James M. Nason : Citation Profile

Are you James M. Nason?

Australian National University

19

H index

31

i10 index

3579

Citations

RESEARCH PRODUCTION:

30

Articles

66

Papers

1

Chapters

RESEARCH ACTIVITY:

   36 years (1988 - 2024). See details.
   Cites by year: 99
   Journals where James M. Nason has often published
   Relations with other researchers
   Recent citing documents: 333.    Total self citations: 36 (1 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pna12
   Updated: 2024-12-03    RAS profile: 2024-11-07    
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Relations with other researchers

Works with:

Smith, Gregor (4)

Authors registered in RePEc who have co-authored more than one work in the last five years with James M. Nason.

Is cited by:

Zhang, Yaojie (31)

Clements, Adam (31)

Degiannakis, Stavros (29)

Wen, Yi (28)

Roventini, Andrea (27)

Ravn, Morten (25)

GUPTA, RANGAN (24)

Kano, Takashi (24)

Fagiolo, Giorgio (23)

Bauwens, Luc (23)

Jalles, Joao (20)

Cites to:

Galí, Jordi (21)

Christiano, Lawrence (20)

Watson, Mark (20)

Nelson, Charles (20)

Eichenbaum, Martin (19)

Cogley, Timothy (18)

Wouters, Raf (18)

Smets, Frank (18)

Schorfheide, Frank (17)

Campbell, John (17)

West, Kenneth (17)

Main data

Where James M. Nason has published?

Journals with more than one article published# docs
Journal of Econometrics3
Journal of Applied Econometrics3
Economics Letters2
Journal of International Economics2
American Economic Review2

Working Papers Series with more than one paper published# docs
FRB Atlanta Working Paper / Federal Reserve Bank of Atlanta16
Working Paper / Economics Department, Queen's University5
Working Papers / Federal Reserve Bank of Philadelphia5
Working Papers / Duke University, Department of Economics3
International Finance Discussion Papers / Board of Governors of the Federal Reserve System (U.S.)3
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)2
Working Papers in Applied Economic Theory / Federal Reserve Bank of San Francisco2
Discussion Papers / Graduate School of Economics, Hitotsubashi University2

Recent works citing James M. Nason (2024 and 2023)

YearTitle of citing document
2023Entry Decision, the Option to Delay Entry, and Business Cycles. (2023). Vardishvili, ia. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2023-04.

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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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2023Business cycle and realized losses in the consumer credit industry. (2023). Vrins, Frederic ; Roccazzella, Francesco ; Distaso, Walter. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2023007.

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

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2023Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552.

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2023Sparse time-varying parameter VECMs with an application to modeling electricity prices. (2020). Pfarrhofer, Michael ; Hauzenberger, Niko ; Rossini, Luca. In: Papers. RePEc:arx:papers:2011.04577.

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2024A Multivariate Realized GARCH Model. (2020). Hansen, Peter Reinhard ; Archakov, Ilya ; Lunde, Asger. In: Papers. RePEc:arx:papers:2012.02708.

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2024Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2024A multivariate semi-parametric portfolio risk optimization and forecasting framework. (2022). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2207.04595.

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2024The boosted HP filter is more general than you might think. (2022). Shi, Zhentao ; PEter, ; Mei, Ziwei. In: Papers. RePEc:arx:papers:2209.09810.

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2023The Short-Term Predictability of Returns in Order Book Markets: a Deep Learning Perspective. (2022). Veraart, Almut ; Pakkanen, Mikko ; Lucchese, Lorenzo. In: Papers. RePEc:arx:papers:2211.13777.

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2024Bayesian Multivariate Quantile Regression with alternative Time-varying Volatility Specifications. (2022). Rossini, Luca ; Ravazzolo, Francesco ; Iacopini, Matteo. In: Papers. RePEc:arx:papers:2211.16121.

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2024Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions. (2023). Hecq, Alain ; Wilms, Ines ; Ternes, Marie. In: Papers. RePEc:arx:papers:2301.10592.

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2023Testing Quantile Forecast Optimality. (2023). Pohle, Marc-Oliver ; Gutknecht, Daniel ; Fosten, Jack. In: Papers. RePEc:arx:papers:2302.02747.

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2023Realized recurrent conditional heteroskedasticity model for volatility modelling. (2023). Kohn, Robert ; Tran, Minh-Ngoc ; Wang, Chao ; Liu, Chen. In: Papers. RePEc:arx:papers:2302.08002.

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2023Network log-ARCH models for forecasting stock market volatility. (2023). Otto, Philipp ; Mattera, Raffaele. In: Papers. RePEc:arx:papers:2303.11064.

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2024Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2023). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488.

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2023Precision versus Shrinkage: A Comparative Analysis of Covariance Estimation Methods for Portfolio Allocation. (2023). Jain, Shashi ; Dutta, Sumanjay. In: Papers. RePEc:arx:papers:2305.11298.

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2023Sparsified Simultaneous Confidence Intervals for High-Dimensional Linear Models. (2023). Wang, Peng ; Qin, Yichen ; Zhu, Xiaorui. In: Papers. RePEc:arx:papers:2307.07574.

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2023Graph Neural Networks for Forecasting Multivariate Realized Volatility with Spillover Effects. (2023). Dong, Xiaowen ; Cucuringu, Mihai ; Pu, Xingyue ; Zhang, Chao. In: Papers. RePEc:arx:papers:2308.01419.

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2023Characterizing Correlation Matrices that Admit a Clustered Factor Representation. (2023). Hansen, Peter Reinhard ; Tong, Chen. In: Papers. RePEc:arx:papers:2308.05895.

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2024Nowcasting Italian GDP growth: a Factor MIDAS approach. (2024). Silvestrini, Andrea ; Prifti, Orest ; Ceci, Donato. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1446_24.

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2023Inflation Expectations Measurement and its Effect on Inflation Dynamics in Colombia. (2023). Sanchez-Jabba, Andres ; Romero-Torres, Bernardo ; Villabon-Hinestroz, Erick. In: Borradores de Economia. RePEc:bdr:borrec:1257.

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2023Long-term debt propagation and real reversals. (2023). Korinek, Anton ; Juselius, Mikael ; Drehmann, Mathias. In: BIS Working Papers. RePEc:bis:biswps:1098.

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2023Tail risk of coal futures in Chinas market. (2023). Wan, Qing ; Wang, Minglu ; Shen, ZE. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:s2:p:2827-2845.

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2023Extracting business cycles with three filters: A comparative study and application in the case of China. (2023). Li, Naiqian ; Sun, Chentong. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:2:p:254-269.

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2023Predicting stock realized variance based on an asymmetric robust regression approach. (2023). He, Mengxi ; Zhang, Yaojie ; Hao, Xianfeng ; Zhao, Yuqi. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:4:p:1022-1047.

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2024Predictive model averaging with parameter instability and heteroskedasticity. (2024). Yin, Anwen. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:76:y:2024:i:2:p:418-442.

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2024Exploring the impact of oil security attention on oil volatility: A new perspective. (2024). Liang, Chao ; Wang, LU. In: International Finance. RePEc:bla:intfin:v:27:y:2024:i:1:p:61-80.

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2023Machine learning advances for time series forecasting. (2023). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:1:p:76-111.

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2023The contribution of realized covariance models to the economic value of volatility timing. (2023). Bauwens, Luc ; Xu, Yongdeng. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2023018.

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2023Realized Covariance Models with Time-varying Parameters and Spillover Effects. (2023). Bauwens, Luc ; Otranto, Edoardo. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2023019.

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2023A comparison of high-frequency realized variance measures: Does anything beat ACD(1,1)?. (2023). Wiedemann, Timo ; Segnon, Mawuli ; Schulte-Tillmann, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:10523.

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2023Multi-horizon uniform superior predictive ability revisited: A size-exploiting and consistent test. (2023). Wilfling, Bernd ; Monschang, Verena ; Trede, Mark. In: CQE Working Papers. RePEc:cqe:wpaper:10623.

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2023Data cloning for a threshold asymmetric stochastic volatility model. (2023). Lopes, Maria Helena ; Marin, Juan Miguel. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:36569.

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2024A stochastic volatility model for volatility asymmetry and propagation. (2024). Lopes, Maria Helena ; Romero, Eva ; Marin, Juan Miguel. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:43887.

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2023The Long-Run Phillips Curve is ... a Curve. (2023). Bonomolo, Paolo ; Haque, Qazi ; Ascari, Guido. In: Working Papers. RePEc:dnb:dnbwpp:789.

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2023Rational inattention and the business cycle effects of productivity and news shocks. (2023). Maćkowiak, Bartosz ; Wiederholt, Mirko ; Makowiak, Bartosz. In: Working Paper Series. RePEc:ecb:ecbwps:20232827.

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2024Price forecasting in the Ontario electricity market via TriConvGRU hybrid model: Univariate vs. multivariate frameworks. (2024). Charlin, Laurent ; Pineau, Pierre-Olivier ; Ehsani, Behdad. In: Applied Energy. RePEc:eee:appene:v:359:y:2024:i:c:s0306261924000321.

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2023The relative importance of overnight sentiment versus trading-hour sentiment in volatility forecasting. (2023). Qiu, Jianying ; Wan, Xinmin ; Chu, Xiaojun. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:39:y:2023:i:c:s2214635023000400.

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2023Visualization and assessment of model selection uncertainty. (2023). Li, Rong ; Wang, Linna ; Qin, Yichen. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:178:y:2023:i:c:s0167947322001785.

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2023Estimation of heuristic switching in behavioral macroeconomic models. (2023). Sacht, Stephen ; Kukacka, Jiri. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002883.

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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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2023Nonparametric tests for market timing ability using daily mutual fund returns. (2023). Peng, Liang ; Liu, Xiaohui ; Jiang, Lei ; Ding, Jing. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:150:y:2023:i:c:s0165188923000416.

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2023Risk transmission of El Niño-induced climate change to regional Green Economy Index. (2023). Wang, LU ; Yu, Sixin ; Li, Yan ; Zhang, LI. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:79:y:2023:i:c:p:860-872.

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2023Are low frequency macroeconomic variables important for high frequency electricity prices?. (2023). Rossini, Luca ; Ravazzolo, Francesco ; Foroni, Claudia. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322003972.

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2023Nowcasting Chinese GDP in a data-rich environment: Lessons from machine learning algorithms. (2023). Xu, Hao ; Ni, HE ; Zhang, Qin. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000160.

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2023Price-setting heterogeneity and robust monetary policy in a two-sector DSGE model of a small open economy. (2023). Leszczyska-Paczesna, Agnieszka ; Kuchta, Zbigniew ; Gorajski, Mariusz. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000391.

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2023The role of uncertainty in forecasting volatility comovements across stock markets. (2023). Palomba, Giulio ; Rossi, Eduardo ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001219.

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2023Price Risk Analysis using GARCH Family Models: Evidence from Shanghai Crude Oil Futures Market. (2023). Si, Xiaoli ; Pei, Haotian ; Yang, Aijun ; Bei, Shuhua. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001797.

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

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2023Regime-dependent effects of macroeconomic uncertainty on realized volatility in the U.S. stock market. (2023). Garrett, Ian ; Liu, Wei. In: Economic Modelling. RePEc:eee:ecmode:v:128:y:2023:i:c:s026499932300295x.

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2023Coordination and non-coordination risks of monetary and macroprudential authorities: A robust welfare analysis. (2023). Górajski, Mariusz ; Kuchta, Zbigniew ; Gorajski, Mariusz. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000451.

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2023Forecasting VIX using two-component realized EGARCH model. (2023). Liu, LI ; Zhao, AN ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000578.

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2023Volatility forecasting in the Bitcoin market: A new proposed measure based on the VS-ACARR approach. (2023). Iqbal, Najaf ; Umar, Zaghum ; Yin, Xuebao ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000712.

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2024Improving volatility forecasts: Evidence from range-based models. (2024). Fiszeder, Piotr ; Fadziski, Marcin ; Molnar, Peter. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pb:s1062940823001420.

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2024Forecasting volatility of stock indices: Improved GARCH-type models through combined weighted volatility measure and weighted volatility indicators. (2024). Ng, Kooi Huat ; Koh, You Beng ; de Khoo, Zhi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000378.

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2024The effect of output and the real exchange rate on equity price dynamics. (2024). Malikane, Christopher ; Alovokpinhou, Sedjro Aaron. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000718.

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2024Forecasting conditional volatility based on hybrid GARCH-type models with long memory, regime switching, leverage effect and heavy-tail: Further evidence from equity market. (2024). Luo, YI ; Huang, Yirong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000731.

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2023Characterizing correlation matrices that admit a clustered factor representation. (2023). Hansen, Peter ; Tong, Chen. In: Economics Letters. RePEc:eee:ecolet:v:233:y:2023:i:c:s0165176523004597.

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2023Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process. (2023). Yu, Jun ; Xiao, Weilin ; Wang, Xiaohu. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:389-415.

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2023A simple joint model for returns, volatility and volatility of volatility. (2023). Ding, Yashuang. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:521-543.

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2023Bootstrap analysis of mutual fund performance. (2023). Peng, Liang ; Leng, Xuan ; Jiang, Lei ; Huang, Haitao. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:239-255.

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2023Modeling realized covariance measures with heterogeneous liquidity: A generalized matrix-variate Wishart state-space model. (2023). Hartkopf, Jan Patrick ; Gribisch, Bastian. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:43-64.

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2023Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models. (2023). Shin, Minchul ; Rubio-Ramirez, Juan F ; Arias, Jonas E. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1054-1086.

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2023Parametric estimation of long memory in factor models. (2023). Ergemen, Yunus Emre. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1483-1499.

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2023Structural VAR models in the Frequency Domain. (2023). Pelgrin, Florian ; Guay, Alain. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001604.

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2023We modeled long memory with just one lag!. (2023). Chevillon, Guillaume ; Bauwens, Luc ; Laurent, Sebastien. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001616.

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2023Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models. (2023). Francq, Christian ; Aknouche, Abdelhakim. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s030440762100213x.

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2023Semiparametric modeling of multiple quantiles. (2023). Luati, Alessandra ; Catania, Leopoldo. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622002044.

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2024Autoregressive conditional betas. (2024). Laurent, Sébastien ; Francq, Christian ; Blasques, F. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003469.

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2024Sparse generalized Yule–Walker estimation for large spatio-temporal autoregressions with an application to NO2 satellite data. (2024). Wijler, Etienne ; Reuvers, Hanno. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:1:s0304407623002361.

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2023Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach. (2023). Trucíos, Carlos ; Hallin, Marc ; Trucios, Carlos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:27:y:2023:i:c:p:1-15.

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

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2024Integrated nested Laplace approximations for threshold stochastic volatility models. (2024). Rue, Hvard ; Marin, Miguel J ; de Zea, P ; Veiga, Helena. In: Econometrics and Statistics. RePEc:eee:ecosta:v:30:y:2024:i:c:p:15-35.

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2023Assignats or death: The politics and dynamics of hyperinflation in revolutionary France. (2023). Ingber, Joshua S ; Rouanet, Louis ; Cutsinger, Bryan P. In: European Economic Review. RePEc:eee:eecrev:v:157:y:2023:i:c:s0014292123001393.

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2024A data-driven approach for optimal operational and financial commodity hedging. (2024). Minner, Stefan ; Mandl, Christian ; Rettinger, Moritz. In: European Journal of Operational Research. RePEc:eee:ejores:v:316:y:2024:i:1:p:341-360.

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2023The contribution of jump signs and activity to forecasting stock price volatility. (2023). Murphy, Anthony ; Izzeldin, Marwan ; Hizmeri, Rodrigo ; Bu, Ruijun ; Tsionas, Mike. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:144-164.

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2023Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices. (2023). Fiszeder, Piotr ; Molnar, Peter ; Fadziski, Marcin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:308-321.

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2023Forecasting realized volatility with machine learning: Panel data perspective. (2023). Liu, Zhi ; He, Lidan ; Bai, LU ; Zhu, Haibin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:251-271.

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2024An adaptive long memory conditional correlation model. (2024). Dark, Jonathan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001305.

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2023Foreseeing the worst: Forecasting electricity DART spikes. (2023). Godin, Frederic ; Gauthier, Genevieve ; Galarneau-Vincent, Remi. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000191.

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

Works by James M. Nason:

YearTitleTypeCited
2010The Model Confidence Set In: CREATES Research Papers.
[Full Text][Citation analysis]		paper1048
2011The Model Confidence Set.(2011) In: Econometrica.
[Citation analysis]
This paper has nother version. Agregated cites: 1048		article
1995Output Dynamics in Real-Business-Cycle Models. In: American Economic Review.
[Full Text][Citation analysis]		article526
1993Output dynamics in real business cycle models.(1993) In: Working Papers in Applied Economic Theory.
[Citation analysis]
This paper has nother version. Agregated cites: 526		paper
2007The McKenna Rule and UK World War I Finance In: American Economic Review.
[Full Text][Citation analysis]		article1
2007The McKenna rule and U.K. World War I finance.(2007) In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2007The McKenna Rule and UK World War I Finance.(2007) In: Reserve Bank of New Zealand Discussion Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2012UK World War I and interwar data for business cycle and growth analysis In: Cliometrica, Journal of Historical Economics and Econometric History.
[Full Text][Citation analysis]		article2
2011UK World War I and Interwar Data for Business Cycle and Growth Analysis.(2011) In: CAMA Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2009U.K. World War I and interwar data for business cycle and growth analysis.(2009) In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2011UK World War I and interwar data for business cycle and growth analysis.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2018Inflation and professional forecast dynamics: an evaluation of stickiness, persistence, and volatility In: BIS Working Papers.
[Full Text][Citation analysis]		paper33
2015Inflation and Professional Forecast Dynamics: An Evaluation of Stickiness, Persistence, and Volatility.(2015) In: CAMA Working Papers.
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2017Inflation and professional forecast dynamics: An evaluation of stickiness, persistence, and volatility.(2017) In: CAMA Working Papers.
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2020Inflation and professional forecast dynamics: An evaluation of stickiness, persistence, and volatility.(2020) In: Quantitative Economics.
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2003Choosing the Best Volatility Models: The Model Confidence Set Approach* In: Oxford Bulletin of Economics and Statistics.
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2003Choosing the Best Volatility Models:The Model Confidence Set Approach.(2003) In: Working Papers.
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2003Choosing the best volatility models: the model confidence set approach.(2003) In: FRB Atlanta Working Paper.
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2008Great Moderation(s) and US Interest Rates: Unconditional Evidence In: The B.E. Journal of Macroeconomics.
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2008Great moderations and U.S. interest rates: unconditional evidence.(2008) In: FRB Atlanta Working Paper.
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2007Great Moderation(s) And U.s. Interest Rates: Unconditional Evidence.(2007) In: Working Paper.
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2009Business Cycle Implications of Internal Consumption Habit for New Keynesian Model In: CARF F-Series.
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2010Business Cycle Implications of Internal Consumption Habit for New Keynesian Models.(2010) In: CAMA Working Papers.
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2009Business cycle implications of internal consumption habit for New Keynesian models.(2009) In: FRB Atlanta Working Paper.
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2012Business cycle implications of internal consumption habit for new Keynesian models.(2012) In: Working Papers.
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2012Business Cycle Implications of Internal Consumption Habit for New Keynesian Models.(2012) In: Discussion Papers.
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2009Business Cycle Implications of Internal Consumption Habit for New Keynesian Models.(2009) In: CIRJE F-Series.
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2014Business Cycle Implications of Internal Consumption Habit for New Keynesian Models.(2014) In: Journal of Money, Credit and Banking.
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2006Common trends and common cycles in Canada: who knew so much has been going on? In: Canadian Journal of Economics.
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2004Common trends and common cycles in Canada: who knew so much has been going on?.(2004) In: FRB Atlanta Working Paper.
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2006Common trends and common cycles in Canada: who knew so much has been going on?.(2006) In: Canadian Journal of Economics/Revue canadienne d'économique.
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1999Long Run Monetary Neutrality in Three Samples: The United Kingdom, the United States, and the Small In: Working Papers.
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2015BUSINESS CYCLES AND FINANCIAL CRISES: THE ROLES OF CREDIT SUPPLY AND DEMAND SHOCKS In: Macroeconomic Dynamics.
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2012Business Cycles and Financial Crises: The Roles of Credit Supply and Demand Shocks.(2012) In: CAMA Working Papers.
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2012Business cycles and financial crises: the roles of credit supply and demand shocks.(2012) In: Working Papers (Old Series).
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2012Business cycles and financial crises: the roles of credit supply and demand shocks.(2012) In: Working Papers.
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2007Information Criteria for Impulse Response Function Matching Estimation of DSGE Models In: Working Papers.
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2009INFORMATION CRITERIA FOR IMPULSE RESPONSE FUNCTION MATCHING ESTIMATION OF DSGE MODELS.(2009) In: Working Papers.
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2010Information Criteria for Impulse Response Function Matching Estimation of DSGE Models.(2010) In: Working Papers.
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2012Information criteria for impulse response function matching estimation of DSGE models.(2012) In: Journal of Econometrics.
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2007Information criteria for impulse response function matching estimation of DSGE models.(2007) In: FRB Atlanta Working Paper.
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2009Information Criteria for Impulse Response Function Matching Estimation of DSGE Models.(2009) In: Centre for Growth and Business Cycle Research Discussion Paper Series.
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2004Business Cycle Implications of Habit Formation In: Econometric Society 2004 Far Eastern Meetings.
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2004Business Cycle Implications of Habit Formation.(2004) In: Computing in Economics and Finance 2004.
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1995Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research In: Journal of Economic Dynamics and Control.
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1993Effects of the Hodrick-Prescott filter on trend and difference stationary time series: implications for business cycle research.(1993) In: Working Papers in Applied Economic Theory.
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1993Impulse dynamics and propagation mechanisms in a real business cycle model In: Economics Letters.
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2003The long-horizon regression approach to monetary neutrality: how should the evidence be interpreted? In: Economics Letters.
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2008Introduction: Journal of Econometrics special issue honoring the research contributions of Charles R. Nelson In: Journal of Econometrics.
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1989Nonparametric exchange rate prediction?.(1989) In: Finance and Economics Discussion Series.
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2006The present-value model of the current account has been rejected: Round up the usual suspects In: Journal of International Economics.
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2003The present-value model of the current account has been rejected: Round up the usual suspects.(2003) In: FRB Atlanta Working Paper.
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2003The present-value model of the current account has been rejected: round up the usual suspects.(2003) In: International Finance Discussion Papers.
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2001The Present Value Model of the Current Account Has Been Rejected: Round Up the Usual Subjects.(2001) In: Computing in Economics and Finance 2001.
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2007Simple versus optimal rules as guides to policy In: Journal of Monetary Economics.
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2007Simple versus optimal rules as guides to policy.(2007) In: FRB Atlanta Working Paper.
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2012Bayesian Estimation of DSGE Models In: CAMA Working Papers.
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2013Bayesian estimation of DSGE models.(2013) In: Chapters.
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2012Bayesian estimation of DSGE models.(2012) In: Working Papers.
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2014Measuring the Slowly Evolving Trend in US Inflation with Professional Forecasts In: CAMA Working Papers.
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2013Measuring The Slowly Evolving Trend In Us Inflation With Professional Forecasts.(2013) In: Working Paper.
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2021Measuring the slowly evolving trend in US inflation with professional forecasts.(2021) In: Journal of Applied Econometrics.
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2014Bringing Financial Stability into Monetary Policy In: CAMA Working Papers.
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2015Bringing Financial Stability into Monetary Policy*.(2015) In: Working Paper Series.
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2014Bringing Financial Stability into Monetary Policy.(2014) In: CAEPR Working Papers.
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2021UK inflation forecasts since the thirteenth century In: CAMA Working Papers.
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2021UK Inflation Forecasts since the Thirteenth Century.(2021) In: Working Paper.
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2024The Chinese Silver Standard: Parity, Predictability, and (In)Stability, 1912€“1934 In: CAMA Working Papers.
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2006Instability in U.S. inflation: 1967-2005 In: Economic Review.
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2003Bulk commodities and the Liverpool and London markets of the mid-19th century In: FRB Atlanta Working Paper.
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2004Along the New Keynesian Phillips curve with nominal and real rigidities In: FRB Atlanta Working Paper.
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2003Along the New Keynesian Phillips Curve with Nominal and Real Rigidities.(2003) In: Computing in Economics and Finance 2003.
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2005Identifying the New Keynesian Phillips curve In: FRB Atlanta Working Paper.
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2008Identifying the new Keynesian Phillips curve.(2008) In: Journal of Applied Econometrics.
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2005Identifying The New Keynesian Phillips Curve.(2005) In: Working Paper.
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2005Testing the significance of calendar effects In: FRB Atlanta Working Paper.
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2005Model confidence sets for forecasting models In: FRB Atlanta Working Paper.
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2006Interwar U.K. unemployment: the Benjamin and Kochin hypothesis or the legacy of “just” taxes? In: FRB Atlanta Working Paper.
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2008Exchange rates and fundamentals: a generalization In: FRB Atlanta Working Paper.
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2008Exchange rates and fundamentals: a generalization.(2008) In: International Finance Discussion Papers.
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1991Effects of the Hodrick-Prescott filter on integrated time series In: Proceedings.
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1999Investment and the current account in the short run and the long run In: International Finance Discussion Papers.
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2002Investment and the Current Account in the Short Run and the Long Run..(2002) In: Journal of Money, Credit and Banking.
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1991The permanent income hypothesis when the bliss point is stochastic In: Discussion Paper / Institute for Empirical Macroeconomics.
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2012Time-consistency and credible monetary policy after the crisis In: Business Review.
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2013Reverse Kalman filtering U.S. inflation with sticky professional forecasts In: Working Papers.
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2008The New Keynesian Phillips curve : lessons from single-equation econometric estimation In: Economic Quarterly.
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2012Appendix: Business Cycle Implications of Internal Consumption Habit for New Keynesian Models In: Discussion Papers.
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2004Long-run monetary neutrality and long-horizon regressions In: Journal of Applied Econometrics.
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1994Testing the Implications of Long-Run Neutrality for Monetary Business Cycle Models. In: Journal of Applied Econometrics.
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1991Testing For Structural Breaks In: Working Paper.
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2007Information Criteria for Impulse Response Function Matching Estimation In: 2007 Meeting Papers.
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2005Over the Top: U.K. World War I Finance and Its Aftermath In: Computing in Economics and Finance 2005.
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2023UK INFLATION DYNAMICS SINCE THE THIRTEENTH CENTURY In: International Economic Review.
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