| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| "Big Data" and its Origins |
0 |
0 |
1 |
159 |
0 |
1 |
4 |
117 |
| (Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation |
0 |
0 |
2 |
973 |
0 |
2 |
6 |
1,817 |
| A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting |
0 |
0 |
1 |
22 |
0 |
0 |
1 |
34 |
| A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting |
0 |
0 |
1 |
11 |
0 |
1 |
3 |
28 |
| A Framework for Exploring the Macroeconomic Determinants of Systematic Risk |
0 |
0 |
0 |
187 |
0 |
4 |
4 |
485 |
| A Framework for Exploring the Macroeconomic Determinants of Systematic Risk |
0 |
0 |
0 |
207 |
0 |
2 |
3 |
576 |
| A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities |
0 |
0 |
0 |
65 |
0 |
0 |
1 |
199 |
| A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
24 |
| A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities |
0 |
0 |
0 |
32 |
0 |
1 |
1 |
140 |
| A New Test for Market Efficiency and Uncovered Interest Parity |
0 |
0 |
1 |
24 |
0 |
0 |
30 |
50 |
| A New Test for Market Efficiency and Uncovered Interest Parity |
0 |
0 |
0 |
10 |
0 |
0 |
2 |
19 |
| A New Test forMarket Efficiency and Uncovered Interest Parity |
0 |
0 |
0 |
8 |
0 |
1 |
4 |
28 |
| A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations |
0 |
0 |
0 |
136 |
0 |
0 |
1 |
370 |
| A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations |
0 |
0 |
0 |
26 |
0 |
0 |
1 |
170 |
| A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations |
0 |
0 |
0 |
155 |
0 |
1 |
1 |
361 |
| A Personal Perspective on the Origin(s) and Development of “Big Data": The Phenomenon, the Term, and the Discipline, Second Version |
0 |
1 |
12 |
167 |
2 |
7 |
39 |
492 |
| A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration |
0 |
0 |
1 |
620 |
1 |
2 |
11 |
1,876 |
| A framework for exploring the macroeconomic determinants of systematic risk |
1 |
1 |
1 |
184 |
1 |
2 |
3 |
530 |
| A no-arbitrage approach to range-based estimation of return covariances and correlations |
1 |
1 |
1 |
139 |
1 |
1 |
1 |
347 |
| A nonparametric investigation of duration dependence in the American business cycle |
0 |
0 |
0 |
1 |
0 |
2 |
2 |
363 |
| An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model |
0 |
0 |
0 |
188 |
0 |
1 |
4 |
529 |
| An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model |
0 |
0 |
0 |
104 |
0 |
0 |
1 |
331 |
| An application of operational-subjective statistical methods to rational expectations: comment |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
416 |
| An arbitrage-free generalized Nelson-Siegel term structure model |
0 |
0 |
2 |
337 |
0 |
1 |
5 |
803 |
| Assessing Point Forecast Accuracy by Stochastic Error Distance |
0 |
0 |
0 |
53 |
0 |
1 |
2 |
43 |
| Assessing Point Forecast Accuracy by Stochastic Error Distance |
0 |
0 |
0 |
77 |
0 |
0 |
0 |
46 |
| Assessing and Comparing Fixed-Target Forecasts of Arctic Sea Ice: Glide Charts for Feature-Engineered Linear Regression and Machine Learning Models |
0 |
0 |
0 |
3 |
0 |
0 |
1 |
8 |
| Assessing and Comparing Fixed-Target Forecasts of Arctic Sea Ice: Glide Charts for Feature-Engineered Linear Regression and Machine Learning Models |
0 |
0 |
0 |
42 |
0 |
1 |
4 |
15 |
| Assessing and Comparing Fixed-Target Forecasts of Arctic Sea Ice:Glide Charts for Feature-Engineered Linear Regression and Machine Learning Models |
0 |
0 |
0 |
46 |
0 |
0 |
3 |
8 |
| Asset Return Volatility, High-Frequency Data, and the New Financial Econometrics |
0 |
0 |
0 |
7 |
0 |
2 |
5 |
501 |
| Beating the Simple Average: Egalitarian LASSO for Combining Economic Forecasts |
1 |
1 |
2 |
72 |
1 |
2 |
4 |
66 |
| Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers |
6 |
18 |
83 |
1,755 |
17 |
44 |
194 |
4,150 |
| Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers |
0 |
0 |
1 |
273 |
0 |
1 |
3 |
1,509 |
| Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers |
0 |
0 |
0 |
211 |
1 |
1 |
13 |
814 |
| Bounded rationality and strategic complementarity in a macroeconomic model: policy effects, persistence, and multipliers |
0 |
0 |
0 |
2 |
0 |
0 |
4 |
461 |
| Climate Models Underestimate the Sensitivity of Arctic Sea Ice to Carbon Emissions |
0 |
0 |
1 |
4 |
0 |
0 |
1 |
6 |
| Climate Models Underestimate the Sensitivity of Arctic Sea Ice to Carbon Emissions |
0 |
0 |
1 |
4 |
0 |
0 |
1 |
6 |
| Clustered Network Connectedness: A New Measurement Framework with Application to Global Equity Markets |
10 |
15 |
15 |
15 |
10 |
12 |
12 |
12 |
| Cointegration and Long-Horizon Forecasting |
0 |
0 |
0 |
549 |
0 |
1 |
3 |
1,747 |
| Cointegration and Long-Horizon Forecasting |
0 |
0 |
0 |
196 |
0 |
0 |
2 |
484 |
| Cointegration and long-horizon forecasting |
1 |
1 |
1 |
618 |
1 |
2 |
7 |
1,576 |
| Commodity Connectedness |
0 |
0 |
0 |
15 |
0 |
0 |
0 |
44 |
| Commodity Connectedness |
0 |
1 |
7 |
124 |
0 |
4 |
22 |
357 |
| Commodity connectedness |
1 |
1 |
2 |
24 |
1 |
3 |
8 |
92 |
| Comparing Predictive Accuracy |
1 |
2 |
19 |
1,905 |
6 |
14 |
64 |
4,571 |
| Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests |
0 |
0 |
1 |
51 |
0 |
0 |
4 |
188 |
| Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests |
0 |
0 |
0 |
356 |
0 |
0 |
3 |
374 |
| Comparing predictive accuracy I: an asymptotic test |
1 |
2 |
8 |
216 |
2 |
7 |
20 |
1,242 |
| Conditional heteroskedasticity in the market |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
395 |
| Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think |
1 |
1 |
8 |
425 |
1 |
3 |
21 |
1,507 |
| Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again |
1 |
1 |
1 |
474 |
1 |
1 |
1 |
3,472 |
| Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again |
0 |
0 |
0 |
304 |
0 |
1 |
4 |
1,683 |
| Deviations from random-walk behavior: tests based on the variance-time function |
0 |
0 |
0 |
0 |
2 |
2 |
3 |
466 |
| Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence |
0 |
0 |
0 |
11 |
0 |
0 |
2 |
94 |
| Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence |
0 |
1 |
1 |
11 |
0 |
1 |
3 |
86 |
| Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence |
0 |
0 |
0 |
422 |
0 |
0 |
2 |
969 |
| Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore |
2 |
2 |
2 |
103 |
3 |
4 |
5 |
297 |
| Does the business cycle have duration memory? |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
281 |
| Dynamic Equilibrium Economies: A Framework for Comparing Models and Data |
0 |
0 |
0 |
211 |
0 |
1 |
2 |
1,590 |
| Dynamic equilibrium economies: a framework for comparing models and data |
0 |
0 |
0 |
154 |
0 |
1 |
2 |
1,151 |
| Dynamic equilibrium economies: a framework for comparing models and data |
0 |
0 |
1 |
140 |
0 |
0 |
1 |
614 |
| Dynamic equilibrium economies: a framework for comparing models and data |
0 |
0 |
0 |
92 |
0 |
0 |
0 |
630 |
| Estimating Global Bank Network Connectedness |
0 |
0 |
0 |
553 |
0 |
2 |
5 |
1,233 |
| Estimating Global Bank Network Connectedness |
0 |
0 |
0 |
9 |
0 |
1 |
3 |
91 |
| Estimating Global Bank Network Connectedness |
0 |
0 |
1 |
62 |
1 |
1 |
14 |
196 |
| Evaluating Density Forecasts |
0 |
0 |
0 |
69 |
1 |
2 |
3 |
369 |
| Evaluating Density Forecasts |
0 |
0 |
0 |
383 |
0 |
1 |
3 |
1,288 |
| Evaluating Density Forecasts |
0 |
0 |
0 |
189 |
1 |
2 |
3 |
543 |
| Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters |
0 |
0 |
2 |
271 |
0 |
3 |
13 |
1,259 |
| Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
651 |
| Evaluating density forecasts |
0 |
0 |
0 |
257 |
0 |
1 |
3 |
855 |
| Ex ante turning point forecasting with the composite leading index |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
571 |
| Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models |
0 |
0 |
0 |
292 |
0 |
0 |
0 |
1,721 |
| Exact maximum likelihood estimation of ARCH models |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
773 |
| Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian |
0 |
0 |
0 |
303 |
0 |
1 |
5 |
1,114 |
| Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian |
0 |
0 |
2 |
495 |
0 |
0 |
4 |
1,604 |
| Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian |
0 |
0 |
0 |
304 |
0 |
0 |
0 |
840 |
| Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics |
0 |
0 |
2 |
211 |
0 |
2 |
5 |
591 |
| Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics |
0 |
0 |
1 |
230 |
0 |
0 |
3 |
673 |
| Financial Asset Returns, Market Timing, and Volatility Dynamics |
0 |
0 |
0 |
576 |
0 |
1 |
3 |
1,943 |
| Financial Risk Management in a Volatile Global Environment |
0 |
0 |
0 |
715 |
0 |
2 |
8 |
2,175 |
| Financial Risk Measurement for Financial Risk Management |
0 |
0 |
2 |
247 |
0 |
0 |
16 |
552 |
| Financial Risk Measurement for Financial Risk Management |
0 |
1 |
2 |
180 |
0 |
3 |
10 |
539 |
| Financial Risk Measurement for Financial Risk Management |
0 |
0 |
2 |
207 |
0 |
1 |
5 |
584 |
| Financial asset returns, direction-of-change forecasting, and volatility dynamics |
1 |
1 |
1 |
215 |
1 |
1 |
1 |
417 |
| Forecast Evaluation and Combination |
0 |
0 |
0 |
1,081 |
0 |
1 |
10 |
3,169 |
| Forecast combination and encompassing: reconciling two divergent literatures |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
510 |
| Forecast evaluation and combination |
1 |
1 |
3 |
521 |
1 |
1 |
6 |
1,542 |
| Forecasting output with the composite leading index: an ex ante analysis |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
1,035 |
| Forecasting the Term Structure of Government Bond Yields |
0 |
0 |
0 |
898 |
0 |
0 |
3 |
2,137 |
| Forecasting the Term Structure of Government Bond Yields |
0 |
1 |
7 |
840 |
0 |
3 |
17 |
2,277 |
| Forecasting the term structure of government bond yields |
1 |
3 |
5 |
831 |
2 |
6 |
12 |
1,997 |
| Further Results on Forecasting and Model Selection Under Asymmetric Loss |
0 |
0 |
0 |
184 |
0 |
0 |
0 |
485 |
| Further evidence on business cycle duration dependence |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
410 |
| Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach |
0 |
0 |
1 |
361 |
0 |
1 |
3 |
892 |
| Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach |
0 |
0 |
0 |
178 |
0 |
0 |
1 |
657 |
| Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach |
1 |
1 |
1 |
13 |
1 |
2 |
3 |
69 |
| Globalization, the Business Cycle, and Macroeconomic Monitoring |
0 |
0 |
1 |
114 |
0 |
3 |
4 |
283 |
| Globalization, the Business Cycle, and Macroeconomic Monitoring |
0 |
0 |
1 |
196 |
1 |
1 |
3 |
521 |
| Have postwar economic fluctuations been stabilized? |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
368 |
| Have postwar economic fluctuations been stabilized? |
0 |
0 |
0 |
62 |
0 |
2 |
4 |
481 |
| High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models |
0 |
0 |
0 |
221 |
0 |
0 |
2 |
883 |
| Horizon Problems and Extreme Events in Financial Risk Management |
0 |
0 |
1 |
513 |
0 |
0 |
3 |
1,741 |
| How Relevant is Volatility Forecasting for Financial Risk Management? |
0 |
0 |
0 |
332 |
0 |
0 |
0 |
913 |
| How Relevant is Volatility Forecasting for Financial Risk Management? |
0 |
0 |
0 |
790 |
0 |
0 |
1 |
2,795 |
| How Relevant is Volatility Forecasting for Financial Risk Management? |
0 |
0 |
0 |
597 |
0 |
0 |
1 |
1,581 |
| Improving GDP Measurement: A Forecast Combination Perspective |
0 |
0 |
1 |
57 |
0 |
0 |
2 |
189 |
| Improving GDP Measurement: A Forecast Combination Perspective |
0 |
0 |
0 |
80 |
0 |
4 |
11 |
278 |
| Improving GDP Measurement: A Measurement-Error Perspective |
0 |
0 |
0 |
53 |
0 |
1 |
2 |
168 |
| Improving GDP Measurement: A Measurement-Error Perspective |
0 |
0 |
1 |
70 |
0 |
2 |
5 |
157 |
| Improving GDP measurement: a forecast combination perspective |
0 |
0 |
0 |
71 |
0 |
0 |
2 |
130 |
| Improving GDP measurement: a measurement-error perspective |
0 |
0 |
0 |
45 |
0 |
1 |
1 |
207 |
| International evidence on business cycle duration dependence |
0 |
0 |
0 |
56 |
1 |
1 |
1 |
376 |
| Is consumption too smooth? Long memory and the Deaton paradox |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
1,012 |
| Job Stability in the United States |
0 |
0 |
0 |
158 |
0 |
1 |
3 |
1,303 |
| Long Memory and Regime Switching |
0 |
2 |
2 |
588 |
0 |
3 |
3 |
1,467 |
| Long memory and persistence in aggregate output |
0 |
0 |
0 |
1 |
0 |
1 |
2 |
864 |
| Machine Learning and the Yield Curve: Tree-Based Macroeconomic Regime Switching |
1 |
3 |
28 |
28 |
1 |
4 |
51 |
51 |
| Machine Learning and the Yield Curve:Tree-Based Macroeconomic Regime Switching |
1 |
2 |
14 |
14 |
3 |
5 |
31 |
31 |
| Machine Learning for Regularized Survey Forecast Combination: Partially Egalitarian Lasso and its Derivatives |
0 |
0 |
0 |
39 |
1 |
39 |
41 |
132 |
| Machine Learning for Regularized Survey Forecast Combination: Partially-Egalitarian Lasso and its Derivatives |
0 |
0 |
1 |
72 |
1 |
1 |
3 |
113 |
| Macroeconomic Volatility and Stock Market Volatility, World-Wide |
0 |
0 |
0 |
158 |
0 |
1 |
3 |
381 |
| Macroeconomic Volatility and Stock Market Volatility, Worldwide |
0 |
1 |
2 |
215 |
0 |
2 |
7 |
672 |
| Macroeconomic Volatility and Stock Market Volatility,World-Wide |
1 |
2 |
2 |
962 |
2 |
5 |
8 |
2,477 |
| Measuring Business Cycle: A Modern Perspective |
0 |
1 |
3 |
460 |
0 |
3 |
6 |
1,031 |
| Measuring Business Cycles: A Modern Perspective |
0 |
0 |
4 |
537 |
0 |
3 |
14 |
1,483 |
| Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets |
0 |
0 |
2 |
153 |
0 |
1 |
8 |
542 |
| Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets |
1 |
1 |
3 |
225 |
1 |
1 |
17 |
648 |
| Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets |
0 |
1 |
3 |
173 |
0 |
3 |
10 |
594 |
| Measuring Predictability: Theory And Macroeconomic Applications |
1 |
1 |
1 |
127 |
1 |
1 |
3 |
568 |
| Measuring Predictability: Theory and Macroeconomic Applications |
0 |
0 |
0 |
197 |
0 |
1 |
1 |
1,175 |
| Measuring Predictability: Theory and Macroeconomic Applications |
0 |
0 |
0 |
51 |
0 |
0 |
1 |
377 |
| Measuring Predictability: Theory and Macroeconomic Applications |
0 |
0 |
0 |
1 |
0 |
0 |
4 |
632 |
| Measuring Volatility Dynamics |
0 |
0 |
0 |
504 |
1 |
1 |
1 |
1,959 |
| Measuring financial asset return and volatility spillovers, with application to global equity markets |
0 |
0 |
1 |
113 |
0 |
2 |
12 |
472 |
| Measuring financial asset return and volatility spillovers, with application to global equity markets |
1 |
1 |
1 |
25 |
1 |
1 |
6 |
222 |
| Measuring financial asset return and volatilty spillovers, with application to global equity markets |
1 |
1 |
1 |
38 |
2 |
3 |
9 |
229 |
| Measuring predictability: theory and macroeconomic applications |
0 |
0 |
0 |
166 |
1 |
8 |
9 |
745 |
| Measuring the Dynamics of Global Business Cycle Connectedness |
1 |
1 |
4 |
148 |
1 |
1 |
13 |
454 |
| Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange |
0 |
0 |
0 |
52 |
0 |
1 |
2 |
510 |
| Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange |
0 |
0 |
0 |
478 |
0 |
4 |
7 |
2,262 |
| Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange |
1 |
2 |
2 |
289 |
1 |
3 |
4 |
1,036 |
| Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? |
1 |
2 |
2 |
356 |
1 |
4 |
6 |
1,265 |
| Modeling Bond Yields in Finance and Macroeconomics |
0 |
0 |
0 |
371 |
1 |
2 |
3 |
957 |
| Modeling Bond Yields in Finance and Macroeconomics |
0 |
0 |
0 |
206 |
0 |
1 |
1 |
493 |
| Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management |
0 |
0 |
2 |
528 |
1 |
2 |
8 |
1,336 |
| Modeling Liquidity Risk, With Implications for Traditional Market Risk Measurement and Management |
0 |
0 |
2 |
1,409 |
0 |
1 |
7 |
3,608 |
| Modeling Volatility Dynamics |
0 |
0 |
0 |
372 |
0 |
0 |
2 |
711 |
| Modeling and Forecasting Realized Volatility |
0 |
1 |
2 |
993 |
2 |
4 |
10 |
2,173 |
| Modeling and Forecasting Realized Volatility |
0 |
1 |
4 |
1,261 |
0 |
5 |
20 |
2,990 |
| Modeling and Forecasting Realized Volatility |
0 |
0 |
1 |
791 |
0 |
2 |
4 |
1,894 |
| Modeling bond yields in finance and macroeconomics |
1 |
1 |
2 |
271 |
1 |
1 |
4 |
716 |
| Modeling bond yields in finance and macroeconomics |
0 |
1 |
5 |
258 |
0 |
1 |
5 |
628 |
| Modeling volatility dynamics |
0 |
0 |
0 |
409 |
0 |
0 |
0 |
999 |
| Near-rationality and strategic complementarity in a macroeconomic model: policy effects, persistence and multipliers |
0 |
0 |
0 |
0 |
0 |
2 |
2 |
157 |
| Nonparametric exchange rate prediction? |
0 |
0 |
0 |
3 |
0 |
1 |
5 |
1,467 |
| On Robust Inference in Time Series Regression |
0 |
1 |
2 |
124 |
1 |
3 |
10 |
43 |
| On Robust Inference in Time Series Regression |
0 |
0 |
2 |
20 |
0 |
2 |
11 |
45 |
| On Robust Inference in Time Series Regression |
0 |
1 |
4 |
4 |
0 |
2 |
37 |
37 |
| On cointegration and exchange rate dynamics |
0 |
0 |
0 |
3 |
0 |
1 |
2 |
532 |
| On comparing information in forecasts from econometric models: a comment on Fair and Shiller |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
154 |
| On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean |
0 |
0 |
0 |
1 |
0 |
1 |
3 |
260 |
| On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean |
0 |
0 |
0 |
85 |
0 |
0 |
1 |
680 |
| On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone In?ation and Real Interest Rates |
0 |
0 |
0 |
7 |
0 |
0 |
1 |
22 |
| On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
36 |
| On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates |
0 |
0 |
0 |
11 |
0 |
0 |
3 |
15 |
| On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates |
0 |
0 |
0 |
12 |
0 |
0 |
2 |
27 |
| On the Comparison of Interval Forecasts |
1 |
1 |
1 |
46 |
3 |
3 |
5 |
89 |
| On the Correlation Structure of Microstructure Noise in Theory and Practice |
0 |
0 |
0 |
90 |
0 |
0 |
1 |
280 |
| On the Correlation Structure of Microstructure Noise: A Financial Economic Approach |
0 |
0 |
0 |
37 |
0 |
0 |
0 |
150 |
| On the Correlation Structure of Microstructure Noise: A Financial Economic Approach |
0 |
0 |
0 |
163 |
0 |
1 |
1 |
448 |
| On the Evolution of U.S. Temperature Dynamics |
0 |
0 |
0 |
69 |
0 |
0 |
1 |
80 |
| On the Evolution of U.S. Temperature Dynamics |
0 |
0 |
1 |
12 |
0 |
0 |
1 |
28 |
| On the Financing of Climate Change Adaptation in Developing Countries |
0 |
0 |
1 |
42 |
0 |
1 |
2 |
15 |
| On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms |
0 |
0 |
1 |
260 |
0 |
1 |
3 |
529 |
| On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms |
1 |
1 |
4 |
174 |
1 |
1 |
14 |
761 |
| On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms |
0 |
1 |
3 |
111 |
0 |
2 |
11 |
348 |
| On the Origin(s) and Development of the Term “Big Data" |
1 |
1 |
3 |
274 |
3 |
5 |
12 |
439 |
| On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness |
0 |
1 |
1 |
9 |
0 |
1 |
5 |
31 |
| On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness |
0 |
0 |
0 |
42 |
1 |
2 |
9 |
117 |
| On the correlation structure of microstructure noise in theory and practice |
1 |
1 |
1 |
11 |
1 |
1 |
1 |
68 |
| On the network topology of variance decompositions: Measuring the connectedness of financial firms |
0 |
0 |
0 |
121 |
2 |
2 |
24 |
403 |
| On the power of Dickey-Fuller tests against fractional alternatives |
0 |
0 |
0 |
2 |
0 |
0 |
1 |
681 |
| On the solution of dynamic linear rational expectations models |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
534 |
| Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach |
0 |
0 |
0 |
5 |
0 |
0 |
1 |
25 |
| Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach |
0 |
0 |
0 |
18 |
0 |
2 |
2 |
33 |
| Optimal Prediction Under Asymmetric Loss |
0 |
0 |
0 |
127 |
1 |
2 |
4 |
440 |
| Optimal Prediction Under Asymmetric Loss |
0 |
0 |
0 |
77 |
0 |
0 |
4 |
357 |
| Optimal Prediction Under Asymmetric Loss |
0 |
0 |
0 |
259 |
0 |
0 |
0 |
1,082 |
| Optimal prediction under asymmetric loss |
0 |
0 |
1 |
293 |
0 |
0 |
4 |
1,020 |
| Parametric and Nonparametric Volatility Measurement |
0 |
0 |
5 |
830 |
0 |
0 |
9 |
2,110 |
| Parametric and Nonparametric Volatility Measurement |
0 |
0 |
0 |
692 |
0 |
1 |
6 |
1,605 |
| Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management |
0 |
0 |
0 |
1 |
0 |
2 |
4 |
857 |
| Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management |
0 |
1 |
1 |
636 |
0 |
1 |
5 |
1,235 |
| Post-deregulation deposit rate pricing: the multivariate dynamics |
0 |
0 |
0 |
1 |
0 |
1 |
4 |
506 |
| Practical Volatility and Correlation Modeling for Financial Market Risk Management |
0 |
1 |
3 |
421 |
0 |
2 |
7 |
898 |
| Practical Volatility and Correlation Modeling for Financial Market Risk Management |
0 |
0 |
0 |
569 |
0 |
0 |
4 |
1,190 |
| Practical volatility and correlation modeling for financial market risk management |
2 |
2 |
2 |
397 |
2 |
2 |
4 |
853 |
| Priors from Frequency-Domain Dummy Observations |
0 |
0 |
1 |
36 |
0 |
1 |
4 |
95 |
| Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections |
0 |
0 |
0 |
8 |
0 |
1 |
2 |
35 |
| Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections |
0 |
0 |
0 |
15 |
0 |
0 |
1 |
24 |
| Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections |
0 |
0 |
2 |
11 |
0 |
0 |
2 |
24 |
| Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections |
0 |
0 |
0 |
2 |
1 |
1 |
1 |
27 |
| Random walks versus fractional integration: power comparisons of scalar and joint tests of the variance-time function |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
436 |
| Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think |
1 |
1 |
1 |
815 |
4 |
5 |
5 |
2,197 |
| Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing |
1 |
2 |
2 |
1,607 |
1 |
2 |
4 |
3,605 |
| Real exchange rates under the gold standard |
0 |
0 |
1 |
252 |
0 |
1 |
4 |
1,599 |
| Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility |
0 |
0 |
1 |
2 |
0 |
2 |
4 |
32 |
| Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility |
0 |
0 |
0 |
105 |
0 |
0 |
1 |
145 |
| Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions |
0 |
0 |
0 |
102 |
0 |
1 |
2 |
350 |
| Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions |
0 |
0 |
0 |
123 |
0 |
0 |
5 |
324 |
| Real-Time Measurement of Business Conditions |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
629 |
| Real-Time Measurement of Business Conditions |
1 |
1 |
2 |
109 |
1 |
2 |
5 |
299 |
| Real-Time Measurement of Business Conditions |
0 |
0 |
0 |
91 |
2 |
3 |
3 |
285 |
| Real-Time Measurement of Business Conditions, Second Version |
0 |
0 |
0 |
120 |
0 |
0 |
1 |
255 |
| Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange |
0 |
0 |
0 |
122 |
1 |
1 |
1 |
380 |
| Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange |
0 |
0 |
0 |
236 |
0 |
0 |
1 |
742 |
| Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange |
0 |
0 |
0 |
198 |
0 |
0 |
0 |
1,120 |
| Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets |
0 |
0 |
1 |
149 |
0 |
1 |
8 |
508 |
| Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets |
0 |
0 |
0 |
181 |
0 |
0 |
1 |
801 |
| Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets |
0 |
0 |
0 |
218 |
1 |
2 |
5 |
674 |
| Real-Time Real Economic Activity: Entering and Exiting the Pandemic Recession of 2020 |
0 |
0 |
0 |
7 |
0 |
1 |
1 |
41 |
| Real-Time Real Economic Activity: Exiting the Great Recession and Entering the Pandemic Recession |
0 |
0 |
0 |
21 |
0 |
2 |
5 |
74 |
| Real-Time Real Economic Activity:Entering and Exiting the Pandemic Recession of 2020 |
0 |
0 |
1 |
11 |
0 |
0 |
3 |
31 |
| Real-Time Real Economic Activity:Exiting the Great Recession and Entering the Pandemic Recession |
0 |
0 |
1 |
40 |
0 |
0 |
4 |
59 |
| Real-time forecast evaluation of DSGE models with stochastic volatility |
1 |
1 |
1 |
74 |
1 |
1 |
5 |
85 |
| Real-time macroeconomic monitoring: real activity, inflation, and interactions |
0 |
0 |
0 |
40 |
1 |
4 |
8 |
213 |
| Real-time measurement of business conditions |
0 |
0 |
0 |
174 |
0 |
1 |
1 |
633 |
| Real-time measurement of business conditions |
1 |
1 |
3 |
148 |
2 |
4 |
10 |
346 |
| Real-time price discovery in global stock, bond and foreign exchange markets |
0 |
0 |
2 |
278 |
0 |
2 |
6 |
1,002 |
| Real-time price discovery in stock, bond and foreign exchange markets |
1 |
1 |
1 |
144 |
1 |
2 |
2 |
558 |
| Realized Beta: Persistence and Predictability |
0 |
0 |
2 |
516 |
2 |
4 |
8 |
918 |
| Realized beta: Persistence and predictability |
1 |
1 |
2 |
220 |
1 |
2 |
9 |
637 |
| Regime switching with time-varying transition probabilities |
0 |
0 |
0 |
10 |
1 |
4 |
19 |
2,404 |
| Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility |
0 |
0 |
4 |
167 |
0 |
4 |
18 |
558 |
| Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility |
1 |
1 |
1 |
355 |
1 |
2 |
8 |
987 |
| Scoring the leading indicators |
0 |
0 |
0 |
1 |
0 |
1 |
2 |
1,041 |
| Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility |
0 |
0 |
1 |
163 |
1 |
2 |
5 |
531 |
| Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility |
0 |
0 |
0 |
354 |
0 |
1 |
3 |
1,022 |
| Stamp 5.0: A Review |
0 |
0 |
0 |
143 |
0 |
0 |
1 |
584 |
| State space modeling of time series: a review essay |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
1,175 |
| Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence |
0 |
0 |
0 |
106 |
0 |
0 |
3 |
353 |
| Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence |
0 |
0 |
0 |
181 |
1 |
2 |
9 |
409 |
| Stock returns and expected business conditions: Half a century of direct evidence |
1 |
1 |
1 |
113 |
1 |
1 |
1 |
378 |
| Structural change and the combination of forecasts |
0 |
0 |
0 |
2 |
1 |
1 |
2 |
592 |
| Temporal aggregation of ARCH processes and the distribution of asset returns |
0 |
0 |
0 |
0 |
1 |
2 |
3 |
319 |
| Testing structural stability with endogenous break point: a size comparison of analytic and bootstrap procedures |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
580 |
| The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models |
0 |
0 |
0 |
229 |
0 |
7 |
9 |
648 |
| The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models |
0 |
0 |
0 |
152 |
0 |
0 |
1 |
423 |
| The Distribution of Exchange Rate Volatility |
1 |
1 |
2 |
531 |
1 |
2 |
3 |
1,315 |
| The Distribution of Exchange Rate Volatility |
0 |
1 |
1 |
323 |
0 |
1 |
2 |
860 |
| The Distribution of Exchange Rate Volatility |
1 |
1 |
1 |
552 |
1 |
2 |
6 |
1,445 |
| The Distribution of Stock Return Volatility |
0 |
0 |
0 |
839 |
0 |
1 |
2 |
2,236 |
| The Distribution of Stock Return Volatility |
0 |
0 |
0 |
906 |
0 |
0 |
7 |
2,400 |
| The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach |
0 |
1 |
5 |
495 |
0 |
2 |
14 |
1,338 |
| The Macroeconomy and the Yield Curve: A Nonstructural Analysis |
0 |
1 |
1 |
151 |
0 |
1 |
4 |
485 |
| The Macroeconomy and the Yield Curve: A Nonstructural Analysis |
0 |
0 |
0 |
332 |
0 |
2 |
3 |
934 |
| The Nobel Memorial Prize for Robert F. Engle |
0 |
0 |
0 |
61 |
0 |
0 |
2 |
296 |
| The Nobel Memorial Prize for Robert F. Engle |
0 |
0 |
0 |
148 |
0 |
1 |
4 |
607 |
| The Nobel Memorial Prize for Robert F. Engle |
0 |
0 |
0 |
145 |
0 |
0 |
14 |
535 |
| The Past, Present, and Future of Macroeconomic Forecasting |
0 |
0 |
0 |
288 |
1 |
1 |
4 |
942 |
| The affine arbitrage-free class of Nelson-Siegel term structure models |
0 |
0 |
1 |
198 |
0 |
1 |
4 |
578 |
| The dynamics of exchange rate volatility: a multivariate latent factor ARCH model |
0 |
0 |
0 |
1 |
0 |
1 |
6 |
824 |
| The macroeconomy and the yield curve: a nonstructural analysis |
0 |
0 |
0 |
26 |
0 |
1 |
2 |
69 |
| The past, present, and future of macroeconomic forecasting |
0 |
0 |
1 |
379 |
0 |
0 |
3 |
1,147 |
| The use of prior information in forecast combination |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
499 |
| Time Series Analysis |
1 |
1 |
2 |
1,105 |
1 |
3 |
11 |
1,787 |
| Time Series Analysis |
2 |
2 |
2 |
144 |
3 |
3 |
7 |
387 |
| Unit Root Tests Are Useful for Selecting Forecasting Models |
0 |
0 |
0 |
409 |
0 |
1 |
2 |
1,450 |
| Unit Root Tests are Useful for Selecting Forecasting Models |
0 |
0 |
0 |
313 |
0 |
1 |
3 |
693 |
| Unit roots in economic time series: a selective survey |
0 |
0 |
0 |
3 |
1 |
1 |
13 |
1,199 |
| Volatility Forecasting |
0 |
0 |
2 |
950 |
0 |
2 |
7 |
1,273 |
| Volatility Forecasting |
0 |
0 |
4 |
561 |
0 |
0 |
13 |
1,000 |
| Volatility forecasting |
1 |
1 |
3 |
338 |
1 |
2 |
9 |
735 |
| Weather Forecasting for Weather Derivatives |
0 |
1 |
1 |
665 |
0 |
1 |
2 |
1,733 |
| Weather Forecasting for Weather Derivatives |
0 |
0 |
0 |
300 |
1 |
3 |
6 |
1,039 |
| Weather forecasting for weather derivatives |
1 |
1 |
1 |
328 |
1 |
2 |
4 |
840 |
| When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume |
0 |
0 |
0 |
11 |
1 |
2 |
5 |
56 |
| When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume |
0 |
0 |
0 |
48 |
0 |
0 |
0 |
26 |
| When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume |
0 |
0 |
0 |
1 |
0 |
1 |
3 |
12 |
| Why Are Estimates of Agricultural Supply Response So Variable? |
0 |
0 |
0 |
140 |
0 |
0 |
1 |
432 |
| Why Are Estimates of Agricultural Supply Response so Variable? |
0 |
0 |
0 |
11 |
0 |
0 |
1 |
21 |
| Why are estimates of agricultural supply response so variable? |
0 |
0 |
0 |
194 |
0 |
0 |
0 |
684 |
| Total Working Papers |
64 |
115 |
402 |
64,959 |
137 |
477 |
1,724 |
211,456 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Framework for Exploring the Macroeconomic Determinants of Systematic Risk |
0 |
0 |
0 |
106 |
0 |
1 |
2 |
488 |
| A Markov-switching multifractal inter-trade duration model, with application to US equities |
0 |
0 |
0 |
49 |
0 |
0 |
2 |
207 |
| A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations |
0 |
0 |
0 |
77 |
0 |
1 |
2 |
443 |
| A Nonparametric Investigation of Duration Dependence in the American Business Cycle |
0 |
1 |
1 |
182 |
0 |
2 |
3 |
575 |
| A benchmark model for fixed-target Arctic sea ice forecasting |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
10 |
| A new test for market efficiency and uncovered interest parity |
0 |
0 |
0 |
1 |
0 |
0 |
2 |
7 |
| An Application of Operational-Subjective Statistical Methods to Rational Expectations: Comment |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
118 |
| An arbitrage-free generalized Nelson--Siegel term structure model |
0 |
0 |
0 |
138 |
0 |
1 |
6 |
549 |
| Are long expansions followed by short contractions? |
0 |
0 |
0 |
2 |
0 |
0 |
2 |
239 |
| Assessing and comparing fixed-target forecasts of Arctic sea ice: Glide charts for feature-engineered linear regression and machine learning models |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
| Assessing point forecast accuracy by stochastic error distance |
0 |
0 |
0 |
2 |
0 |
0 |
0 |
15 |
| Assessing point forecast accuracy by stochastic loss distance |
0 |
0 |
0 |
10 |
0 |
1 |
2 |
46 |
| Better to give than to receive: Predictive directional measurement of volatility spillovers |
9 |
18 |
61 |
627 |
33 |
62 |
186 |
1,839 |
| Bonded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers |
0 |
1 |
1 |
145 |
0 |
1 |
4 |
1,150 |
| Bootstrapping Multivariate Spectra |
0 |
0 |
0 |
49 |
0 |
1 |
3 |
201 |
| Climate models underestimate the sensitivity of Arctic sea ice to carbon emissions |
0 |
0 |
2 |
2 |
0 |
1 |
10 |
10 |
| Cointegration and Long-Horizon Forecasting |
0 |
0 |
0 |
0 |
1 |
1 |
5 |
456 |
| Comment |
0 |
0 |
0 |
11 |
0 |
0 |
1 |
47 |
| Comparing Predictive Accuracy |
0 |
0 |
0 |
0 |
37 |
72 |
373 |
7,076 |
| Comparing Predictive Accuracy |
0 |
0 |
0 |
0 |
4 |
14 |
77 |
3,246 |
| Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests |
0 |
0 |
10 |
58 |
1 |
1 |
34 |
208 |
| Discussion: The effect of seasonal adjustment filters on tests for a unit root |
0 |
0 |
0 |
10 |
0 |
0 |
2 |
60 |
| Dynamic Equilibrium Economies: A Framework for Comparing Models and Data |
0 |
0 |
0 |
86 |
0 |
1 |
3 |
348 |
| Econometrics: Retrospect and prospect |
0 |
0 |
0 |
24 |
0 |
0 |
1 |
112 |
| Endogenous risk in a portfolio-balance rational-expectations model of the Deutschemark-Dollar rate |
0 |
0 |
0 |
15 |
0 |
0 |
4 |
82 |
| Equity Market Spillovers in the Americas |
1 |
1 |
1 |
126 |
1 |
2 |
5 |
412 |
| Estimating global bank network connectedness |
1 |
2 |
4 |
58 |
4 |
8 |
20 |
224 |
| Evaluating Density Forecasts with Applications to Financial Risk Management |
0 |
0 |
0 |
2 |
1 |
3 |
22 |
2,039 |
| Exact maximum-likelihood estimation of autoregressive models via the Kalman filter |
0 |
0 |
0 |
207 |
0 |
0 |
0 |
403 |
| Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian |
0 |
0 |
3 |
17 |
1 |
5 |
16 |
134 |
| Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics |
0 |
0 |
1 |
52 |
1 |
3 |
7 |
286 |
| Five questions about business cycles |
0 |
0 |
1 |
384 |
0 |
2 |
9 |
1,771 |
| Forecast combination and encompassing: Reconciling two divergent literatures |
1 |
1 |
1 |
86 |
1 |
1 |
1 |
205 |
| Forecasting and empirical methods in finance and macroeconomics |
0 |
0 |
3 |
71 |
0 |
1 |
7 |
186 |
| Forecasting the term structure of government bond yields |
1 |
6 |
28 |
500 |
8 |
33 |
114 |
1,982 |
| Forecasting, Structural Time Series Models and the Kalman Filter, Andrew C. Harvey Cambridge University Press, 1939 - Fore Casting, Structural Time Series Models and The Kalman FilterAdrew C. Harvey Cambridge University Press, 1989 |
0 |
0 |
0 |
88 |
0 |
1 |
2 |
239 |
| Fractional integration and interval prediction |
0 |
0 |
0 |
31 |
0 |
1 |
2 |
123 |
| From the horse’s mouth: gauging conditional expected stock returns from investor surveys |
0 |
0 |
0 |
12 |
0 |
0 |
3 |
84 |
| Further Results on Forecasting and Model Selection under Asymmetric Loss |
0 |
0 |
0 |
194 |
0 |
0 |
0 |
657 |
| Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach |
1 |
1 |
5 |
264 |
1 |
4 |
20 |
1,054 |
| Globalization, the Business Cycle, and Macroeconomic Monitoring |
0 |
1 |
1 |
35 |
1 |
3 |
5 |
166 |
| Has the EMS Reduced Member-Country Exchange Rate Volatility? |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
158 |
| Have Postwar Economic Fluctuations Been Stabilized? |
0 |
0 |
0 |
54 |
0 |
1 |
2 |
380 |
| Horizon problems and extreme events in financial risk management |
0 |
0 |
0 |
190 |
0 |
0 |
1 |
757 |
| How Relevant is Volatility Forecasting for Financial Risk Management? |
0 |
0 |
2 |
346 |
1 |
1 |
7 |
1,112 |
| Improving GDP measurement: A measurement-error perspective |
1 |
1 |
4 |
81 |
1 |
2 |
14 |
365 |
| Is Consumption Too Smooth? Long Memory and the Deaton Paradox |
0 |
0 |
1 |
157 |
0 |
1 |
3 |
527 |
| Job Stability in the United States |
0 |
0 |
2 |
201 |
0 |
1 |
4 |
1,604 |
| Long memory and persistence in aggregate output |
0 |
0 |
2 |
160 |
0 |
0 |
4 |
363 |
| Long memory and regime switching |
0 |
0 |
0 |
279 |
0 |
1 |
3 |
777 |
| Machine learning for regularized survey forecast combination: Partially-egalitarian LASSO and its derivatives |
0 |
1 |
9 |
32 |
4 |
9 |
26 |
116 |
| Measuring Business Cycles: A Modern Perspective |
2 |
5 |
16 |
501 |
4 |
12 |
47 |
1,663 |
| Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets |
0 |
0 |
0 |
654 |
3 |
18 |
77 |
2,298 |
| Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets |
2 |
5 |
23 |
56 |
7 |
19 |
52 |
148 |
| Measuring predictability: theory and macroeconomic applications |
0 |
0 |
1 |
222 |
2 |
2 |
5 |
836 |
| Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange |
2 |
4 |
9 |
586 |
7 |
19 |
46 |
1,929 |
| Modeling Bond Yields in Finance and Macroeconomics |
1 |
1 |
2 |
249 |
1 |
4 |
6 |
787 |
| Modeling and Forecasting Realized Volatility |
0 |
0 |
0 |
1,158 |
1 |
8 |
32 |
3,643 |
| Multivariate Density Forecast Evaluation And Calibration In Financial Risk Management: High-Frequency Returns On Foreign Exchange |
0 |
0 |
1 |
255 |
0 |
0 |
3 |
680 |
| Nonparametric exchange rate prediction? |
0 |
2 |
6 |
493 |
0 |
2 |
9 |
1,341 |
| On Cointegration and Exchange Rate Dynamics |
0 |
0 |
2 |
233 |
0 |
1 |
7 |
692 |
| On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean |
0 |
0 |
1 |
69 |
0 |
0 |
4 |
221 |
| On the Comparison of Interval Forecasts |
0 |
0 |
0 |
3 |
0 |
0 |
1 |
30 |
| On the Correlation Structure of Microstructure Noise: A Financial Economic Approach |
0 |
0 |
1 |
42 |
1 |
1 |
3 |
224 |
| On the aggregation of probability assessments: Regularized mixtures of predictive densities for Eurozone inflation and real interest rates |
0 |
2 |
2 |
2 |
1 |
4 |
8 |
10 |
| On the network topology of variance decompositions: Measuring the connectedness of financial firms |
2 |
5 |
46 |
828 |
9 |
29 |
153 |
2,349 |
| On the power of Dickey-Fuller tests against fractional alternatives |
0 |
0 |
2 |
153 |
0 |
1 |
3 |
384 |
| Optimal Prediction Under Asymmetric Loss |
0 |
0 |
1 |
72 |
0 |
0 |
2 |
247 |
| Optimal combination of Arctic sea ice extent measures: A dynamic factor modeling approach |
0 |
0 |
0 |
2 |
0 |
0 |
1 |
10 |
| Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management |
0 |
1 |
1 |
1 |
0 |
2 |
3 |
4 |
| Post-deregulation Bank-Deposit-Rate Pricing: The Multivariate Dynamics |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
776 |
| Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I) |
0 |
0 |
1 |
8 |
0 |
0 |
2 |
22 |
| Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I) |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
3 |
| Probability assessments of an ice-free Arctic: Comparing statistical and climate model projections |
0 |
0 |
0 |
1 |
0 |
1 |
4 |
12 |
| Range‐Based Estimation of Stochastic Volatility Models |
0 |
0 |
2 |
136 |
1 |
2 |
11 |
469 |
| Ratings migration and the business cycle, with application to credit portfolio stress testing |
0 |
0 |
1 |
465 |
0 |
0 |
12 |
1,117 |
| Real Exchange Rates under the Gold Standard |
0 |
0 |
1 |
285 |
1 |
1 |
2 |
1,621 |
| Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions |
0 |
0 |
0 |
130 |
0 |
1 |
5 |
521 |
| Real-Time Measurement of Business Conditions |
0 |
1 |
5 |
330 |
2 |
4 |
29 |
960 |
| Real-time forecast evaluation of DSGE models with stochastic volatility |
0 |
0 |
1 |
14 |
0 |
0 |
3 |
80 |
| Real-time price discovery in global stock, bond and foreign exchange markets |
0 |
1 |
2 |
356 |
1 |
5 |
23 |
1,210 |
| Rejoinder |
0 |
0 |
0 |
3 |
0 |
0 |
4 |
37 |
| Reprint of: On the network topology of variance decompositions: Measuring the connectedness of financial firms |
0 |
0 |
0 |
7 |
1 |
2 |
9 |
31 |
| Reprint of: When will Arctic sea ice disappear? Projections of area, extent, thickness, and volume |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
| Robust estimation - discussion |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
50 |
| Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility |
2 |
6 |
24 |
684 |
4 |
11 |
65 |
1,870 |
| Scoring the Leading Indicators |
1 |
1 |
5 |
766 |
2 |
3 |
9 |
1,731 |
| Serial Correlation and the Combination of Forecasts |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
391 |
| Shorter recessions and longer expansions |
0 |
0 |
0 |
36 |
0 |
0 |
1 |
505 |
| Software review |
0 |
0 |
0 |
8 |
0 |
1 |
2 |
116 |
| State space modeling of time series: A review essay |
0 |
0 |
0 |
163 |
0 |
0 |
0 |
339 |
| Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence |
0 |
1 |
1 |
129 |
0 |
1 |
4 |
427 |
| Stock returns and expected business conditions: half a century of direct evidence |
0 |
0 |
0 |
23 |
1 |
1 |
2 |
143 |
| Structural Time Series Analysis and Modelling Package: A Review |
0 |
0 |
0 |
101 |
0 |
0 |
1 |
403 |
| Structural change and the combination of forecasts |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
4 |
| Symposium on Forecasting Performance: An Introduction |
0 |
0 |
0 |
49 |
0 |
1 |
2 |
164 |
| Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance: Editors' Introduction |
0 |
0 |
0 |
1 |
1 |
2 |
3 |
283 |
| THE ET INTERVIEW: PROFESSOR ROBERT F. ENGLE, JANUARY 2003 |
0 |
0 |
0 |
21 |
0 |
1 |
1 |
75 |
| Testing for bubbles, reflecting barriers and other anomalies |
0 |
0 |
0 |
8 |
0 |
0 |
0 |
45 |
| Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures |
0 |
1 |
1 |
205 |
0 |
1 |
6 |
471 |
| The Distribution of Realized Exchange Rate Volatility |
0 |
2 |
4 |
210 |
0 |
5 |
14 |
667 |
| The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model |
0 |
0 |
3 |
748 |
0 |
1 |
7 |
1,598 |
| The Nobel Memorial Prize for Robert F. Engle |
0 |
0 |
0 |
35 |
0 |
1 |
3 |
407 |
| The Past, Present, and Future of Macroeconomic Forecasting |
0 |
0 |
0 |
180 |
0 |
2 |
2 |
790 |
| The Uncertain Unit Root in Real GNP: Comment |
0 |
0 |
0 |
99 |
0 |
0 |
0 |
397 |
| The affine arbitrage-free class of Nelson-Siegel term structure models |
3 |
9 |
19 |
430 |
4 |
12 |
52 |
1,310 |
| The distribution of realized stock return volatility |
0 |
1 |
3 |
859 |
0 |
9 |
27 |
2,215 |
| The econometrics of macroeconomics, finance, and the interface |
0 |
1 |
1 |
437 |
0 |
1 |
2 |
824 |
| The exact initial covariance matrix of the state vector of a general MA(q) process |
0 |
0 |
0 |
25 |
0 |
0 |
1 |
148 |
| The macroeconomy and the yield curve: a dynamic latent factor approach |
1 |
2 |
13 |
611 |
8 |
13 |
63 |
1,884 |
| The use of prior information in forecast combination |
0 |
0 |
2 |
125 |
0 |
0 |
3 |
280 |
| Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014 |
0 |
1 |
4 |
77 |
0 |
1 |
12 |
224 |
| Unit-Root Tests Are Useful for Selecting Forecasting Models |
0 |
0 |
0 |
0 |
0 |
2 |
3 |
668 |
| Weather Forecasting for Weather Derivatives |
0 |
2 |
3 |
97 |
0 |
2 |
5 |
344 |
| When will Arctic sea ice disappear? Projections of area, extent, thickness, and volume |
0 |
0 |
1 |
2 |
0 |
0 |
3 |
10 |
| Why are estimates of agricultural supply response so variable? |
0 |
0 |
0 |
47 |
0 |
1 |
1 |
209 |
| Total Journal Articles |
31 |
88 |
354 |
18,711 |
164 |
458 |
1,895 |
77,006 |
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