Charles R. Nelson : Citation Profile


Are you Charles R. Nelson?

University of Washington

33

H index

49

i10 index

10423

Citations

RESEARCH PRODUCTION:

73

Articles

96

Papers

1

Books

RESEARCH ACTIVITY:

   44 years (1970 - 2014). See details.
   Cites by year: 236
   Journals where Charles R. Nelson has often published
   Relations with other researchers
   Recent citing documents: 431.    Total self citations: 43 (0.41 %)

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   Permalink: http://citec.repec.org/pne247
   Updated: 2023-11-04    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 (82)

Piger, Jeremy (81)

Kim, Chang-Jin (66)

Diebold, Francis (56)

Miller, Stephen (56)

Perron, Pierre (51)

Kishor, N (47)

Caporale, Guglielmo Maria (45)

Owyang, Michael (42)

Cites to:

Startz, Richard (24)

Kim, Chang-Jin (23)

Hamilton, James (11)

Morley, James (11)

Perron, Pierre (11)

Stock, James (10)

Orphanides, Athanasios (10)

Galí, Jordi (10)

Schwert, G. (9)

Gertler, Mark (9)

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 Political Economy5
Journal of Econometrics5
Journal of Empirical Finance4
The Review of Economics and Statistics3
Econometrica3
The Journal of Business3
International Economic Review3
Journal of Finance3
Proceedings3
American Economic Review3
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 (2023 and 2022)


YearTitle of citing document
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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2023Trend Breaks and the Persistence of Closed-End Fund Discounts. (2023). Kim, Hyeongwoo ; Sun, Yanfei ; Lee, Hyejin ; Durmaz, Nazif. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2023-08.

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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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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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2022.

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

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

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

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

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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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2022Fast, Robust Inference for Linear Instrumental Variables Models using Self-Normalized Moments. (2022). Rose, Christiern ; Gautier, Eric. In: Papers. RePEc:arx:papers:2211.02249.

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

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

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

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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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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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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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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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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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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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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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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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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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2023.

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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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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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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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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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2022.

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2022Split Personalities: The Changing Nature of Technology Shocks*. (2022). Lubik, Thomas ; Gunn, Christopher ; Grtz, Christoph. In: Carleton Economic Papers. RePEc:car:carecp:22-06.

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2022Estimating the Trend of the House Price to Income Ratio in Ireland. (2022). Yao, Fang. In: Research Technical Papers. RePEc:cbi:wpaper:8/rt/22.

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2022A Markov-Switching Model of the Unemployment Rate: Working Paper 2022-05. (2022). Office, Congressional Budget. In: Working Papers. RePEc:cbo:wpaper:57582.

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2022Supply or Demand? Policy Makers Confusion in the Presence of Hysteresis. (2022). Singh, Sanjay R ; Fatas, Antonio. In: Working Papers. RePEc:cda:wpaper:347.

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

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2022Perceptions about Monetary Policy. (2022). Sunderam, Adi ; Pflueger, Carolin E ; Bauer, Michael D. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10182.

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

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2022A Reassessment of Monetary Policy Surprises and High-Frequency Identification. (2022). Swanson, Eric T ; Bauer, Michael D. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9642.

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2022Coherence of Output Gaps in the Euro Area: The Impact of the Covid-19 Shock. (2022). Zijm, Renske ; An, J ; de Haan, Jakob. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9654.

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2022Forecasting Inflation with a Zero Lower Bound or Negative Interest Rates: Evidence from Point and Density Forecasts. (2022). Caporale, Guglielmo Maria ; Anderl, Christina. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9687.

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2022Shadow Rates as a Measure of the Monetary Policy Stance: Some International Evidence. (2022). Caporale, Guglielmo Maria ; Anderl, Christina. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9839.

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2022Monetary Policy and the Financial Cycle: International Evidence. (2022). Žáček, Jan ; Baxa, Jaromir. In: Working Papers. RePEc:cnb:wpaper:2022/4.

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2022Pruned Skewed Kalman Filter and Smoother: With Application to the Yield Curve. (2022). Trede, Mark ; Mutschler, Willi ; Guljanov, Gaygysyz. In: Dynare Working Papers. RePEc:cpm:dynare:078.

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2022Government spending effects on the business cycle in times of crisis. (2022). Dubbert, Tore ; Berger, Tino. In: CQE Working Papers. RePEc:cqe:wpaper:10022.

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2022Pruned Skewed Kalman Filter and Smoother: With Application to the Yield Curve. (2022). Mutschler, Willi ; Trede, Mark ; Guljanov, Gaygysyz. In: CQE Working Papers. RePEc:cqe:wpaper:10122.

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2022A Wake-Up Call Theory of Contagion. (2022). Ahnert, Toni ; Bertsch, Christoph. In: Working Paper Series. RePEc:ecb:ecbwps:20222658.

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2022Estimating the Euro Area output gap using multivariate information and addressing the COVID-19 pandemic. (2022). Wong, Benjamin ; Sun, Yiqiao ; Palenzuela, Diego Rodriguez ; Morley, James. In: Working Paper Series. RePEc:ecb:ecbwps:20222716.

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

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

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2022Robust energy-to-peak filter design for a class of unstable polytopic systems with a macroeconomic application. (2022). Takacs, Tibor ; Gyurkovics, Eva. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:420:y:2022:i:c:s0096300321008110.

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2022Stochastic stability criteria and event-triggered control of delayed Markovian jump quaternion-valued neural networks. (2022). Xiong, Lianglin ; Wu, Baowei ; Shu, Jinlong. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:420:y:2022:i:c:s0096300321009875.

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2022Measuring trend inflation in India. (2022). Behera, Harendra ; Patra, Michael Debabrata. In: Journal of Asian Economics. RePEc:eee:asieco:v:80:y:2022:i:c:s1049007822000331.

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

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

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2022Markov-switching state-space models with applications to neuroimaging. (2022). Ombao, Hernando ; Ting, Chee-Ming ; Degras, David. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:174:y:2022:i:c:s0167947322001050.

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2022A unified approach for jointly estimating the business and financial cycle, and the role of financial factors. (2022). Wong, Benjamin ; Richter, Julia ; Berger, Tino. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:136:y:2022:i:c:s0165188922000203.

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2022Decomposing the output gap with inflation learning. (2022). Ramamurthy, Srikanth ; Panovska, Irina. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:136:y:2022:i:c:s016518892200032x.

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2022The effect of uncertainty on the sensitivity of the yield curve to monetary policy surprises. (2022). Shang, Fei. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:137:y:2022:i:c:s0165188922000604.

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

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

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2022On the behavior of Okuns law across business cycles. (2022). Donayre, Luiggi. In: Economic Modelling. RePEc:eee:ecmode:v:112:y:2022:i:c:s0264999322001043.

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2022Unit roots in lower-bounded series with outliers. (2022). Alanya-Beltran, Willy. In: Economic Modelling. RePEc:eee:ecmode:v:115:y:2022:i:c:s0264999322002279.

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2022Assessing uncertainty of output gap estimates: Evidence from Visegrad countries. (2022). Nmec, Daniel ; Chalmoviansk, Jakub. In: Economic Modelling. RePEc:eee:ecmode:v:116:y:2022:i:c:s026499932200236x.

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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.
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article12
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1996Valid Confidence Regions and Inference in the Presence of Weak Instruments.(1996) In: Working Papers.
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2006A General Approach to Constructing a Valid Test in Weakly Identified Models Where Zero-Limit-Information Condition (ZILC) Holds In: Working Papers.
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2006A Time-Varying Parameter Model for a Forward-Looking Monetary Policy Rule Based on Real-Time Data In: Working Papers.
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