James M. Nason : Citation Profile

Australian National University

20

H index

31

i10 index

3804

Citations

RESEARCH PRODUCTION:

30

Articles

68

Papers

1

Chapters

RESEARCH ACTIVITY:

   37 years (1988 - 2025). See details.
   Cites by year: 102
   Journals where James M. Nason has often published
   Relations with other researchers
   Recent citing documents: 315.    Total self citations: 37 (0.96 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pna12
   Updated: 2025-12-20    RAS profile: 2025-12-09    
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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 (33)

Clements, Adam (32)

Degiannakis, Stavros (30)

Wen, Yi (28)

GUPTA, RANGAN (28)

Roventini, Andrea (27)

Ravn, Morten (25)

Bauwens, Luc (25)

Kano, Takashi (24)

Fagiolo, Giorgio (23)

Jalles, Joao (20)

Cites to:

Galí, Jordi (21)

Watson, Mark (21)

Nelson, Charles (20)

Christiano, Lawrence (20)

Eichenbaum, Martin (19)

Smets, Frank (19)

Wouters, Raf (19)

Cogley, Timothy (18)

Schorfheide, Frank (18)

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
American Economic Review2
Economics Letters2
Journal of International Economics2

Working Papers Series with more than one paper published# docs
FRB Atlanta Working Paper / Federal Reserve Bank of Atlanta16
Working Papers / Federal Reserve Bank of Philadelphia5
Working Paper / Economics Department, Queen's University5
International Finance Discussion Papers / Board of Governors of the Federal Reserve System (U.S.)3
Working Papers / Duke University, Department of Economics3
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 (2025 and 2024)

YearTitle of citing document
2024Asymmetric Models for Realized Covariances. (2024). Bauwens, Luc ; Hafner, Christian ; Dzuverovic, Emilija. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024022.

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2025A Multivariate Realized GARCH Model. (2025). Hansen, Peter ; Archakov, Ilya ; Lunde, Asger. In: Papers. RePEc:arx:papers:2012.02708.

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2025Dynamic CoVaR Modeling and Estimation. (2025). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2024A semi-parametric dynamic conditional correlation framework for risk forecasting. (2024). Storti, Giuseppe ; Wang, Chao. In: Papers. RePEc:arx:papers:2207.04595.

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

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

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

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

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2025Sparsified Simultaneous Confidence Intervals for High-Dimensional Linear Models. (2025). Qin, Yichen ; Zhu, Xiaorui ; Wang, Peng. In: Papers. RePEc:arx:papers:2307.07574.

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2024Semi-parametric financial risk forecasting incorporating multiple realized measures. (2024). Gerlach, Richard ; Iroshani, Rangika H ; Tran, Minh-Ngoc ; Wang, Chao. In: Papers. RePEc:arx:papers:2402.09985.

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2024Adaptive combinations of tail-risk forecasts. (2024). Amendola, Alessandra ; Candila, Vincenzo ; Storti, Giuseppe ; Naimoli, Antonio. In: Papers. RePEc:arx:papers:2406.06235.

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2024HARd to Beat: The Overlooked Impact of Rolling Windows in the Era of Machine Learning. (2024). Chassot, Jonathan ; Audrino, Francesco. In: Papers. RePEc:arx:papers:2406.08041.

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2024Efficient two-sample instrumental variable estimators with change points and near-weak identification. (2024). Boldea, Otilia ; Antoine, Bertille ; Zaccaria, Niccolo. In: Papers. RePEc:arx:papers:2406.17056.

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2025Global Stock Market Volatility Forecasting Incorporating Dynamic Graphs and All Trading Days. (2024). Wang, Chao ; Gao, Junbin ; Chi, Zhengyang. In: Papers. RePEc:arx:papers:2409.15320.

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2024A GARCH model with two volatility components and two driving factors. (2024). Ballestra, Luca Vincenzo ; Tezza, Christian ; D'Innocenzo, Enzo. In: Papers. RePEc:arx:papers:2410.14585.

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2025Graph Signal Processing for Global Stock Market Realized Volatility Forecasting. (2025). Wang, Chao ; Gao, Junbin ; Chi, Zhengyang. In: Papers. RePEc:arx:papers:2410.22706.

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2024Underlying Core Inflation with Multiple Regimes. (2024). Rodriguez-Rondon, Gabriel. In: Papers. RePEc:arx:papers:2411.12845.

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2024Geometric Deep Learning for Realized Covariance Matrix Forecasting. (2024). Zhang, Chao ; Palma, Michele ; Bucci, Andrea. In: Papers. RePEc:arx:papers:2412.09517.

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2025Forecasting realized volatility in the stock market: a path-dependent perspective. (2025). Liu, Xiangdong ; Hong, Shaopeng ; Fu, Sicheng. In: Papers. RePEc:arx:papers:2503.00851.

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2025Forecasting U.S. equity market volatility with attention and sentiment to the economy. (2025). Ly, Vstefan ; Halouskov, Martina. In: Papers. RePEc:arx:papers:2503.19767.

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2025Multi-Horizon Echo State Network Prediction of Intraday Stock Returns. (2025). Dellaportas, Petros ; Capra, Jacopo ; Ballarin, Giovanni. In: Papers. RePEc:arx:papers:2504.19623.

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2025Sequential Scoring Rule Evaluation for Forecast Method Selection. (2025). Poskitt, Donald ; Frazier, David T. In: Papers. RePEc:arx:papers:2505.09090.

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2025Conditional Method Confidence Set. (2025). Bauer, Lukas ; Kazak, Ekaterina. In: Papers. RePEc:arx:papers:2505.21278.

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2025Evaluating financial tail risk forecasts: Testing Equal Predictive Ability. (2025). Bauer, Lukas. In: Papers. RePEc:arx:papers:2505.23333.

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2025Deep Learning Enhanced Multivariate GARCH. (2025). Liu, Chen ; Wang, Haoyuan ; Tran, Minh-Ngoc. In: Papers. RePEc:arx:papers:2506.02796.

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2025Electricity Market Predictability: Virtues of Machine Learning and Links to the Macroeconomy. (2025). Cai, Jinbo ; Wang, Wenjie ; Li, Wenze. In: Papers. RePEc:arx:papers:2507.07477.

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2025A New Perspective of the Meese-Rogoff Puzzle: Application of Sparse Dynamic Shrinkage. (2025). Song, Yong ; Maneesoonthorn, Worapree ; Fan, Zheng. In: Papers. RePEc:arx:papers:2507.14408.

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2025Volatility Spillovers and Interconnectedness in OPEC Oil Markets: A Network-Based log-ARCH Approach. (2025). Djebari, Fayçal ; Otto, Philipp ; Mazouz, Khelifa ; Mehidi, Kahina. In: Papers. RePEc:arx:papers:2507.15046.

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2025A Predictive Framework Integrating Multi-Scale Volatility Components and Time-Varying Quantile Spillovers: Evidence from the Cryptocurrency Market. (2025). Fu, Sicheng ; Zhu, Fangfang ; Liu, Xiangdong. In: Papers. RePEc:arx:papers:2507.22409.

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2025Combining a Large Pool of Forecasts of Value-at-Risk and Expected Shortfall. (2025). Taylor, James W ; Wang, Chao. In: Papers. RePEc:arx:papers:2508.16919.

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2025Neural L\evy SDE for State--Dependent Risk and Density Forecasting. (2025). Wang, Ziyao ; Rachev, Svetlozar T. In: Papers. RePEc:arx:papers:2509.01041.

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2025Macroeconomic Forecasting and Machine Learning. (2025). Giannone, Domenico ; Ghigliazza, Raffaele M ; Fan, Ting-Han ; Chi, Ta-Chung. In: Papers. RePEc:arx:papers:2510.11008.

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2025(Non-Parametric) Bootstrap Robust Optimization for Portfolios and Trading Strategies. (2025). Firoozye, Nick ; Guzman, Grover ; Oliveira, Daniel Cunha. In: Papers. RePEc:arx:papers:2510.12725.

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2025Selection Confidence Sets for Equally Weighted Portfolios. (2025). Ferrari, Davide ; Fulci, Alessandro ; Paterlini, Sandra. In: Papers. RePEc:arx:papers:2510.14988.

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2025Macroeconomic Forecasting for the G7 countries under Uncertainty Shocks. (2025). Sengupta, Shovon ; Singh, Sunny Kumar ; Chakraborty, Tanujit. In: Papers. RePEc:arx:papers:2510.23347.

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2025Standard and comparative e-backtests for general risk measures. (2025). Wang, Qiuqi ; Jiao, Zhanyi ; Zhao, Yimiao. In: Papers. RePEc:arx:papers:2511.05840.

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2025FCOC: A Fractal-Chaotic Co-driven Framework for Financial Volatility Forecasting. (2025). Zeng, Yilong ; Tang, Boyan ; Lee, Raymond ; Wu, Jianghua ; Zhou, Sherry Zhefang ; Ren, Xuanhao. In: Papers. RePEc:arx:papers:2511.10365.

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2025Noise-proofing Universal Portfolio Shrinkage. (2025). Bongiorno, Christian ; Challet, Damien ; Ruelloux, Paul. In: Papers. RePEc:arx:papers:2511.10478.

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2025Measuring business cycles using VARs. (2025). Moura, Alban ; Fve, Patrick. In: BCL working papers. RePEc:bcl:bclwop:bclwp201.

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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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2025Inflation cycles: evidence from international data. (2025). Schmieder, Christian ; Rees, Daniel ; Americo, Alberto ; Godoy, Douglas Kiarelly ; Nilsen, Sjur ; Damp, Johannes ; Schmidt, Rafael. In: BIS Working Papers. RePEc:bis:biswps:1264.

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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). Li, Shan ; Wang, LU ; Liang, Chao. In: International Finance. RePEc:bla:intfin:v:27:y:2024:i:1:p:61-80.

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2024Statistical inference for GQARCH‐Itô‐jumps model based on the realized range volatility. (2024). Yu, Jin ; Liu, Guangying ; Hao, Hongxia ; Lin, Jin Guan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:4:p:613-638.

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2024Current account dynamics: A SVAR analysis when the country‐specific shocks are correlated at leads. (2024). Heath, Ellis ; Sobrino, Csar R. In: Manchester School. RePEc:bla:manchs:v:92:y:2024:i:2:p:171-190.

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2024Revisiting the Phillips Curve: The Empirical Relationship Yet to be Validated. (2024). Spanos, Aris ; Do, Hoangphuong. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:86:y:2024:i:4:p:761-793.

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2024A Factor‐Augmented New Keynesian Phillips Curve for the European Union Countries. (2024). Westerlund, Joakim ; Norkute, Milda. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:86:y:2024:i:4:p:794-810.

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2025Maximum Likelihood Estimation of Fractional Ornstein-Uhlenbeck Process with Discretely Sampled Data. (2025). Yu, Jun ; Xiao, Weilin ; Zhang, Chen ; Wang, Xiaohu. In: Working Papers. RePEc:boa:wpaper:202527.

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2024Has the Phillips curve flattened?. (2024). Rossi, Barbara ; Inoue, Atsushi ; Wang, Yiru. In: French Stata Users' Group Meetings 2024. RePEc:boc:fsug24:22.

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2025Beyond Aggregates: A Dual Lens on Eurozone Trend Inflation. (2025). Yakut, Dilan Aydin. In: Research Technical Papers. RePEc:cbi:wpaper:3/rt/25.

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2024Extended multivariate EGARCH model: A model for zero€ return and negative spillovers. (2024). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2024/24.

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2024Asymmetric Models for Realized Covariances. (2024). Bauwens, Luc ; Hafner, Christian ; Dzuverovic, Emilija. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2024024.

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2025Forecasting the Impact of Extreme Weather Events on Electricity Prices in Italy: A GARCH-MIDAS Approach with Enhanced Variable Selection. (2025). Riso, Luigi ; Zoia, Maria Grazia ; Guerzoni, Marco. In: DISCE - Working Papers del Dipartimento di Politica Economica. RePEc:ctc:serie5:dipe0043.

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2025Global and regional long-term climate forecasts: a heterogeneous future. (2025). Gonzalo, Jesus ; Gadea, Mara Dolores. In: UC3M Working papers. Economics. RePEc:cte:werepe:45946.

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

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2025Beyond GARCH: Bayesian Neural Stochastic Volatility. (2025). Marn, Juan Miguel ; Guo, Hongfei ; Veiga, Helena. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:47944.

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2025Long-Run Inflation Expectations. (2025). Rast, Sebastian ; Melosi, Leonardo. In: Working Papers. RePEc:dnb:dnbwpp:829.

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2024Life expectancy and business cycles in a small open economy. (2024). Kosempel, Stephen ; Tserenkhuu, Tselmuun. In: ISER Discussion Paper. RePEc:dpr:wpaper:1263.

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2025What can newspaper articles reveal about the euro area economy?. (2025). Saiz, Lorena ; Magro, Manuel Medina. In: Working Paper Series. RePEc:ecb:ecbwps:20253122.

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

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2025Trend-cycle decomposition in the presence of large shocks. (2025). Wong, Benjamin ; Morley, James ; Kamber, Gne. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:173:y:2025:i:c:s0165188925000326.

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2025All models are wrong but all can be useful: Robust policy design using prediction pools. (2025). Mirza, Afrasiab ; Pearlman, Joseph ; Dek, Szabolcs ; Levine, Paul. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:176:y:2025:i:c:s0165188925000624.

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2025Extreme conditional tail risk inference in ARMA–GARCH models. (2025). Ma, Yaolan ; Wei, BO. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:177:y:2025:i:c:s0165188925000946.

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

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2024Robust estimation of the range-based GARCH model: Forecasting volatility, value at risk and expected shortfall of cryptocurrencies. (2024). Fiszeder, Piotr ; Maecka, Marta ; Molnr, Peter. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s026499932400244x.

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2025A long short-term memory enhanced realized conditional heteroskedasticity model. (2025). Kohn, Robert ; Tran, Minh-Ngoc ; Wang, Chao ; Liu, Chen. In: Economic Modelling. RePEc:eee:ecmode:v:142:y:2025:i:c:s0264999324002797.

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2025Estimation and forecast of carbon emission market volatility based on model averaging method. (2025). Wang, Qianchao ; Li, Yong. In: Economic Modelling. RePEc:eee:ecmode:v:143:y:2025:i:c:s026499932400333x.

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2024Improving volatility forecasts: Evidence from range-based models. (2024). Fiszeder, Piotr ; Molnar, Peter ; Fadziski, Marcin. 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). de Khoo, Zhi ; Koh, You Beng ; Ng, Kooi Huat. 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). Huang, Yirong ; Luo, YI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000731.

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

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2025A RGARCH-CARR-SK model: A new high-frequency volatility forecasting and risk measurement model based on dynamic higher moments and generalized realized measures. (2025). Chen, Zhenlong ; Zhou, Qingnan ; Liu, Junjie. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:77:y:2025:i:c:s1062940825000488.

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2025Forecasting volatility of China’s crude oil futures based on hybrid ML-HAR-RV models. (2025). Zhu, Tingting ; Ma, Xiaoqing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:78:y:2025:i:c:s1062940825000683.

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2025Do countries default in bad times? The role of alternative detrending techniques. (2025). Panizza, Ugo. In: Economics Letters. RePEc:eee:ecolet:v:246:y:2025:i:c:s0165176524005603.

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2025Forecasting retail fuel prices with spatial interdependencies. (2025). Clements, Adam ; Otero, Jess. In: Economics Letters. RePEc:eee:ecolet:v:247:y:2025:i:c:s0165176524006128.

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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). Reuvers, Hanno ; Wijler, Etienne. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:1:s0304407623002361.

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2024Dynamic partial correlation models. (2024). Lucas, Andre ; Dinnocenzo, Enzo. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s0304407624000939.

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

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2025Supervised factor modeling for high-dimensional linear time series. (2025). Lu, Kexin ; Huang, Feiqing ; Zheng, Yao ; Li, Guodong. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000491.

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2025Realized candlestick wicks. (2025). Nolte, Ingmar ; Li, Yifan ; Yu, Shifan. In: Journal of Econometrics. RePEc:eee:econom:v:250:y:2025:i:c:s0304407625000685.

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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). Veiga, Helena ; de Zea, P ; Marin, Miguel J ; Rue, Hvard. In: Econometrics and Statistics. RePEc:eee:ecosta:v:30:y:2024:i:c:p:15-35.

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2024Forecasting Near-equivalence of Linear Dimension Reduction Methods in Large Panels of Macro-variables. (2024). Bura, Efstathia ; Barbarino, Alessandro. In: Econometrics and Statistics. RePEc:eee:ecosta:v:31:y:2024:i:c:p:1-18.

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2024Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility. (2024). Takahashi, Makoto ; Omori, Yasuhiro ; Watanabe, Toshiaki. In: Econometrics and Statistics. RePEc:eee:ecosta:v:32:y:2024:i:c:p:34-56.

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2025Model Risk of Volatility Models. (2025). Lazar, Emese ; Zhang, Ning. In: Econometrics and Statistics. RePEc:eee:ecosta:v:35:y:2025:i:c:p:1-22.

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2025Testing liquidity: A statistical theory based on asset staleness. (2025). Trapin, Luca ; Pollastri, Alessandro ; Pirino, Davide. In: Econometrics and Statistics. RePEc:eee:ecosta:v:35:y:2025:i:c:p:23-40.

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2024Made in Europe: Monetary–Fiscal policy mix with financial frictions. (2024). Seoane, Hernán ; Gomes, Pedro. In: European Economic Review. RePEc:eee:eecrev:v:165:y:2024:i:c:s0014292124000564.

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2025Survey expectations, learning and inflation dynamics. (2025). Wouters, Raf ; Slobodyan, Sergey ; Rychalovska, Yuliya. In: European Economic Review. RePEc:eee:eecrev:v:180:y:2025:i:c:s0014292125001680.

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

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2025Industry return prediction via interpretable deep learning. (2025). Sermpinis, Georgios ; Iannino, Maria Chiara ; Psaradellis, Ioannis ; Zografopoulos, Lazaros. In: European Journal of Operational Research. RePEc:eee:ejores:v:321:y:2025:i:1:p:257-268.

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2025Business cycle and realized losses in the consumer credit industry. (2025). Roccazzella, Francesco ; Vrins, Frdric ; Distaso, Walter. In: European Journal of Operational Research. RePEc:eee:ejores:v:323:y:2025:i:3:p:1024-1039.

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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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2024An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile. (2024). Herrera, Rodrigo ; Candia, Claudio. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000239.

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2024Forecasting realized volatility: Does anything beat linear models?. (2024). Zevallos, Mauricio ; Rubesam, Alexandre ; Branco, Rafael R. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000598.

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2024Pooling and winsorizing machine learning forecasts to predict stock returns with high-dimensional data. (2024). Strauss, Jack ; Mekelburg, Erik. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000732.

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2024High-frequency realized stochastic volatility model. (2024). Watanabe, Toshiaki ; Nakajima, Jouchi. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000938.

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2025Forecasting realized betas using predictors indicating structural breaks and asymmetric risk effects. (2025). Cheng, Mingmian ; Luo, Jiawen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:80:y:2025:i:c:s0927539824001099.

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2025Forecasting multivariate volatilities with exogenous predictors: An application to industry diversification strategies. (2025). GUPTA, RANGAN ; Demirer, Riza ; Cepni, Oguzhan ; Luo, Jiawen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:81:y:2025:i:c:s0927539825000179.

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2024Predicting tail risks and the evolution of temperatures. (2024). Martins, Luis ; Gabriel, Vasco ; Phella, Anthoulla. In: Energy Economics. RePEc:eee:eneeco:v:131:y:2024:i:c:s0140988323007843.

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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]		paper1199
2011The Model Confidence Set.(2011) In: Econometrica.
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This paper has nother version. Agregated cites: 1199		article
1995Output Dynamics in Real-Business-Cycle Models. In: American Economic Review.
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1993Output dynamics in real business cycle models.(1993) In: Working Papers in Applied Economic Theory.
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This paper has nother version. Agregated cites: 525		paper
2007The McKenna Rule and UK World War I Finance In: American Economic Review.
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2007The McKenna rule and U.K. World War I finance.(2007) In: FRB Atlanta Working Paper.
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2007The McKenna Rule and UK World War I Finance.(2007) In: Reserve Bank of New Zealand Discussion Paper Series.
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2012UK World War I and interwar data for business cycle and growth analysis In: Cliometrica, Journal of Historical Economics and Econometric History.
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2011UK World War I and Interwar Data for Business Cycle and Growth Analysis.(2011) In: CAMA Working Papers.
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2009U.K. World War I and interwar data for business cycle and growth analysis.(2009) In: FRB Atlanta Working Paper.
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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.
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2018Inflation and professional forecast dynamics: an evaluation of stickiness, persistence, and volatility In: BIS Working Papers.
[Full Text][Citation analysis]		paper50
2015Inflation and Professional Forecast Dynamics: An Evaluation of Stickiness, Persistence, and Volatility.(2015) In: CAMA Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 50		paper
2017Inflation and Professional Forecast Dynamics: An Evaluation of Stickiness, Persistence and Volatility.(2017) In: CAMA Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 50		paper
2020Inflation and professional forecast dynamics: An evaluation of stickiness, persistence, and volatility.(2020) In: Quantitative Economics.
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This paper has nother version. Agregated cites: 50		article
2003Choosing the Best Volatility Models: The Model Confidence Set Approach* In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article138
2003Choosing the Best Volatility Models:The Model Confidence Set Approach.(2003) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 138		paper
2003Choosing the best volatility models: the model confidence set approach.(2003) In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 138		paper
2025Bayesian estimation of DSGE models: An update In: Boston College Working Papers in Economics.
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2025Bayesian Estimation of DSGE Models: An Update.(2025) In: CAMA Working Papers.
[Full Text][Citation analysis]
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2008Great Moderation(s) and US Interest Rates: Unconditional Evidence In: The B.E. Journal of Macroeconomics.
[Full Text][Citation analysis]		article10
2008Great moderations and U.S. interest rates: unconditional evidence.(2008) In: FRB Atlanta Working Paper.
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This paper has nother version. Agregated cites: 10		paper
2007Great Moderation(s) And U.s. Interest Rates: Unconditional Evidence.(2007) In: Working Paper.
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This paper has nother version. Agregated cites: 10		paper
2009Business Cycle Implications of Internal Consumption Habit for New Keynesian Model In: CARF F-Series.
[Full Text][Citation analysis]		paper12
2010Business Cycle Implications of Internal Consumption Habit for New Keynesian Models.(2010) In: CAMA Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		paper
2009Business cycle implications of internal consumption habit for New Keynesian models.(2009) In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		paper
2012Business cycle implications of internal consumption habit for new Keynesian models.(2012) In: Working Papers.
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This paper has nother version. Agregated cites: 12		paper
2012Business Cycle Implications of Internal Consumption Habit for New Keynesian Models.(2012) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		paper
2009Business Cycle Implications of Internal Consumption Habit for New Keynesian Models.(2009) In: CIRJE F-Series.
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This paper has nother version. Agregated cites: 12		paper
2014Business Cycle Implications of Internal Consumption Habit for New Keynesian Models.(2014) In: Journal of Money, Credit and Banking.
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This paper has nother version. Agregated cites: 12		article
2006Common trends and common cycles in Canada: who knew so much has been going on? In: Canadian Journal of Economics.
[Full Text][Citation analysis]		article12
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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This paper has nother version. Agregated cites: 12		paper
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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This paper has nother version. Agregated cites: 12		article
1999Long Run Monetary Neutrality in Three Samples: The United Kingdom, the United States, and the Small In: Working Papers.
[Citation analysis]		paper2
2015BUSINESS CYCLES AND FINANCIAL CRISES: THE ROLES OF CREDIT SUPPLY AND DEMAND SHOCKS In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		article22
2012Business Cycles and Financial Crises: The Roles of Credit Supply and Demand Shocks.(2012) In: CAMA Working Papers.
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This paper has nother version. Agregated cites: 22		paper
2012Business cycles and financial crises: the roles of credit supply and demand shocks.(2012) In: Working Papers (Old Series).
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This paper has nother version. Agregated cites: 22		paper
2012Business cycles and financial crises: the roles of credit supply and demand shocks.(2012) In: Working Papers.
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This paper has nother version. Agregated cites: 22		paper
2007Information Criteria for Impulse Response Function Matching Estimation of DSGE Models In: Working Papers.
[Full Text][Citation analysis]		paper85
2009INFORMATION CRITERIA FOR IMPULSE RESPONSE FUNCTION MATCHING ESTIMATION OF DSGE MODELS.(2009) In: Working Papers.
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This paper has nother version. Agregated cites: 85		paper
2010Information Criteria for Impulse Response Function Matching Estimation of DSGE Models.(2010) In: Working Papers.
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This paper has nother version. Agregated cites: 85		paper
2012Information criteria for impulse response function matching estimation of DSGE models.(2012) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 85		article
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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This paper has nother version. Agregated cites: 85		paper
2004Business Cycle Implications of Habit Formation In: Econometric Society 2004 Far Eastern Meetings.
[Full Text][Citation analysis]		paper2
2004Business Cycle Implications of Habit Formation.(2004) In: Computing in Economics and Finance 2004.
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This paper has nother version. Agregated cites: 2		paper
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.
[Full Text][Citation analysis]		article584
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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This paper has nother version. Agregated cites: 584		paper
1993Impulse dynamics and propagation mechanisms in a real business cycle model In: Economics Letters.
[Full Text][Citation analysis]		article37
2003The long-horizon regression approach to monetary neutrality: how should the evidence be interpreted? In: Economics Letters.
[Full Text][Citation analysis]		article18
2008Introduction: Journal of Econometrics special issue honoring the research contributions of Charles R. Nelson In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
1996Testing for structural breaks in cointegrated relationships In: Journal of Econometrics.
[Full Text][Citation analysis]		article134
1990Nonparametric exchange rate prediction? In: Journal of International Economics.
[Full Text][Citation analysis]		article253
1989Nonparametric exchange rate prediction?.(1989) In: Finance and Economics Discussion Series.
[Citation analysis]
This paper has nother version. Agregated cites: 253		paper
2006The present-value model of the current account has been rejected: Round up the usual suspects In: Journal of International Economics.
[Full Text][Citation analysis]		article138
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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This paper has nother version. Agregated cites: 138		paper
2003The present-value model of the current account has been rejected: round up the usual suspects.(2003) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 138		paper
2001The Present Value Model of the Current Account Has Been Rejected: Round Up the Usual Subjects.(2001) In: Computing in Economics and Finance 2001.
[Citation analysis]
This paper has nother version. Agregated cites: 138		paper
2007Simple versus optimal rules as guides to policy In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article44
2007Simple versus optimal rules as guides to policy.(2007) In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 44		paper
2012Bayesian Estimation of DSGE Models In: CAMA Working Papers.
[Full Text][Citation analysis]		paper23
2013Bayesian estimation of DSGE models.(2013) In: Chapters.
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This paper has nother version. Agregated cites: 23		chapter
2012Bayesian estimation of DSGE models.(2012) In: Working Papers.
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This paper has nother version. Agregated cites: 23		paper
2014Measuring the Slowly Evolving Trend in US Inflation with Professional Forecasts In: CAMA Working Papers.
[Full Text][Citation analysis]		paper17
2013Measuring The Slowly Evolving Trend In Us Inflation With Professional Forecasts.(2013) In: Working Paper.
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This paper has nother version. Agregated cites: 17		paper
2021Measuring the slowly evolving trend in US inflation with professional forecasts.(2021) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 17		article
2014Bringing Financial Stability into Monetary Policy In: CAMA Working Papers.
[Full Text][Citation analysis]		paper24
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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This paper has nother version. Agregated cites: 24		paper
2021UK inflation forecasts since the thirteenth century In: CAMA Working Papers.
[Full Text][Citation analysis]		paper0
2021UK Inflation Forecasts since the Thirteenth Century.(2021) In: Working Paper.
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This paper has nother version. Agregated cites: 0		paper
2025The Chinese Silver Standard: Parity, Predictability, and (In)Stability, 1912€“1934 In: CAMA Working Papers.
[Full Text][Citation analysis]		paper0
2006Instability in U.S. inflation: 1967-2005 In: Economic Review.
[Full Text][Citation analysis]		article7
2003Bulk commodities and the Liverpool and London markets of the mid-19th century In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper0
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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This paper has nother version. Agregated cites: 8		paper
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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This paper has nother version. Agregated cites: 150		article
2005Identifying The New Keynesian Phillips Curve.(2005) In: Working Paper.
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This paper has nother version. Agregated cites: 150		paper
2005Testing the significance of calendar effects In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper18
2005Model confidence sets for forecasting models In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper22
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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This paper has nother version. Agregated cites: 11		paper
1991Effects of the Hodrick-Prescott filter on integrated time series In: Proceedings.
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1988The equity premium and time-varying risk behavior In: Finance and Economics Discussion Series.
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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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This paper has nother version. Agregated cites: 64		article
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.
[Full Text][Citation analysis]		article51
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.
[Citation analysis]		paper0
2023UK INFLATION DYNAMICS SINCE THE THIRTEENTH CENTURY In: International Economic Review.
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