31
H index
48
i10 index
3610
Citations
Federal Reserve Bank of St. Louis | 31 H index 48 i10 index 3610 Citations RESEARCH PRODUCTION: 120 Articles 74 Papers 1 Chapters RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Christopher Neely. | Is cited by: | Cites to: |
Working Papers Series with more than one paper published | # docs |
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Working Papers / Federal Reserve Bank of St. Louis | 60 |
CEPR Discussion Papers / C.E.P.R. Discussion Papers | 2 |
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2023 | Deep Reinforcement Learning for Active High Frequency Trading. (2021). Briola, Antonio ; Turiel, Jeremy ; Marcaccioli, Riccardo ; Aste, Tomaso. In: Papers. RePEc:arx:papers:2101.07107. Full description at Econpapers || Download paper | |
2022 | Robustifying Conditional Portfolio Decisions via Optimal Transport. (2021). Ye, Yinyu ; Delage, Erick ; Blanchet, Jose ; Zhang, Fan ; Nguyen, Viet Anh. In: Papers. RePEc:arx:papers:2103.16451. Full description at Econpapers || Download paper | |
2023 | Cryptocurrency Valuation: An Explainable AI Approach. (2022). Zhang, Luyao ; Liu, Yulin. In: Papers. RePEc:arx:papers:2201.12893. Full description at Econpapers || Download paper | |
2023 | Optimal Asset Allocation in a High Inflation Regime: a Leverage-feasible Neural Network Approach. (2023). Forsyth, Peter A ; Li, Yuying ; Ni, Chendi. In: Papers. RePEc:arx:papers:2304.05297. Full description at Econpapers || Download paper | |
2023 | Online Ensemble of Models for Optimal Predictive Performance with Applications to Sector Rotation Strategy. (2023). Polak, Pawel ; Miao, Jiaju. In: Papers. RePEc:arx:papers:2304.09947. Full description at Econpapers || Download paper | |
2023 | The Federal Reserves Response to the Global Financial Crisis and Its Long-Term Impact: An Interrupted Time-Series Natural Experimental Analysis. (2023). KAMKOUM, Arnaud Cedric. In: Papers. RePEc:arx:papers:2305.12318. Full description at Econpapers || Download paper | |
2022 | Evaluating the Effectiveness of Quantitative Easing Measures of the Federal Reserve and the European Central Bank. (2022). Mulaahmetovic, Inda. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:v:12:y:2022:i:3:p:141-163:id:4436. Full description at Econpapers || Download paper | |
2022 | . Full description at Econpapers || Download paper | |
2023 | Time-Varying Risk Aversion and International Stock Returns. (2023). Guidolin, Massimo ; Cabrera, Gabriel ; Hansen, Erwin. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp23203. Full description at Econpapers || Download paper | |
2022 | International Transmission of Quantitative Easing Policies: Evidence from Canada. (2022). Tuzcuoglu, Kerem ; Kabaca, Serdar. In: Staff Working Papers. RePEc:bca:bocawp:22-30. Full description at Econpapers || Download paper | |
2022 | Make-up Strategies with Finite Planning Horizons but Forward-Looking Asset Prices. (2022). Matheron, Julien ; le Bihan, Herve ; Dupraz, Stephane. In: Working Papers. RePEc:bde:wpaper:2218. Full description at Econpapers || Download paper | |
2023 | Effects 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. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2022 | The Conditional Path of Central Bank Asset Purchases. (2022). Hubert, Paul ; Creel, Jerome ; Bozou, Caroline ; Blot, Christophe. In: Working papers. RePEc:bfr:banfra:885. Full description at Econpapers || Download paper | |
2023 | Blowing against the Wind? A Narrative Approach to Central Bank Foreign Exchange Intervention. (2023). Naef, Alain. In: Working papers. RePEc:bfr:banfra:911. Full description at Econpapers || Download paper | |
2023 | Forecasting swap rate volatility with information from swaptions. (2023). Xie, Jinming ; Liu, Xiaoxi. In: BIS Working Papers. RePEc:bis:biswps:1068. Full description at Econpapers || Download paper | |
2022 | Beating the Average: Equity Premium Variations, Uncertainty, and Liquidity. (2022). Wagner, Niklas ; Kinateder, Harald ; Batten, Jonathan A. In: Abacus. RePEc:bla:abacus:v:58:y:2022:i:3:p:567-588. Full description at Econpapers || Download paper | |
2022 | A timing momentum strategy. (2022). Ko, Kuancheng ; Chou, Robin K ; Yang, Nientzu ; Lin, Chaonan. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:s1:p:1339-1379. Full description at Econpapers || Download paper | |
2022 | Stock return predictability: Evaluation based on interval forecasts. (2022). Kim, Jae H ; Darne, Olivier ; Charles, Amelie. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:74:y:2022:i:2:p:363-385. Full description at Econpapers || Download paper | |
2022 | The Virus, the Dollar, and the Global Order: The COVID?19 Crisis in Comparative Perspective. (2022). Hung, Hofung. In: Development and Change. RePEc:bla:devchg:v:53:y:2022:i:6:p:1177-1199. Full description at Econpapers || Download paper | |
2022 | Economic forecasts, anchoring bias, and stock returns. (2022). Yu, Han ; Dutta, Sandip ; Birz, Gene. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:1:p:169-191. Full description at Econpapers || Download paper | |
2022 | Shrinking return forecasts. (2022). Wang, Yudong ; Pan, Zhiyuan ; Liu, LI. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:3:p:641-661. Full description at Econpapers || Download paper | |
2022 | Driving Global Convergence in Green Financial Policies: China as Policy Pioneer and the EU as Standard Setter. (2022). Larsen, Mathias Lund. In: Global Policy. RePEc:bla:glopol:v:13:y:2022:i:3:p:358-370. Full description at Econpapers || Download paper | |
2022 | Detecting persistent one?sided intervention in foreign exchange markets: A simple test. (2022). Wang, Jenkuan ; Chen, Shiusheng. In: International Finance. RePEc:bla:intfin:v:25:y:2022:i:1:p:23-45. Full description at Econpapers || Download paper | |
2022 | The behaviour of real interest rates: New evidence from a suprasecular perspective. (2022). Miller, Stephen M ; Gupta, Rangan ; Gilalana, Luis A ; Canarella, Giorgio. In: International Finance. RePEc:bla:intfin:v:25:y:2022:i:1:p:46-64. Full description at Econpapers || Download paper | |
2022 | Can technical indicators predict the Chinese equity risk premium?. (2022). Glabadanidis, Paskalis ; Sun, Mingwei. In: International Review of Finance. RePEc:bla:irvfin:v:22:y:2022:i:1:p:114-142. Full description at Econpapers || Download paper | |
2023 | The trend premium around the world: Evidence from the stock market. (2023). Zhang, Cheng ; Liu, Pengfei ; Lin, Hai. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:2:p:317-358. Full description at Econpapers || Download paper | |
2023 | Bank systemic risk: An analysis of the sovereign rating ceiling policy and rating downgrades. (2023). Pham, Thu Phuong ; Zurbruegg, Ralf ; Wasi, Md Abdul. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:50:y:2023:i:1-2:p:411-440. Full description at Econpapers || Download paper | |
2022 | Anomalies 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. Full description at Econpapers || Download paper | |
2023 | Macroeconomic News in Asset Pricing and Reality. (2023). Duffee, Gregory R. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1499-1543. Full description at Econpapers || Download paper | |
2022 | A new volatility model: GQARCH?ItÔ model. (2022). Xu, LU ; Sun, Yulei ; Yuan, Huiling ; Cui, Xiangyu ; Zhou, Yong. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:3:p:345-370. Full description at Econpapers || Download paper | |
2022 | Is the ECB’s conventional monetary policy state?dependent? An event study approach. (2022). Perdichizzi, Salvatore ; Torluccio, Giuseppe ; Cotugno, Matteo. In: Manchester School. RePEc:bla:manchs:v:90:y:2022:i:2:p:213-236. Full description at Econpapers || Download paper | |
2022 | The Role of Global and Domestic Shocks for Inflation Dynamics: Evidence from Asia. (2022). Tillmann, Peter ; Finck, David. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:84:y:2022:i:5:p:1181-1208. Full description at Econpapers || Download paper | |
2023 | Monetary Policy Uncertainty and Inflation Expectations. (2023). Blagov, Boris ; Arcealfaro, Gabriel. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:85:y:2023:i:1:p:70-94. Full description at Econpapers || Download paper | |
2022 | Foreign exchange interventions under a minimum exchange rate regime and the Swiss franc. (2022). Hertrich, Markus. In: Review of International Economics. RePEc:bla:reviec:v:30:y:2022:i:2:p:450-489. Full description at Econpapers || Download paper | |
2022 | Volatility transmission and volatility impulse response functions in the main and the satellite Renminbi exchange rate markets. (2022). Tsang, Andrew ; Funke, Michael ; Loermann, Julius. In: Review of International Economics. RePEc:bla:reviec:v:30:y:2022:i:2:p:606-628. Full description at Econpapers || Download paper | |
2023 | One size may not fit all: Financial fragmentation and European monetary policies. (2023). Gimet, Céline ; Gagnon, Mariehelene. In: Review of International Economics. RePEc:bla:reviec:v:31:y:2023:i:1:p:305-340. Full description at Econpapers || Download paper | |
2022 | Monetary policy transmission during QE times: role of expectations and term premia channels. (2022). Mumtaz, Haroon ; Kaminska, Iryna. In: Bank of England working papers. RePEc:boe:boeewp:0978. Full description at Econpapers || Download paper | |
2022 | Links between government bond and futures markets: dealer-client relationships and price discovery in the UK. (2022). Mankodi, Aakash ; Lazarov, Vladimir ; di Gangi, Domenico ; Silvestri, Laura. In: Bank of England working papers. RePEc:boe:boeewp:0991. Full description at Econpapers || Download paper | |
2023 | Unwinding quantitative easing: state dependency and household heterogeneity. (2023). Cantore, Cristiano ; Meichtry, Pascal. In: Bank of England working papers. RePEc:boe:boeewp:1030. Full description at Econpapers || Download paper | |
2022 | The 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. Full description at Econpapers || Download paper | |
2022 | A global monetary policy factor in sovereign bond yields. (2022). Migiakis, Petros ; Malliaropulos, Dimitris. In: Working Papers. RePEc:bog:wpaper:301. Full description at Econpapers || Download paper | |
2022 | Causal effects of the Feds large-scale asset purchases on firms capital structure. (2022). Pesaran, M H ; Nocera, A. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2224. Full description at Econpapers || Download paper | |
2022 | Quantitative Easing and Macroeconomic Performance in the United States. (2022). Mulaahmetovi, Inda. In: Journal of Central Banking Theory and Practice. RePEc:cbk:journl:v:11:y:2022:i:3:p:79-98. Full description at Econpapers || Download paper | |
2023 | UK monetary and fiscal policy since the Great Recession- an evaluation. (2023). Minford, A. Patrick ; Wang, Ziqing ; Meenagh, David ; Mai, Vo Phuong. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2023/9. Full description at Econpapers || Download paper | |
2023 | An Unconventional FX Tail Risk Story. (2023). Stoja, Evarist ; Pambira, Alberto ; Gerba, Eddie ; Caon, Carlos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10629. Full description at Econpapers || Download paper | |
2022 | Causal Effects of the Feds Large-Scale Asset Purchases on Firms Capital Structure. (2022). Pesaran, Hashem M ; Nocera, Andrea . In: CESifo Working Paper Series. RePEc:ces:ceswps:_9695. Full description at Econpapers || Download paper | |
2022 | International Portfolio Rebalancing and Fiscal Policy Spillovers. (2022). Kabaca, Serdar ; Aysun, Uluc ; Alpanda, Sami. In: Working Papers. RePEc:cfl:wpaper:2022-01ua. Full description at Econpapers || Download paper | |
2023 | Where is the Inflation? The Diverging Patterns of Prices of Goods and Services. (2023). Wlasiuk, Juan M ; Carlomagno, Guillermo ; Bajraj, Gent. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:969. Full description at Econpapers || Download paper | |
2023 | The conditional path of central bank asset purchases. (2023). Bozou, Caroline ; Creel, Jerome ; Hubert, Paul ; Blot, Christophe. In: EconomiX Working Papers. RePEc:drm:wpaper:2023-15. Full description at Econpapers || Download paper | |
2023 | Interbank asset-liability networks with fire sale management. (2023). Haaj, Grzegorz ; Feinstein, Zachary. In: Working Paper Series. RePEc:ecb:ecbwps:20232806. Full description at Econpapers || Download paper | |
2022 | Technical Analysis, Energy Cryptos and Energy Equity Markets. (2022). Gurrib, Ikhlaas. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2022-02-28. Full description at Econpapers || Download paper | |
2022 | Currency manipulation and currency wars: Analyzing the dynamics of competitive central bank interventions. (2022). Sushko, Iryna ; Schmitt, Noemi ; Radi, Davide ; Gardini, Laura ; Westerhoff, Frank. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:145:y:2022:i:c:s0165188922002482. Full description at Econpapers || Download paper | |
2023 | Quantitative easing in the US and financial cycles in emerging markets. (2023). Wesołowski, Grzegorz ; Kolasa, Marcin ; Wesoowski, Grzegorz. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:149:y:2023:i:c:s0165188923000374. Full description at Econpapers || Download paper | |
2022 | Board attributes, hedging activities and exchange rate risk: Multi-country firm-level evidence. (2022). Sikarwar, Ekta. In: Economic Modelling. RePEc:eee:ecmode:v:110:y:2022:i:c:s0264999322000463. Full description at Econpapers || Download paper | |
2022 | Causal analysis of central bank holdings of corporate bonds under interference. (2022). Silvestrini, Andrea ; Mercatanti, Andrea ; Li, Fan ; Makinen, Taneli. In: Economic Modelling. RePEc:eee:ecmode:v:113:y:2022:i:c:s0264999322001195. Full description at Econpapers || Download paper | |
2022 | Macroeconomic effects and transmission channels of quantitative easing. (2022). Stefaski, Maciej. In: Economic Modelling. RePEc:eee:ecmode:v:114:y:2022:i:c:s0264999322001894. Full description at Econpapers || Download paper | |
2023 | The global component of headline and core inflation in emerging market economies and its ability to improve forecasting performance. (2023). Molina, Stefano G ; Orraca, Maria Jose ; Arango-Castillo, Lenin. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322003583. Full description at Econpapers || Download paper | |
2023 | Exchange rate spillover, carry trades, and the COVID-19 pandemic. (2023). Chen, Yu-Lun ; Yang, Jimmy J ; Mo, Wan-Shin. In: Economic Modelling. RePEc:eee:ecmode:v:121:y:2023:i:c:s0264999323000342. Full description at Econpapers || Download paper | |
2023 | To lend or not to lend? The ECB as the ‘intermediary of last resort’. (2023). Burietz, Aurore ; Picault, Matthieu. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000408. Full description at Econpapers || Download paper | |
2022 | Further evidence on financial information and economic activity forecasts in the United States. (2022). Li, Bin ; Shi, QI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000079. Full description at Econpapers || Download paper | |
2022 | Forecasting solar stock prices using tree-based machine learning classification: How important are silver prices?. (2022). Sadorsky, Perry. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000572. Full description at Econpapers || Download paper | |
2022 | News and intraday jumps: Evidence from regularization and class imbalance. (2022). Poli, Francesco ; Caporin, Massimiliano. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822000900. Full description at Econpapers || Download paper | |
2022 | Impact of network investor sentiment and news arrival on jumps. (2022). Xu, Lei ; Qiao, Gaoxiu ; Zhang, Chang ; Liu, Wenwen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822001218. Full description at Econpapers || Download paper | |
2022 | Sensitivity-based Conditional Value at Risk (SCVaR): An efficient measurement of credit exposure for options. (2022). Peng, Cheng ; Bao, Ying ; Zhao, Yanlong ; Shi, Ruoshi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s106294082200122x. Full description at Econpapers || Download paper | |
2023 | The RP-PCA factors and stock return predictability: An aligned approach. (2023). Shi, QI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001978. Full description at Econpapers || Download paper | |
2023 | Is a co-jump in prices a sparse jump?. (2023). Li, Handong ; Song, Shijia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000463. Full description at Econpapers || Download paper | |
2022 | Informal central bank communication: The role of investor memories. (2022). Ricci, Ornella ; Galloppo, Giuseppe ; Fiordelisi, Franco ; Caiazza, Stefano . In: Economics Letters. RePEc:eee:ecolet:v:217:y:2022:i:c:s0165176522002002. Full description at Econpapers || Download paper | |
2022 | Words speak as loudly as actions: Central bank communication and the response of equity prices to macroeconomic announcements. (2022). Vega, Clara ; Scotti, Chiara ; Gardner, Ben. In: Journal of Econometrics. RePEc:eee:econom:v:231:y:2022:i:2:p:387-409. Full description at Econpapers || Download paper | |
2023 | Optimal quantitative easing in a monetary union. (2023). Mavromatis, Kostas ; Maas, Renske ; Kabaca, Serdar ; Priftis, Romanos. In: European Economic Review. RePEc:eee:eecrev:v:152:y:2023:i:c:s0014292122002227. Full description at Econpapers || Download paper | |
2022 | Spillovers of U.S. monetary policy uncertainty on inflation targeting emerging economies. (2022). Serletis, Apostolos ; Azad, Nahiyan Faisal. In: Emerging Markets Review. RePEc:eee:ememar:v:51:y:2022:i:pa:s1566014121000832. Full description at Econpapers || Download paper | |
2022 | Monetary policy surprises and interest rates under Chinas evolving monetary policy framework. (2022). Ho, Chun-Yu ; Fu, Liang. In: Emerging Markets Review. RePEc:eee:ememar:v:52:y:2022:i:c:s1566014122000127. Full description at Econpapers || Download paper | |
2022 | Economic evaluation of asset pricing models under predictability. (2022). Hansen, Erwin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:68:y:2022:i:c:p:50-66. Full description at Econpapers || Download paper | |
2023 | Out-of-sample equity premium prediction: The role of option-implied constraints. (2023). Zhou, TI ; Wang, Yunqi. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:199-226. Full description at Econpapers || Download paper | |
2023 | Detecting jumps amidst prevalent zero returns: Evidence from the U.S. Treasury securities. (2023). Park, Jeayoung ; Huh, Sahn-Wook ; Han, Seung-Oh. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:276-307. Full description at Econpapers || Download paper | |
2023 | A global monetary policy factor in sovereign bond yields. (2023). Migiakis, Petros ; Malliaropulos, Dimitris. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:445-465. Full description at Econpapers || Download paper | |
2023 | Can we forecast better in periods of low uncertainty? The role of technical indicators. (2023). Stamatogiannis, Michalis P ; Pybis, Sam ; Henry, Olan ; Fernandez, Maria Ferrer. In: Journal of Empirical Finance. RePEc:eee:empfin:v:71:y:2023:i:c:p:1-12. Full description at Econpapers || Download paper | |
2023 | Stock return predictability and cyclical movements in valuation ratios. (2023). Chen, LI ; Huang, Difang ; Yu, Deshui. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:36-53. Full description at Econpapers || Download paper | |
2022 | Oil price volatility predictability: New evidence from a scaled PCA approach. (2022). Ma, Feng ; Liang, Chao ; He, Feng ; Guo, Yangli. In: Energy Economics. RePEc:eee:eneeco:v:105:y:2022:i:c:s0140988321005648. Full description at Econpapers || Download paper | |
2022 | Forecasting oil and gold volatilities with sentiment indicators under structural breaks. (2022). GUPTA, RANGAN ; Demirer, Riza ; Ji, Qiang ; Luo, Jiawen. In: Energy Economics. RePEc:eee:eneeco:v:105:y:2022:i:c:s014098832100596x. Full description at Econpapers || Download paper | |
2022 | Carbon prices forecasting in quantiles. (2022). Yan, Cheng ; Shi, Yukun ; Tao, Lizhu ; Duan, Kun ; Ren, Xiaohang. In: Energy Economics. RePEc:eee:eneeco:v:108:y:2022:i:c:s0140988322000457. Full description at Econpapers || Download paper | |
2022 | Volatility of clean energy and natural gas, uncertainty indices, and global economic conditions. (2022). Zhong, Juandan ; Bouri, Elie ; Ma, Feng ; Wang, Jiqian. In: Energy Economics. RePEc:eee:eneeco:v:108:y:2022:i:c:s0140988322000846. Full description at Econpapers || Download paper | |
2022 | Can the return connectedness indices from grey energy to natural gas help to forecast the natural gas returns?. (2022). Li, Xiafei ; Guo, Qiang ; Luo, Keyu. In: Energy Economics. RePEc:eee:eneeco:v:109:y:2022:i:c:s0140988322001244. Full description at Econpapers || Download paper | |
2022 | Forecasting crude oil prices with shrinkage methods: Can nonconvex penalty and Huber loss help?. (2022). Zhang, Yue-Jun ; Xing, Li-Min. In: Energy Economics. RePEc:eee:eneeco:v:110:y:2022:i:c:s0140988322001852. Full description at Econpapers || Download paper | |
2022 | Forecasting renewable energy stock volatility using short and long-term Markov switching GARCH-MIDAS models: Either, neither or both?. (2022). Wang, LU ; Wu, Jiangbin ; Cao, Yang ; Hong, Yanran. In: Energy Economics. RePEc:eee:eneeco:v:111:y:2022:i:c:s0140988322002237. Full description at Econpapers || Download paper | |
2022 | The role of uncertainty measures in volatility forecasting of the crude oil futures market before and during the COVID-19 pandemic. (2022). Zhang, Hongwei ; Ma, Feng ; Niu, Zibo. In: Energy Economics. RePEc:eee:eneeco:v:112:y:2022:i:c:s0140988322002791. Full description at Econpapers || Download paper | |
2022 | Oil implied volatility and expected stock returns along the worldwide supply chain. (2022). Wang, Yudong ; Wu, Chongfeng ; Li, Chenchen. In: Energy Economics. RePEc:eee:eneeco:v:114:y:2022:i:c:s0140988322004510. Full description at Econpapers || Download paper | |
2022 | Forecasting the real prices of crude oil: A robust weighted least squares approach. (2022). Hao, Xianfeng ; Wang, Yudong. In: Energy Economics. RePEc:eee:eneeco:v:116:y:2022:i:c:s0140988322005345. Full description at Econpapers || Download paper | |
2023 | Which exogenous driver is informative in forecasting European carbon volatility: Bond, commodity, stock or uncertainty?. (2023). Chevallier, Julien ; Ma, Feng ; Tan, Xueping ; Guo, Xiaozhu ; Wang, Jiqian. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005485. Full description at Econpapers || Download paper | |
2023 | An integrated model for crude oil forecasting: Causality assessment and technical efficiency. (2023). Wang, Xuelian ; Liao, Stephen Shaoyi ; Wu, Peng ; Cheng, Xian. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005965. Full description at Econpapers || Download paper | |
2023 | Predicting energy futures high-frequency volatility using technical indicators: The role of interaction. (2023). Zhang, Yue ; Ye, Xin ; Gong, Xue. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000312. Full description at Econpapers || Download paper | |
2022 | Risk spillovers and time-varying links between international oil and China’s commodity futures markets: Fresh evidence from the higher-order moments. (2022). Maghyereh, Aktham ; Zou, Huiwen ; Goh, Mark ; Cui, Jinxin. In: Energy. RePEc:eee:energy:v:238:y:2022:i:pb:s036054422101999x. Full description at Econpapers || Download paper | |
2022 | Geopolitical risk trends and crude oil price predictability. (2022). Wang, Yudong ; Zhang, Yaojie ; He, Mengxi. In: Energy. RePEc:eee:energy:v:258:y:2022:i:c:s0360544222017273. Full description at Econpapers || Download paper | |
2023 | Forecasting crude oil price returns: Can nonlinearity help?. (2023). Wang, Yudong ; Wen, Danyan ; He, Mengxi ; Zhang, Yaojie. In: Energy. RePEc:eee:energy:v:262:y:2023:i:pb:s0360544222024756. Full description at Econpapers || Download paper | |
2023 | Forecasting European Union allowances futures: The role of technical indicators. (2023). Tang, Pan ; Zhang, Ditian. In: Energy. RePEc:eee:energy:v:270:y:2023:i:c:s0360544223003109. Full description at Econpapers || Download paper | |
2022 | International spillover effects of unconventional monetary policies of major central banks. (2022). Okimoto, Tatsuyoshi ; Inoue, Tomoo. In: International Review of Financial Analysis. RePEc:eee:finana:v:79:y:2022:i:c:s1057521921002854. Full description at Econpapers || Download paper | |
2022 | Short-run disequilibrium adjustment and long-run equilibrium in the international stock markets: A network-based approach. (2022). Li, Youwei ; Stanley, Eugene H ; Pantelous, Athanasios A ; Chen, Yanhua. In: International Review of Financial Analysis. RePEc:eee:finana:v:79:y:2022:i:c:s1057521921003161. Full description at Econpapers || Download paper | |
2022 | Investor sentiment and stock volatility: New evidence. (2022). Wang, Chao ; Zhang, Wei Guo ; Gong, Xue. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521922000084. Full description at Econpapers || Download paper | |
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2014 | Comparing international bond yields In: Economic Synopses. [Full Text][Citation analysis] | article | 0 |
2015 | How Much Do Oil Prices Affect Inflation? In: Economic Synopses. [Full Text][Citation analysis] | article | 9 |
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2016 | Chinese Foreign Exchange Reserves and the U.S. Economy In: Economic Synopses. [Full Text][Citation analysis] | article | 0 |
2017 | The People’s Bank of China Boosts the Yuan In: Economic Synopses. [Full Text][Citation analysis] | article | 1 |
2018 | Why Are U.S. Bond Yields So High? In: Economic Synopses. [Full Text][Citation analysis] | article | 0 |
2019 | What to Expect from Quantitative Tightening In: Economic Synopses. [Full Text][Citation analysis] | article | 0 |
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2020 | Negative U.S. Interest Rates? In: Economic Synopses. [Full Text][Citation analysis] | article | 0 |
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2020 | Fed Intervention in the To-Be-Announced Market for Mortgage-Backed Securities In: Economic Synopses. [Full Text][Citation analysis] | article | 0 |
2020 | Supporting Small Borrowers: ABS Markets and the TALF In: Economic Synopses. [Full Text][Citation analysis] | article | 1 |
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2011 | Fiscal policy and expected inflation In: Economic Synopses. [Full Text][Citation analysis] | article | 1 |
2012 | The mysterious Greek yield curve In: Economic Synopses. [Full Text][Citation analysis] | article | 8 |
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1999 | How big is Japans debt? In: International Economic Trends. [Full Text][Citation analysis] | article | 0 |
1999 | An E.U. withholding tax? In: International Economic Trends. [Full Text][Citation analysis] | article | 0 |
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2002 | Options on economic data In: International Economic Trends. [Full Text][Citation analysis] | article | 0 |
2003 | Global factors in budget deficits In: International Economic Trends. [Full Text][Citation analysis] | article | 1 |
2005 | Unwinding the current account deficit In: International Economic Trends. [Full Text][Citation analysis] | article | 0 |
2007 | One dollar = one loonie In: International Economic Trends. [Full Text][Citation analysis] | article | 0 |
2008 | The sovereign wealth funds of nations In: International Economic Trends. [Full Text][Citation analysis] | article | 0 |
2009 | Markets worry more about sovereign debt In: International Economic Trends. [Full Text][Citation analysis] | article | 1 |
2000 | What is the slope of the yield curve telling us? In: Monetary Trends. [Full Text][Citation analysis] | article | 1 |
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2001 | September 11, 2001 In: Monetary Trends. [Full Text][Citation analysis] | article | 0 |
2002 | How expensive are stocks? In: Monetary Trends. [Full Text][Citation analysis] | article | 2 |
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2007 | Chinas strategic petroleum reserve: a drop in the bucket In: National Economic Trends. [Full Text][Citation analysis] | article | 0 |
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2023 | Systemic Financial Risks, Macroprudential Tools and Monetary Policy In: The Regional Economist. [Full Text][Citation analysis] | article | 0 |
2002 | The Fed responds to Sept. 11 attacks In: The Regional Economist. [Full Text][Citation analysis] | article | 0 |
2004 | Miscommunication shook up mortgage, bond markets In: The Regional Economist. [Full Text][Citation analysis] | article | 0 |
2007 | Asian nations driving world oil prices In: The Regional Economist. [Full Text][Citation analysis] | article | 0 |
2007 | Why do gasoline prices react to things that have not happened? In: The Regional Economist. [Full Text][Citation analysis] | article | 0 |
2014 | The evolution of Federal Reserve policy and the impact of monetary policy surprises on asset prices In: Review. [Full Text][Citation analysis] | article | 14 |
2015 | Common Fluctuations in OECD Budget Balances In: Review. [Full Text][Citation analysis] | article | 2 |
2009 | Common fluctuations in OECD budget balances.(2009) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2017 | Chinese Foreign Exchange Reserves, Policy Choices, and the U.S. Economy In: Review. [Full Text][Citation analysis] | article | 3 |
2017 | Chinese Foreign Exchange Reserves, Policy Choices and the U.S. Economy.(2017) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2020 | Responses of International Central Banks to the COVID-19 Crisis In: Review. [Full Text][Citation analysis] | article | 7 |
2021 | More Stories of Unconventional Monetary Policy In: Review. [Full Text][Citation analysis] | article | 2 |
2020 | More Stories of Unconventional Monetary Policy.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2022 | Financial Market Reactions to the Russian Invasion of Ukraine In: Review. [Full Text][Citation analysis] | article | 0 |
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1994 | Realignment of target zone exchange rate systems: what do we know? In: Review. [Full Text][Citation analysis] | article | 5 |
1995 | Deflation and real economic activity under the gold standard In: Review. [Full Text][Citation analysis] | article | 0 |
1996 | The giant sucking sound: did NAFTA devour the Mexican peso? In: Review. [Full Text][Citation analysis] | article | 5 |
1997 | Technical analysis in the foreign exchange market: a laymans guide In: Review. [Full Text][Citation analysis] | article | 52 |
1998 | Technical analysis and the profitability of U.S. foreign exchange intervention In: Review. [Full Text][Citation analysis] | article | 44 |
1999 | An introduction to capital controls In: Review. [Full Text][Citation analysis] | article | 65 |
2000 | Are changes in foreign exchange reserves well correlated with official intervention? In: Review. [Full Text][Citation analysis] | article | 38 |
2001 | The practice of central bank intervention: looking under the hood In: Review. [Full Text][Citation analysis] | article | 145 |
2000 | The practice of central bank intervention: looking under the hood.(2000) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 145 | paper | |
2002 | Predicting exchange rate volatility: genetic programming versus GARCH and RiskMetrics In: Review. [Full Text][Citation analysis] | article | 9 |
2002 | How well do monetary fundamentals forecast exchange rates? In: Review. [Full Text][Citation analysis] | article | 71 |
2002 | How well do monetary fundamentals forecast exchange rates?.(2002) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 71 | paper | |
2004 | The Federal Reserve responds to crises: September 11th was not the first In: Review. [Full Text][Citation analysis] | article | 15 |
2003 | The Federal Reserve responds to crises: September 11th was not the first.(2003) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 15 | paper | |
2005 | Using implied volatility to measure uncertainty about interest rates In: Review. [Full Text][Citation analysis] | article | 13 |
2005 | An analysis of recent studies of the effect of foreign exchange intervention In: Review. [Full Text][Citation analysis] | article | 175 |
2005 | An analysis of recent studies of the effect of foreign exchange intervention.(2005) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 175 | paper | |
2006 | The transition to electronic communications networks in the secondary treasury market In: Review. [Full Text][Citation analysis] | article | 31 |
2006 | What are the odds? option-based forecasts of FOMC target changes In: Review. [Full Text][Citation analysis] | article | 13 |
2008 | Real interest rate persistence: evidence and implications In: Review. [Full Text][Citation analysis] | article | 72 |
2008 | Real interest rate persistence: evidence and implications.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 72 | paper | |
2009 | Systemic risk and the financial crisis: a primer In: Review. [Full Text][Citation analysis] | article | 20 |
2010 | A survey of announcement effects on foreign exchange returns In: Review. [Full Text][Citation analysis] | article | 37 |
2011 | A foreign exchange intervention in an era of restraint In: Review. [Full Text][Citation analysis] | article | 31 |
2011 | A survey of announcement effects on foreign exchange volatility and jumps In: Review. [Full Text][Citation analysis] | article | 25 |
2013 | Four stories of quantitative easing In: Review. [Full Text][Citation analysis] | article | 158 |
1998 | Endogenous realignments and the sustainability of a target In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
1994 | A reconsideration of the properties of the generalized method moments in asset pricing models In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
1994 | Realignments of target zone exchange systems: what do we know? In: Working Papers. [Full Text][Citation analysis] | paper | 6 |
1999 | Risk aversion vs. intertemporal substitution: identification failure in the intertemporal consumption CAPM In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
1998 | Risk Aversion vs. Intertemporal Substitution: Identification Failure in the Intertemporal Consumption CAPM.(1998) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
1995 | Testing asset pricing models with Euler equations: its worse than you think In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2001 | Predicting exchange rate volatility: genetic programming vs. GARCH and RiskMetrics In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
2004 | Implied volatility from options on gold futures: do statistical forecasts add value or simply paint the lilly? In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
2005 | Year-end seasonality in one-month LIBOR derivatives In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2005 | The case for foreign exchange intervention: the government as an active reserve manager In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
2006 | Identifying the effects of U.S. intervention on the levels of exchange rates In: Working Papers. [Full Text][Citation analysis] | paper | 7 |
2007 | Central bank intervention and exchange rate volatility, its continuous and jump components In: Working Papers. [Full Text][Citation analysis] | paper | 58 |
2007 | Central bank intervention and exchange rate volatility, its continuous and jump components.(2007) In: International Journal of Finance & Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 58 | article | |
2007 | Central Bank intervention and exchange rate volatility: its continuous and jump components.(2007) In: ULB Institutional Repository. [Citation analysis] This paper has another version. Agregated cites: 58 | paper | |
2007 | Central bank intervention with limited arbitrage In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
2007 | Central bank intervention with limited arbitrage.(2007) In: International Journal of Finance & Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
2007 | The microstructure of the U.S. treasury market In: Working Papers. [Full Text][Citation analysis] | paper | 9 |
2008 | The dynamic interaction of order flows and the CAD/USD exchange rate In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
2008 | Is inflation an international phenomenon? In: Working Papers. [Full Text][Citation analysis] | paper | 12 |
2010 | Out-of-sample equity premium prediction: economic fundamentals vs. moving-average rules In: Working Papers. [Full Text][Citation analysis] | paper | 417 |
2014 | Forecasting the Equity Risk Premium: The Role of Technical Indicators.(2014) In: Management Science. [Full Text][Citation analysis] This paper has another version. Agregated cites: 417 | article | |
2011 | Technical analysis in the foreign exchange market In: Working Papers. [Full Text][Citation analysis] | paper | 32 |
2014 | The role of jumps in volatility spillovers in foreign exchange markets: meteor shower and heat waves revisited In: Working Papers. [Full Text][Citation analysis] | paper | 8 |
2020 | The Role of Jumps in Volatility Spillovers in Foreign Exchange Markets: Meteor Shower and Heat Waves Revisited.(2020) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | article | |
2020 | Unconventional monetary policy and the behavior of shorts In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2023 | Mind Your Language: Market Responses to Central Bank Speeches In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
2023 | Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2007 | Exchange rate intervention In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 21 |
2003 | Endogenous realignments in a target zone In: Oxford Economic Papers. [Citation analysis] | article | 0 |
2006 | The Transition to Electronic Trading in the Secondary Treasury Market In: Departmental Working Papers. [Citation analysis] | paper | 3 |
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2008 | Optimal discrete hedging in the Heston Stochastic Volatility Model In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
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