (41)

Cites to:

Kim, Chang-Jin (23)

Startz, Richard (23)

Morley, James (11)

Hamilton, James (11)

Stock, James (10)

Orphanides, Athanasios (10)

Galí, Jordi (10)

Perron, Pierre (9)

Gertler, Mark (9)

Schwert, G. (8)

Harvey, Andrew (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
American Economic Review3
International Economic Review3
The Review of Economics and Statistics3
Proceedings3
Journal of Finance3
The Journal of Business3
Econometrica3
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
International Finance Discussion Papers / Board of Governors of the Federal Reserve System (U.S.)2
Econometrics / University Library of Munich, Germany2

Recent works citing Charles R. Nelson (2022 and 2021)

YearTitle of citing document
2021The incremental information in the yield curve about future interest rate risk. (2021). Veliyev, Bezirgen ; Kjar, Mads Markvart ; Christensen, Bent Jesper. In: CREATES Research Papers. RePEc:aah:create:2021-11.

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2022Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-02.

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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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2022Digital Divide in Pakistan: Barriers to ICT Usage among the Individuals of Pakistan. (2022). Kubra, Neelam ; Kamran, Muhammad Mubasher ; Waheed, Abdul ; Shair, Waqas. In: Journal of Economic Impact. RePEc:adx:journl:v:4:y:2022:i:3:p:196-204.

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2021El Desarrollo Sostenible y el rol de las Instituciones: un análisis preliminar. (2021). Reyes, Mauro D ; London, Silvia. In: Asociación Argentina de Economía Política: Working Papers. RePEc:aep:anales:4487.

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2021Trend, Cycles and Chance. (2021). DIEBOLT, Claude. In: Working Papers. RePEc:afc:wpaper:05-21.

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2022Whether high frequency intraday data behave randomly: Evidence from NIFTY 50. (2022). Roy, Subrata. In: Theoretical and Applied Economics. RePEc:agr:journl:v:2(631):y:2022:i:2(631):p:65-80.

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2021The Vanishing U.S. Cattle Cycle: A Stochastic Cycle Approach. (2020). Shonkwiler, Scott J ; Li, Yunhan. In: Journal of Agricultural and Resource Economics. RePEc:ags:jlaare:305225.

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2021Forecasting of Volatility in Stock Exchange Markets by MS-GARCH Approach: An Application of Borsa Istanbul. (2021). Kaya, Abdulkadir ; Yarbai, Kram Yusuf. In: Journal of Research in Economics, Politics & Finance. RePEc:ahs:journl:v:6:y:2021:i:1:p:16-35.

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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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2021Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections. (2019). Diebold, Francis ; Rudebusch, Glenn D. In: Papers. RePEc:arx:papers:1912.10774.

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2021Unit-root test within a threshold ARMA framework. (2020). Tong, Howell ; Goracci, Greta ; Giannerini, Simone ; Chan, Kung-Sik. In: Papers. RePEc:arx:papers:2002.09968.

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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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2021Accuracy of Deep Learning in Calibrating HJM Forward Curves. (2020). Lavagnini, Silvia ; Detering, Nils ; Benth, Fred Espen. In: Papers. RePEc:arx:papers:2006.01911.

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2021Efficiency Loss of Asymptotically Efficient Tests in an Instrumental Variables Regression. (2020). Ridder, Geert ; Moreira, Marcelo J. In: Papers. RePEc:arx:papers:2008.13042.

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2022Developments on the Bayesian Structural Time Series Model: Trending Growth. (2020). Kohns, David ; Bhattacharjee, Arnab. In: Papers. RePEc:arx:papers:2011.00938.

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2021Monitoring the pandemic: A fractional filter for the COVID-19 contact rate. (2021). Hartl, Tobias. In: Papers. RePEc:arx:papers:2102.10067.

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2021General Bayesian time-varying parameter VARs for predicting government bond yields. (2021). Pfarrhofer, Michael ; Huber, Florian ; Hauzenberger, Niko ; Fischer, Manfred M. In: Papers. RePEc:arx:papers:2102.13393.

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2021Standing on the Shoulders of Machine Learning: Can We Improve Hypothesis Testing?. (2021). Cornwall, Gary ; Sauley, Beau ; Chen, Jeff . In: Papers. RePEc:arx:papers:2103.01368.

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2021A survey of electricity spot and futures price models for risk management applications. (2021). Gruet, Pierre ; Deschatre, Thomas. In: Papers. RePEc:arx:papers:2103.16918.

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2021Calibrating the Nelson-Siegel-Svensson Model by Genetic Algorithm. (2021). Zhang, Amber ; Pintar, Andrej ; Lakhany, Asif. In: Papers. RePEc:arx:papers:2108.01760.

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2022Semiparametric Functional Factor Models with Bayesian Rank Selection. (2021). Kowal, Daniel R. In: Papers. RePEc:arx:papers:2108.02151.

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2021A New Multivariate Predictive Model for Stock Returns. (2021). Xie, Jianying. In: Papers. RePEc:arx:papers:2110.01873.

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2021Pair copula constructions of point-optimal sign-based tests for predictive linear and nonlinear regressions. (2021). Nobari, Kaveh Salehzadeh. In: Papers. RePEc:arx:papers:2111.04919.

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2021Long Run Law and Entropy. (2021). Tian, Weidong. In: Papers. RePEc:arx:papers:2111.06238.

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2022Dynamic Factor Models with Sparse VAR Idiosyncratic Components. (2021). Margaritella, Luca ; Krampe, Jonas. In: Papers. RePEc:arx:papers:2112.07149.

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2022The credit spread curve. I: Fundamental concepts, fitting, par-adjusted spread, and expected return. (2022). Martin, Richard J. In: Papers. RePEc:arx:papers:2201.01330.

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2022Dynamic Factor Model for Functional Time Series: Identification, Estimation, and Prediction. (2022). Salish, Nazarii ; Otto, Sven. In: Papers. RePEc:arx:papers:2201.02532.

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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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2022Deep Learning Macroeconomics. (2022). , Rafael ; Rafael, . In: Papers. RePEc:arx:papers:2201.13380.

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2022Portfolio Diversification Revisited. (2022). Shaw, Charles. In: Papers. RePEc:arx:papers:2204.13398.

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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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2022A Dynamic Stochastic Block Model for Multi-Layer Networks. (2022). Casarin, Roberto ; L'Opez, Ovielt Baltodano. In: Papers. RePEc:arx:papers:2209.09354.

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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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2022Fractional integration and cointegration. (2022). Nielsen, Morten ; Hualde, Javier. In: Papers. RePEc:arx:papers:2211.10235.

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

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2021Yield curve modelling and forecasting in an undeveloped financial market: The case of Bulgaria. (2021). Makarieva, Martina. In: Economic Thought journal. RePEc:bas:econth:y:2021:i:2:p:61-83,84-104.

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2022Real Exchange Rate Decompositions. (2022). Fontaine, Jean-Sebastien ; Feunou, Bruno ; Krohn, Ingomar. In: Discussion Papers. RePEc:bca:bocadp:22-6.

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2021Debt-Secular Economic Changes and Bond Yields. (2021). Fontaine, Jean-Sebastien ; Feunou, Bruno. In: Staff Working Papers. RePEc:bca:bocawp:21-14.

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2022Behavioral Learning Equilibria in New Keynesian Models. (2022). Zhu, Mei ; Ozden, Tolga ; Mavromatis, Kostas ; Hommes, Cars. In: Staff Working Papers. RePEc:bca:bocawp:22-42.

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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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2022Why you should never use the Hodrick-Prescott Filter: Comment. (2022). Moura, Alban. In: BCL working papers. RePEc:bcl:bclwop:bclwp162.

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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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2021Foreign Direct Investment and Domestic Private Investment in Sub-Saharan African Countries: Crowding-In or Out ?. (2021). Rabaud, Isabelle ; Jacolin, Luc ; Diallo, Askandarou. In: Working papers. RePEc:bfr:banfra:816.

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2021Does one (unconventional) size fit all? Effects of the ECBs unconventional monetary policies on the euro area economies. (2021). Pagliari, Maria Sole. In: Working papers. RePEc:bfr:banfra:829.

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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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2021Sovereign credit and exchange rate risks: evidence from Asia-Pacific local currency bonds. (2021). Hördahl, Peter ; Creal, Drew ; Chernov, Mikhail ; Hordahl, Peter. In: BIS Working Papers. RePEc:bis:biswps:918.

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2022Interpolation and Shock Persistence of Prewar U.S. Macroeconomic Time Series: A Reconsideration. (2022). Levy, Daniel ; Dezhbakhsh, Hashem. In: Working Papers. RePEc:biu:wpaper:2022-02.

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2022DEMUR: A Regional Semi-Structural Model of the Ural Macroregion. (2022). Kryzhanovskij, Oleg ; Zykov, Alexander ; Kryzhanovsky, Oleg. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:81:y:2022:i:4:p:52-85.

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2022Do Heterogeneous Beliefs Matter to Post?announcement Informed Trading?. (2022). Chen, Tao ; Karathanasopoulos, Andreas. In: Abacus. RePEc:bla:abacus:v:58:y:2022:i:4:p:714-741.

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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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2022Do crop prices share common trends and common cycles?. (2022). Vatsa, Puneet. In: Australian Journal of Agricultural and Resource Economics. RePEc:bla:ajarec:v:66:y:2022:i:2:p:363-382.

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2022Military technology and the North Korean economy: evidence from time?series data. (2022). En, GO ; Jin, Jang C. In: Asian-Pacific Economic Literature. RePEc:bla:apacel:v:36:y:2022:i:2:p:106-117.

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2021DSGE modelling for the UK economy 1974–2017. (2021). Asteriou, Dimitrios ; Pilbeam, Keith ; Litsios, Ioannis. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:73:y:2021:i:2:p:295-323.

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2021Nonlinear relationships between inflation, output growth and uncertainty in India: New evidence from a bivariate threshold model. (2021). Kundu, Srikanta ; Sarkar, Kaustav Kanti ; Chowdhury, Kushal Banik. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:73:y:2021:i:3:p:469-493.

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2022Trends and cycles in macro series: The case of US real GDP. (2022). Gilalana, Luis Alberiko ; Caporale, Guglielmo Maria. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:74:y:2022:i:1:p:123-134.

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2022A component Markov regime?switching autoregressive conditional range model. (2022). Mazibas, Murat. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:74:y:2022:i:2:p:650-683.

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2022Aggregate emission intensity targets: Applications to the Paris Agreement. (2022). Zhao, Jinhua. In: Economic Inquiry. RePEc:bla:ecinqu:v:60:y:2022:i:4:p:1875-1897.

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2021The relation between municipal and government bond yields in an era of unconventional monetary policy. (2021). Österholm, Pär ; Nordstrom, Martin ; Knezevic, David ; Osterholm, Par. In: Economic Notes. RePEc:bla:ecnote:v:50:y:2021:i:1:n:e12176.

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2021U.S. Monetary Policy and Commodity Prices: A SVECM Approach. (2021). Siami-Namini, Sima ; Siaminamini, Sima. In: Economic Papers. RePEc:bla:econpa:v:40:y:2021:i:4:p:288-312.

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2022Geographic proximity and price efficiency: Evidence from high?speed railway connections between firms and financial centers. (2022). Shen, Tao ; Qu, Yuanyu ; Gao, Hao. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:1:p:117-141.

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2021Covered bonds, loan growth and bank funding: The Swiss experience since 1932. (2021). Nitschka, Thomas ; Nellen, Thomas ; Meuli, Jonas. In: International Finance. RePEc:bla:intfin:v:24:y:2021:i:1:p:77-94.

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2021The sovereign yield curve and credit ratings in GIIPS. (2021). Umar, Zaghum ; Shehzad, Choudhry T ; Riaz, Yasir. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:3:p:895-916.

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2021Liquidity risk and corporate bond yield spread: Evidence from China. (2021). Jiang, Lunan ; Chen, Yinghui. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:4:p:1117-1151.

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2021AN OVERVIEW OF DYNAMIC MODEL AVERAGING TECHNIQUES IN TIME?SERIES ECONOMETRICS. (2021). Nonejad, Nima. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:35:y:2021:i:2:p:566-614.

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2021Reinvestment Risk and the Equity Term Structure. (2021). Gonalves, Andrei S. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:5:p:2153-2197.

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2022Anomalies and the Expected Market Return. (2022). Rapach, David E ; Li, Yan ; Dong, XI ; Zhou, Guofu. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:1:p:639-681.

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2022Late to Recessions: Stocks and the Business Cycle. (2022). Gomezcram, Roberto. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:2:p:923-966.

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2022Neural forecasting of the Italian sovereign bond market with economic news. (2022). Tiozzo Pezzoli, Luca ; Tosetti, Elisa ; Consoli, Sergio. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:185:y:2022:i:s2:p:s197-s224.

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2021Jointly determining the state dimension and lag order for Markov?switching vector autoregressive models. (2021). Kwok, Simon Sai Man ; Li, Nan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:4:p:471-491.

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2022Inference in functional factor models with applications to yield curves. (2022). Horvath, Lajos ; Wang, Shixuan ; Vanderdoes, Jeremy ; Kokoszka, Piotr. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:6:p:872-894.

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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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2021Testing Goodwin with a stochastic differential approach—The United States (1948–2019). (2021). McIsaac, Florent ; Florent Mc Isaac, . In: Metroeconomica. RePEc:bla:metroe:v:72:y:2021:i:4:p:696-730.

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2022On the empirical content of the convergence debate: Cross?country evidence on growth and capacity utilisation. (2022). Gonzalez, Alejandro ; Gahn, Santiago Jose. In: Metroeconomica. RePEc:bla:metroe:v:73:y:2022:i:3:p:825-855.

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2021Nearly Unbiased Estimation of Autoregressive Models for Bounded Near?Integrated Stochastic Processes*. (2021). Montañés, Antonio ; Carrion-i-Silvestre, Josep ; CarrioniSilvestre, Josep Lluis ; Montaes, Antonio ; Gadea, Maria Dolores. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:1:p:273-297.

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2021Modelling of Economic and Financial Conditions for Real?Time Prediction of Recessions. (2021). Çakmaklı, Cem ; Altug, Sumru ; Ircani, Hamza Dem. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:3:p:663-685.

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2021International Effects of Euro Area Forward Guidance. (2021). Siklos, Pierre ; Feldkircher, Martin ; Böck, Maximilian ; Bock, Maximilian. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:5:p:1066-1110.

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2021Are Recoveries all the Same: GDP and TFP?. (2021). Startz, Richard ; Huang, Yufan ; Luo, Sui. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:5:p:1111-1129.

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2022Time?Varying Dynamics of the German Business Cycle: A Comprehensive Investigation. (2022). Reif, Magnus. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:84:y:2022:i:1:p:80-102.

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2022Monetary policy and inflation–output variability in Sri Lanka: Lessons for developing economies. (2022). Middleditch, Paul ; Mayandy, Kesavarajah. In: Review of Development Economics. RePEc:bla:rdevec:v:26:y:2022:i:1:p:259-279.

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2022Modeling the dynamics of oil and agricultural commodity price nexus in linear and nonlinear frameworks: A case of emerging economy. (2022). Ansari, Saghir Ahmad ; Sharma, Vishal ; Khan, Waseem. In: Review of Development Economics. RePEc:bla:rdevec:v:26:y:2022:i:3:p:1733-1784.

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2021Financial market spillovers of U.S. monetary policy shocks. (2021). Ha, Jongrim. In: Review of International Economics. RePEc:bla:reviec:v:29:y:2021:i:5:p:1221-1274.

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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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2022Identification and estimation of threshold matrix?variate factor models. (2022). Chen, Elynn Y ; Liu, Xialu. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:49:y:2022:i:3:p:1383-1417.

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2021Do Central Banks Respond to Exchange Rate Movements? A Markov-Switching Structural Investigation of Commodity Exporters and Importers. (2021). Maih, Junior ; Bjørnland, Hilde ; Alstadheim, Ragna ; Bjornland, Hilde Christiane. In: Working Papers. RePEc:bny:wpaper:0095.

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2021Inflation dynamics and forecast : frequency matters. (2021). Verona, Fabio ; Martins, Manuel. In: Research Discussion Papers. RePEc:bof:bofrdp:2021_008.

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2022The effects of Federal Reserves quantitative easing and balance sheet normalization policies on long-term interest rates. (2022). Georgiou, Evangelia A ; Brissimis, Sophocles N. In: Working Papers. RePEc:bog:wpaper:299.

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2021Dating Structural Changes in UK Monetary Policy. (2021). Vincenzo, De Lipsis. In: The B.E. Journal of Macroeconomics. RePEc:bpj:bejmac:v:21:y:2021:i:2:p:509-539:n:7.

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2021Modeling House Price Synchronization across the U.S. States and their Time-Varying Macroeconomic Linkages. (2021). Hardik, Marfatia. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:13:y:2021:i:1:p:73-117:n:1.

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2021How do volatility regimes affect the pricing of quality and liquidity in the stock market?. (2021). Hübner, Georges ; Tarik, Bazgour ; Danielle, Sougne ; Georges, Hubner ; Cedric, Heuchenne. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:1:p:17:n:3.

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2021An effcient exact Bayesian method For state space models with stochastic volatility. (2021). Yu-Fan, Huang. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:2:p:10:n:6.

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2021Stochastic model specification in Markov switching vector error correction models. (2021). Huber, Florian ; Niko, Hauzenberger ; Thomas, Zorner ; Michael, Pfarrhofer ; Florian, Huber. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:2:p:17:n:7.

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2022Bayesian multivariate Beveridge–Nelson decomposition of I(1) and I(2) series with cointegration. (2022). Yasutomo, MURASAWA . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:26:y:2022:i:3:p:387-415:n:4.

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2022Do consumption-based asset pricing models explain own-history predictability in stock market returns?. (2022). Ashby, M ; Linton, O B. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2259.

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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]		article77
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]		article134
1989The NERC Fan in Retrospect and Lessons for the Future In: The Energy Journal.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		paper4
1979SPURIOUS PERIODICITY IN INAPPROPRIATELY DETRENDED TIME SERIES In: Economic Research Papers.
[Full Text][Citation analysis]		paper167
1981Spurious Periodicity in Inappropriately Detrended Time Series..(1981) In: Econometrica.
[Full Text][Citation analysis]
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1979Spurious Periodicity in Inappropriately Detrended Time Series.(1979) In: The Warwick Economics Research Paper Series (TWERPS).
[Full Text][Citation analysis]
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2001Markov Regime Switching and Unit-Root Tests. In: Journal of Business & Economic Statistics.
[Citation analysis]		article70
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]		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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2003The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations.(2003) In: Working Papers.
[Full Text][Citation analysis]
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2005The Structural Break in the Equity Premium In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article37
1984Pitfalls in the Use of Time as an Explanatory Variable in Regression. In: Journal of Business & Economic Statistics.
[Citation analysis]		article77
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]		article35
1976Inflation and Rates of Return on Common Stocks. In: Journal of Finance.
[Full Text][Citation analysis]		article196
1976Inflation and Capital Budgeting. In: Journal of Finance.
[Full Text][Citation analysis]		article8
1993 Predictable Stock Returns: The Role of Small Sample Bias. In: Journal of Finance.
[Full Text][Citation analysis]		article292
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]
This paper has another version. Agregated cites: 25		paper
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.
[Full Text][Citation analysis]
This paper has another 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]		article267
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]
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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 another version. Agregated cites: 267		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 another 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]		paper330
2000Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different?.(2000) In: Discussion Papers in Economics at the University of Washington.
[Full Text][Citation analysis]
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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]
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2000Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different?.(2000) In: Working Papers.
[Full Text][Citation analysis]
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2002Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different?.(2002) In: Working Papers.
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2003Why are Beveridge-Nelson and Unobserved-component decompositions of GDP so Different?.(2003) In: Working Papers.
[Citation analysis]
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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.
[Full Text][Citation analysis]
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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]		article26
1987Spurious Trend and Cycle in the State Space Decomposition of a Time Series with a Unit Root.(1987) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
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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]
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2007The Zero-Information-Limit-Condition and Spurious Inference in Weakly Identified Models.(2007) In: Working Papers.
[Full Text][Citation analysis]
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2008The Beveridge-Nelson decomposition in retrospect and prospect In: Journal of Econometrics.
[Full Text][Citation analysis]		article32
2006The Beveridge-Nelson Decomposition in Retrospect and Prospect.(2006) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 32		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]		article42
1998Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization1 In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article83
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]		article51
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.
[Full Text][Citation analysis]
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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.
[Full Text][Citation analysis]
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2000Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?.(2000) In: Working Papers.
[Full Text][Citation analysis]
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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]		article259
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]
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1982Trends and random walks in macroeconmic time series : Some evidence and implications In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article2122
2000The uncertain trend in U.S. GDP In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article79
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.
[Citation analysis]
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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.
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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]		article136
2007New measures of the output gap based on the forward-looking new Keynesian Phillips curve In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article75
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]		article1335
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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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.
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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.
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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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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.
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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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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]		paper256
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.
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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.
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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]		paper178
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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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.
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1990PREDICTABLE STOCK RETURNS: REALITY OR STATISTICAL ILLUSION?. In: Discussion Papers in Economics at the University of Washington.
[Citation analysis]		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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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.
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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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