| 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 |
1 |
2 |
5 |
158 |
1 |
2 |
14 |
109 |
| (Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation |
2 |
2 |
6 |
970 |
10 |
28 |
49 |
1,793 |
| A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting |
0 |
0 |
1 |
21 |
0 |
0 |
6 |
31 |
| A Benchmark Model for Fixed-Target Arctic Sea Ice Forecasting |
0 |
0 |
1 |
10 |
0 |
1 |
5 |
25 |
| A Framework for Exploring the Macroeconomic Determinants of Systematic Risk |
0 |
0 |
1 |
207 |
2 |
6 |
19 |
564 |
| A Framework for Exploring the Macroeconomic Determinants of Systematic Risk |
0 |
0 |
0 |
187 |
3 |
9 |
28 |
472 |
| A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities |
0 |
0 |
1 |
32 |
0 |
0 |
3 |
137 |
| A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities |
0 |
1 |
1 |
65 |
0 |
1 |
1 |
196 |
| A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
23 |
| A New Test for Market Efficiency and Uncovered Interest Parity |
0 |
1 |
20 |
20 |
0 |
1 |
14 |
14 |
| A New Test for Market Efficiency and Uncovered Interest Parity |
0 |
0 |
10 |
10 |
0 |
0 |
14 |
14 |
| A New Test forMarket Efficiency and Uncovered Interest Parity |
2 |
2 |
7 |
7 |
3 |
9 |
22 |
22 |
| A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations |
0 |
0 |
0 |
136 |
0 |
0 |
0 |
368 |
| A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations |
0 |
0 |
0 |
155 |
0 |
0 |
1 |
359 |
| A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations |
0 |
0 |
0 |
26 |
1 |
1 |
4 |
163 |
| A Personal Perspective on the Origin(s) and Development of “Big Data": The Phenomenon, the Term, and the Discipline, Second Version |
0 |
0 |
8 |
149 |
2 |
6 |
30 |
434 |
| A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration |
0 |
0 |
0 |
617 |
0 |
0 |
4 |
1,855 |
| A framework for exploring the macroeconomic determinants of systematic risk |
0 |
0 |
1 |
183 |
2 |
4 |
9 |
527 |
| A no-arbitrage approach to range-based estimation of return covariances and correlations |
0 |
0 |
1 |
138 |
0 |
0 |
3 |
345 |
| A nonparametric investigation of duration dependence in the American business cycle |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
361 |
| An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model |
0 |
1 |
1 |
187 |
0 |
1 |
4 |
521 |
| An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model |
0 |
1 |
1 |
104 |
0 |
1 |
2 |
327 |
| 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 |
0 |
333 |
0 |
0 |
1 |
792 |
| Assessing Point Forecast Accuracy by Stochastic Error Distance |
0 |
0 |
0 |
53 |
0 |
0 |
1 |
40 |
| 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 |
2 |
2 |
0 |
0 |
2 |
2 |
| Assessing and Comparing Fixed-Target Forecasts of Arctic Sea Ice:Glide Charts for Feature-Engineered Linear Regression and Machine Learning Models |
0 |
0 |
45 |
45 |
0 |
0 |
2 |
2 |
| Asset Return Volatility, High-Frequency Data, and the New Financial Econometrics |
0 |
0 |
0 |
7 |
0 |
0 |
0 |
495 |
| Beating the Simple Average: Egalitarian LASSO for Combining Economic Forecasts |
1 |
1 |
2 |
69 |
2 |
3 |
5 |
60 |
| Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers |
18 |
33 |
106 |
1,582 |
41 |
102 |
323 |
3,675 |
| Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers |
0 |
0 |
0 |
272 |
0 |
1 |
1 |
1,505 |
| Bounded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers |
0 |
0 |
0 |
211 |
0 |
0 |
3 |
796 |
| Bounded rationality and strategic complementarity in a macroeconomic model: policy effects, persistence, and multipliers |
0 |
0 |
0 |
2 |
0 |
0 |
2 |
455 |
| Cointegration and Long-Horizon Forecasting |
0 |
0 |
0 |
196 |
0 |
0 |
0 |
481 |
| Cointegration and Long-Horizon Forecasting |
0 |
1 |
1 |
549 |
0 |
1 |
2 |
1,743 |
| Cointegration and long-horizon forecasting |
0 |
0 |
0 |
616 |
0 |
0 |
2 |
1,564 |
| Commodity Connectedness |
1 |
1 |
1 |
14 |
2 |
3 |
7 |
42 |
| Commodity Connectedness |
0 |
0 |
7 |
108 |
1 |
4 |
22 |
308 |
| Commodity connectedness |
0 |
1 |
1 |
20 |
1 |
3 |
7 |
80 |
| Comparing Predictive Accuracy |
4 |
7 |
33 |
1,853 |
11 |
24 |
85 |
4,434 |
| Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests |
0 |
0 |
0 |
354 |
0 |
0 |
2 |
364 |
| Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests |
0 |
1 |
1 |
49 |
0 |
1 |
10 |
180 |
| Comparing predictive accuracy I: an asymptotic test |
3 |
4 |
24 |
199 |
6 |
11 |
56 |
1,189 |
| Conditional heteroskedasticity in the market |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
393 |
| Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think |
1 |
1 |
3 |
409 |
1 |
1 |
10 |
1,467 |
| Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again |
0 |
0 |
0 |
303 |
0 |
0 |
1 |
1,676 |
| Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again |
0 |
0 |
2 |
472 |
0 |
1 |
6 |
3,469 |
| Deviations from random-walk behavior: tests based on the variance-time function |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
462 |
| Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence |
0 |
0 |
0 |
9 |
0 |
1 |
1 |
81 |
| Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence |
0 |
0 |
0 |
421 |
0 |
2 |
4 |
964 |
| Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence |
0 |
0 |
0 |
11 |
0 |
0 |
1 |
91 |
| Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore |
0 |
0 |
0 |
101 |
0 |
0 |
1 |
292 |
| Does the business cycle have duration memory? |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
280 |
| Dynamic Equilibrium Economies: A Framework for Comparing Models and Data |
0 |
0 |
0 |
211 |
0 |
0 |
3 |
1,586 |
| Dynamic equilibrium economies: a framework for comparing models and data |
0 |
0 |
0 |
91 |
0 |
0 |
1 |
625 |
| Dynamic equilibrium economies: a framework for comparing models and data |
0 |
0 |
0 |
154 |
0 |
1 |
2 |
1,144 |
| Dynamic equilibrium economies: a framework for comparing models and data |
0 |
0 |
0 |
139 |
0 |
0 |
1 |
610 |
| Estimating Global Bank Network Connectedness |
0 |
0 |
3 |
59 |
1 |
1 |
12 |
173 |
| Estimating Global Bank Network Connectedness |
1 |
1 |
3 |
9 |
2 |
6 |
18 |
70 |
| Estimating Global Bank Network Connectedness |
0 |
2 |
3 |
552 |
2 |
7 |
20 |
1,215 |
| Evaluating Density Forecasts |
0 |
0 |
0 |
189 |
0 |
0 |
3 |
540 |
| Evaluating Density Forecasts |
0 |
0 |
1 |
69 |
0 |
0 |
6 |
366 |
| Evaluating Density Forecasts |
0 |
2 |
4 |
382 |
0 |
3 |
11 |
1,282 |
| Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
647 |
| Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters |
0 |
0 |
1 |
267 |
0 |
0 |
1 |
1,242 |
| Evaluating density forecasts |
0 |
0 |
0 |
257 |
0 |
1 |
5 |
850 |
| Ex ante turning point forecasting with the composite leading index |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
570 |
| 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 |
1 |
1 |
1 |
769 |
| Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian |
0 |
0 |
0 |
303 |
1 |
4 |
27 |
1,099 |
| Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian |
0 |
0 |
2 |
492 |
0 |
0 |
3 |
1,597 |
| Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian |
0 |
0 |
0 |
304 |
3 |
7 |
11 |
828 |
| Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics |
0 |
0 |
1 |
228 |
0 |
0 |
1 |
667 |
| Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics |
1 |
1 |
1 |
207 |
1 |
2 |
2 |
581 |
| Financial Asset Returns, Market Timing, and Volatility Dynamics |
0 |
1 |
2 |
576 |
0 |
1 |
2 |
1,940 |
| Financial Risk Management in a Volatile Global Environment |
0 |
0 |
1 |
715 |
0 |
0 |
5 |
2,160 |
| Financial Risk Measurement for Financial Risk Management |
2 |
2 |
4 |
241 |
4 |
5 |
17 |
525 |
| Financial Risk Measurement for Financial Risk Management |
1 |
1 |
2 |
178 |
1 |
2 |
14 |
515 |
| Financial Risk Measurement for Financial Risk Management |
0 |
3 |
5 |
203 |
4 |
8 |
16 |
573 |
| Financial asset returns, direction-of-change forecasting, and volatility dynamics |
1 |
1 |
2 |
214 |
1 |
1 |
6 |
416 |
| Forecast Evaluation and Combination |
0 |
0 |
1 |
1,074 |
0 |
0 |
4 |
3,142 |
| Forecast combination and encompassing: reconciling two divergent literatures |
0 |
0 |
0 |
0 |
1 |
2 |
2 |
508 |
| Forecast evaluation and combination |
0 |
0 |
1 |
516 |
0 |
2 |
14 |
1,524 |
| Forecasting output with the composite leading index: an ex ante analysis |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
1,025 |
| Forecasting the Term Structure of Government Bond Yields |
0 |
0 |
1 |
832 |
0 |
0 |
7 |
2,253 |
| Forecasting the Term Structure of Government Bond Yields |
0 |
0 |
0 |
895 |
0 |
0 |
4 |
2,123 |
| Forecasting the term structure of government bond yields |
0 |
1 |
8 |
822 |
0 |
2 |
24 |
1,961 |
| Further Results on Forecasting and Model Selection Under Asymmetric Loss |
0 |
0 |
0 |
184 |
0 |
0 |
0 |
483 |
| Further evidence on business cycle duration dependence |
0 |
0 |
0 |
0 |
0 |
2 |
2 |
402 |
| Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach |
0 |
0 |
1 |
357 |
0 |
0 |
2 |
883 |
| Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach |
0 |
0 |
3 |
178 |
0 |
0 |
8 |
652 |
| Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach |
0 |
0 |
0 |
12 |
0 |
0 |
2 |
63 |
| Globalization, the Business Cycle, and Macroeconomic Monitoring |
0 |
0 |
0 |
195 |
0 |
1 |
4 |
518 |
| Globalization, the Business Cycle, and Macroeconomic Monitoring |
0 |
0 |
0 |
112 |
0 |
0 |
0 |
276 |
| Have postwar economic fluctuations been stabilized? |
0 |
0 |
0 |
62 |
0 |
0 |
0 |
475 |
| Have postwar economic fluctuations been stabilized? |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
365 |
| High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models |
0 |
0 |
0 |
221 |
0 |
0 |
2 |
880 |
| Horizon Problems and Extreme Events in Financial Risk Management |
0 |
1 |
1 |
512 |
0 |
1 |
2 |
1,735 |
| How Relevant is Volatility Forecasting for Financial Risk Management? |
0 |
0 |
1 |
332 |
0 |
1 |
5 |
911 |
| How Relevant is Volatility Forecasting for Financial Risk Management? |
0 |
0 |
1 |
790 |
0 |
0 |
5 |
2,791 |
| How Relevant is Volatility Forecasting for Financial Risk Management? |
0 |
0 |
0 |
597 |
1 |
1 |
2 |
1,576 |
| Improving GDP Measurement: A Forecast Combination Perspective |
0 |
0 |
1 |
79 |
0 |
0 |
3 |
265 |
| Improving GDP Measurement: A Forecast Combination Perspective |
0 |
0 |
1 |
56 |
0 |
1 |
6 |
186 |
| Improving GDP Measurement: A Measurement-Error Perspective |
0 |
0 |
0 |
52 |
1 |
1 |
6 |
163 |
| Improving GDP Measurement: A Measurement-Error Perspective |
0 |
0 |
0 |
69 |
1 |
2 |
7 |
147 |
| Improving GDP measurement: a forecast combination perspective |
0 |
0 |
0 |
71 |
0 |
0 |
0 |
128 |
| Improving GDP measurement: a measurement-error perspective |
1 |
1 |
2 |
45 |
1 |
2 |
7 |
203 |
| International evidence on business cycle duration dependence |
0 |
0 |
1 |
55 |
0 |
2 |
3 |
372 |
| Is consumption too smooth? Long memory and the Deaton paradox |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
1,007 |
| Job Stability in the United States |
0 |
0 |
0 |
158 |
0 |
0 |
2 |
1,300 |
| Long Memory and Regime Switching |
0 |
0 |
0 |
585 |
0 |
0 |
3 |
1,463 |
| Long memory and persistence in aggregate output |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
862 |
| Machine Learning for Regularized Survey Forecast Combination: Partially Egalitarian Lasso and its Derivatives |
0 |
0 |
1 |
38 |
2 |
3 |
4 |
81 |
| Machine Learning for Regularized Survey Forecast Combination: Partially-Egalitarian Lasso and its Derivatives |
0 |
0 |
0 |
71 |
0 |
2 |
4 |
105 |
| Macroeconomic Volatility and Stock Market Volatility, World-Wide |
0 |
0 |
1 |
157 |
0 |
0 |
1 |
373 |
| Macroeconomic Volatility and Stock Market Volatility, Worldwide |
0 |
0 |
1 |
213 |
0 |
2 |
19 |
663 |
| Macroeconomic Volatility and Stock Market Volatility,World-Wide |
0 |
1 |
1 |
960 |
1 |
4 |
10 |
2,466 |
| Measuring Business Cycle: A Modern Perspective |
0 |
0 |
0 |
457 |
0 |
0 |
1 |
1,024 |
| Measuring Business Cycles: A Modern Perspective |
0 |
1 |
2 |
533 |
2 |
5 |
10 |
1,467 |
| Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets |
1 |
1 |
4 |
219 |
5 |
11 |
20 |
619 |
| Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets |
0 |
0 |
2 |
150 |
0 |
2 |
11 |
527 |
| Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets |
0 |
0 |
1 |
170 |
1 |
6 |
23 |
575 |
| Measuring Predictability: Theory And Macroeconomic Applications |
0 |
0 |
0 |
126 |
0 |
0 |
4 |
563 |
| Measuring Predictability: Theory and Macroeconomic Applications |
0 |
0 |
0 |
1 |
0 |
0 |
3 |
625 |
| Measuring Predictability: Theory and Macroeconomic Applications |
0 |
0 |
0 |
51 |
0 |
0 |
3 |
376 |
| Measuring Predictability: Theory and Macroeconomic Applications |
0 |
0 |
0 |
197 |
0 |
0 |
2 |
1,174 |
| Measuring Volatility Dynamics |
0 |
0 |
0 |
504 |
0 |
1 |
1 |
1,956 |
| Measuring financial asset return and volatility spillovers, with application to global equity markets |
0 |
0 |
1 |
24 |
1 |
4 |
17 |
213 |
| Measuring financial asset return and volatility spillovers, with application to global equity markets |
0 |
1 |
3 |
105 |
5 |
11 |
28 |
428 |
| Measuring financial asset return and volatilty spillovers, with application to global equity markets |
1 |
6 |
10 |
37 |
5 |
29 |
47 |
213 |
| Measuring predictability: theory and macroeconomic applications |
0 |
1 |
1 |
166 |
0 |
1 |
8 |
733 |
| Measuring the Dynamics of Global Business Cycle Connectedness |
0 |
0 |
2 |
136 |
0 |
0 |
5 |
423 |
| Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange |
0 |
0 |
1 |
51 |
4 |
10 |
42 |
491 |
| Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange |
1 |
1 |
2 |
477 |
3 |
14 |
46 |
2,232 |
| Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange |
0 |
0 |
1 |
287 |
2 |
16 |
46 |
1,017 |
| Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? |
0 |
0 |
0 |
354 |
0 |
0 |
6 |
1,254 |
| Modeling Bond Yields in Finance and Macroeconomics |
0 |
1 |
1 |
370 |
3 |
9 |
29 |
942 |
| Modeling Bond Yields in Finance and Macroeconomics |
0 |
0 |
0 |
205 |
0 |
0 |
3 |
488 |
| Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management |
0 |
0 |
1 |
524 |
0 |
0 |
10 |
1,320 |
| Modeling Liquidity Risk, With Implications for Traditional Market Risk Measurement and Management |
1 |
1 |
6 |
1,402 |
4 |
9 |
27 |
3,580 |
| Modeling Volatility Dynamics |
0 |
0 |
1 |
372 |
0 |
0 |
3 |
709 |
| Modeling and Forecasting Realized Volatility |
0 |
0 |
2 |
990 |
1 |
6 |
9 |
2,156 |
| Modeling and Forecasting Realized Volatility |
0 |
0 |
1 |
788 |
2 |
9 |
27 |
1,874 |
| Modeling and Forecasting Realized Volatility |
1 |
1 |
3 |
1,254 |
2 |
4 |
15 |
2,958 |
| Modeling bond yields in finance and macroeconomics |
1 |
1 |
3 |
269 |
2 |
6 |
21 |
707 |
| Modeling bond yields in finance and macroeconomics |
0 |
0 |
1 |
253 |
2 |
2 |
4 |
623 |
| Modeling volatility dynamics |
0 |
0 |
4 |
408 |
0 |
0 |
4 |
998 |
| Near-rationality and strategic complementarity in a macroeconomic model: policy effects, persistence and multipliers |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
155 |
| Nonparametric exchange rate prediction? |
0 |
0 |
0 |
3 |
0 |
0 |
1 |
1,462 |
| On Robust Inference in Time Series Regression |
2 |
2 |
13 |
13 |
2 |
3 |
24 |
24 |
| On Robust Inference in Time Series Regression |
1 |
1 |
121 |
121 |
2 |
2 |
28 |
28 |
| On cointegration and exchange rate dynamics |
0 |
0 |
0 |
3 |
0 |
0 |
3 |
527 |
| On comparing information in forecasts from econometric models: a comment on Fair and Shiller |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
153 |
| On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean |
0 |
0 |
0 |
1 |
0 |
0 |
2 |
256 |
| On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean |
0 |
0 |
1 |
85 |
0 |
0 |
2 |
676 |
| 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 |
21 |
| On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates |
0 |
1 |
1 |
12 |
0 |
1 |
2 |
25 |
| On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates |
0 |
1 |
1 |
10 |
0 |
2 |
5 |
11 |
| On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates |
0 |
0 |
0 |
0 |
0 |
2 |
4 |
29 |
| On the Comparison of Interval Forecasts |
1 |
1 |
2 |
45 |
1 |
1 |
8 |
79 |
| On the Correlation Structure of Microstructure Noise in Theory and Practice |
0 |
0 |
0 |
90 |
0 |
0 |
0 |
278 |
| On the Correlation Structure of Microstructure Noise: A Financial Economic Approach |
0 |
0 |
0 |
37 |
0 |
0 |
0 |
148 |
| On the Correlation Structure of Microstructure Noise: A Financial Economic Approach |
0 |
0 |
0 |
163 |
0 |
0 |
1 |
446 |
| On the Evolution of U.S. Temperature Dynamics |
0 |
0 |
2 |
10 |
0 |
0 |
3 |
26 |
| On the Evolution of U.S. Temperature Dynamics |
0 |
0 |
0 |
69 |
0 |
1 |
2 |
75 |
| On the Financing of Climate Change Adaptation in Developing Countries |
1 |
1 |
39 |
39 |
1 |
2 |
6 |
6 |
| On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms |
1 |
2 |
5 |
108 |
1 |
3 |
14 |
333 |
| On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms |
0 |
0 |
5 |
168 |
0 |
4 |
17 |
733 |
| On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms |
1 |
1 |
3 |
259 |
2 |
6 |
25 |
515 |
| On the Origin(s) and Development of the Term “Big Data" |
0 |
1 |
2 |
265 |
1 |
4 |
17 |
413 |
| On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness |
1 |
3 |
4 |
4 |
5 |
8 |
11 |
11 |
| On the correlation structure of microstructure noise in theory and practice |
0 |
0 |
0 |
10 |
1 |
1 |
1 |
65 |
| On the network topology of variance decompositions: Measuring the connectedness of financial firms |
1 |
1 |
9 |
116 |
3 |
13 |
49 |
354 |
| On the power of Dickey-Fuller tests against fractional alternatives |
0 |
0 |
0 |
2 |
0 |
1 |
2 |
679 |
| 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 |
0 |
24 |
| Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach |
0 |
0 |
0 |
18 |
0 |
0 |
2 |
29 |
| Optimal Prediction Under Asymmetric Loss |
0 |
0 |
0 |
259 |
0 |
1 |
1 |
1,081 |
| Optimal Prediction Under Asymmetric Loss |
0 |
0 |
0 |
127 |
0 |
0 |
0 |
436 |
| Optimal Prediction Under Asymmetric Loss |
0 |
0 |
0 |
77 |
0 |
1 |
1 |
353 |
| Optimal prediction under asymmetric loss |
0 |
0 |
0 |
291 |
0 |
0 |
2 |
1,013 |
| Parametric and Nonparametric Volatility Measurement |
1 |
2 |
3 |
818 |
2 |
5 |
24 |
2,086 |
| Parametric and Nonparametric Volatility Measurement |
0 |
0 |
1 |
692 |
0 |
2 |
9 |
1,595 |
| Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management |
0 |
0 |
0 |
1 |
1 |
3 |
5 |
851 |
| Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management |
1 |
1 |
1 |
634 |
1 |
1 |
1 |
1,228 |
| Post-deregulation deposit rate pricing: the multivariate dynamics |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
501 |
| Practical Volatility and Correlation Modeling for Financial Market Risk Management |
0 |
0 |
1 |
418 |
1 |
5 |
10 |
880 |
| Practical Volatility and Correlation Modeling for Financial Market Risk Management |
0 |
0 |
2 |
569 |
0 |
0 |
5 |
1,181 |
| Practical volatility and correlation modeling for financial market risk management |
0 |
0 |
1 |
395 |
3 |
12 |
29 |
843 |
| Priors from Frequency-Domain Dummy Observations |
0 |
1 |
4 |
35 |
0 |
3 |
7 |
91 |
| Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections |
0 |
0 |
0 |
9 |
0 |
0 |
0 |
21 |
| Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections |
0 |
0 |
0 |
8 |
0 |
0 |
0 |
33 |
| Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections |
0 |
0 |
0 |
2 |
0 |
0 |
0 |
24 |
| Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections |
0 |
0 |
1 |
15 |
0 |
0 |
1 |
22 |
| Random walks versus fractional integration: power comparisons of scalar and joint tests of the variance-time function |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
433 |
| Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think |
0 |
0 |
2 |
813 |
0 |
1 |
8 |
2,188 |
| Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing |
0 |
0 |
3 |
1,604 |
0 |
2 |
11 |
3,592 |
| Real exchange rates under the gold standard |
0 |
0 |
1 |
250 |
0 |
0 |
4 |
1,590 |
| Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility |
0 |
0 |
0 |
104 |
0 |
0 |
1 |
141 |
| Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
24 |
| Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions |
0 |
0 |
0 |
102 |
0 |
0 |
2 |
345 |
| Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions |
0 |
0 |
0 |
123 |
0 |
1 |
5 |
318 |
| Real-Time Measurement of Business Conditions |
0 |
0 |
2 |
105 |
1 |
4 |
9 |
288 |
| Real-Time Measurement of Business Conditions |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
627 |
| Real-Time Measurement of Business Conditions |
0 |
0 |
0 |
91 |
0 |
0 |
2 |
282 |
| Real-Time Measurement of Business Conditions, Second Version |
0 |
0 |
0 |
120 |
0 |
0 |
1 |
254 |
| Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange |
0 |
0 |
2 |
198 |
0 |
0 |
4 |
1,120 |
| Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange |
0 |
0 |
1 |
236 |
0 |
0 |
1 |
741 |
| Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange |
0 |
0 |
0 |
122 |
0 |
0 |
0 |
379 |
| Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets |
0 |
0 |
0 |
147 |
1 |
6 |
19 |
489 |
| Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets |
0 |
0 |
0 |
217 |
0 |
0 |
1 |
667 |
| Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets |
0 |
0 |
1 |
180 |
0 |
0 |
3 |
798 |
| Real-Time Real Economic Activity: Entering and Exiting the Pandemic Recession of 2020 |
0 |
0 |
4 |
6 |
0 |
0 |
6 |
38 |
| Real-Time Real Economic Activity: Exiting the Great Recession and Entering the Pandemic Recession |
0 |
1 |
1 |
19 |
0 |
1 |
7 |
63 |
| Real-Time Real Economic Activity:Entering and Exiting the Pandemic Recession of 2020 |
0 |
1 |
4 |
10 |
0 |
2 |
9 |
23 |
| Real-Time Real Economic Activity:Exiting the Great Recession and Entering the Pandemic Recession |
0 |
0 |
1 |
37 |
0 |
0 |
2 |
39 |
| Real-time forecast evaluation of DSGE models with stochastic volatility |
0 |
0 |
1 |
72 |
0 |
0 |
1 |
75 |
| Real-time macroeconomic monitoring: real activity, inflation, and interactions |
0 |
0 |
1 |
40 |
0 |
1 |
4 |
200 |
| Real-time measurement of business conditions |
1 |
1 |
2 |
174 |
7 |
10 |
28 |
621 |
| Real-time measurement of business conditions |
0 |
1 |
3 |
143 |
2 |
9 |
24 |
325 |
| Real-time price discovery in global stock, bond and foreign exchange markets |
0 |
0 |
1 |
274 |
3 |
15 |
30 |
986 |
| Real-time price discovery in stock, bond and foreign exchange markets |
0 |
0 |
0 |
143 |
0 |
0 |
1 |
556 |
| Realized Beta: Persistence and Predictability |
0 |
0 |
2 |
509 |
0 |
1 |
5 |
904 |
| Realized beta: Persistence and predictability |
0 |
1 |
3 |
218 |
0 |
3 |
22 |
612 |
| Regime switching with time-varying transition probabilities |
0 |
0 |
0 |
10 |
1 |
6 |
25 |
2,363 |
| Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility |
0 |
0 |
1 |
161 |
0 |
1 |
6 |
529 |
| Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility |
0 |
0 |
0 |
353 |
2 |
12 |
41 |
968 |
| Scoring the leading indicators |
0 |
0 |
0 |
1 |
0 |
2 |
4 |
1,038 |
| 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 |
162 |
1 |
1 |
6 |
520 |
| 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 |
1 |
4 |
8 |
1,011 |
| Stamp 5.0: A Review |
0 |
0 |
0 |
143 |
0 |
0 |
0 |
583 |
| State space modeling of time series: a review essay |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
1,172 |
| Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence |
0 |
0 |
1 |
181 |
0 |
0 |
1 |
400 |
| Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence |
0 |
0 |
0 |
106 |
0 |
0 |
1 |
350 |
| Stock returns and expected business conditions: Half a century of direct evidence |
0 |
0 |
0 |
112 |
1 |
1 |
2 |
376 |
| Structural change and the combination of forecasts |
0 |
0 |
0 |
2 |
0 |
0 |
2 |
589 |
| Temporal aggregation of ARCH processes and the distribution of asset returns |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
316 |
| Testing structural stability with endogenous break point: a size comparison of analytic and bootstrap procedures |
0 |
0 |
0 |
1 |
0 |
0 |
4 |
574 |
| The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models |
0 |
2 |
2 |
229 |
0 |
3 |
5 |
634 |
| The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models |
0 |
0 |
2 |
152 |
0 |
0 |
4 |
420 |
| The Distribution of Exchange Rate Volatility |
0 |
0 |
4 |
527 |
4 |
14 |
44 |
1,299 |
| The Distribution of Exchange Rate Volatility |
0 |
0 |
1 |
322 |
0 |
0 |
3 |
857 |
| The Distribution of Exchange Rate Volatility |
0 |
0 |
3 |
549 |
4 |
10 |
23 |
1,420 |
| The Distribution of Stock Return Volatility |
0 |
0 |
2 |
839 |
0 |
0 |
3 |
2,234 |
| The Distribution of Stock Return Volatility |
0 |
1 |
2 |
906 |
0 |
6 |
25 |
2,377 |
| The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach |
0 |
0 |
3 |
485 |
2 |
3 |
8 |
1,308 |
| The Macroeconomy and the Yield Curve: A Nonstructural Analysis |
0 |
0 |
0 |
331 |
0 |
0 |
7 |
921 |
| The Macroeconomy and the Yield Curve: A Nonstructural Analysis |
0 |
0 |
0 |
149 |
0 |
0 |
1 |
476 |
| The Nobel Memorial Prize for Robert F. Engle |
0 |
0 |
0 |
61 |
0 |
0 |
1 |
294 |
| The Nobel Memorial Prize for Robert F. Engle |
0 |
0 |
0 |
145 |
1 |
1 |
3 |
514 |
| The Nobel Memorial Prize for Robert F. Engle |
0 |
0 |
0 |
148 |
0 |
0 |
0 |
600 |
| The Past, Present, and Future of Macroeconomic Forecasting |
0 |
0 |
0 |
287 |
0 |
0 |
2 |
934 |
| The affine arbitrage-free class of Nelson-Siegel term structure models |
0 |
1 |
3 |
195 |
0 |
4 |
7 |
561 |
| The dynamics of exchange rate volatility: a multivariate latent factor ARCH model |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
815 |
| The macroeconomy and the yield curve: a nonstructural analysis |
0 |
0 |
0 |
26 |
0 |
1 |
2 |
65 |
| The past, present, and future of macroeconomic forecasting |
0 |
0 |
0 |
378 |
0 |
0 |
3 |
1,136 |
| The use of prior information in forecast combination |
0 |
0 |
0 |
1 |
1 |
1 |
4 |
498 |
| Time Series Analysis |
0 |
0 |
2 |
141 |
4 |
5 |
13 |
375 |
| Time Series Analysis |
0 |
0 |
0 |
1,098 |
2 |
7 |
23 |
1,759 |
| Unit Root Tests Are Useful for Selecting Forecasting Models |
0 |
0 |
0 |
407 |
1 |
2 |
6 |
1,443 |
| Unit Root Tests are Useful for Selecting Forecasting Models |
0 |
0 |
0 |
313 |
0 |
1 |
3 |
688 |
| Unit roots in economic time series: a selective survey |
0 |
0 |
0 |
3 |
4 |
9 |
26 |
1,173 |
| Volatility Forecasting |
0 |
0 |
2 |
947 |
1 |
1 |
7 |
1,260 |
| Volatility Forecasting |
0 |
1 |
11 |
554 |
4 |
7 |
32 |
968 |
| Volatility forecasting |
0 |
0 |
3 |
332 |
5 |
9 |
18 |
709 |
| Weather Forecasting for Weather Derivatives |
0 |
0 |
0 |
299 |
0 |
1 |
3 |
1,029 |
| Weather Forecasting for Weather Derivatives |
0 |
0 |
0 |
664 |
0 |
0 |
1 |
1,729 |
| Weather forecasting for weather derivatives |
0 |
1 |
3 |
325 |
1 |
3 |
7 |
831 |
| When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume |
0 |
0 |
1 |
1 |
0 |
2 |
7 |
7 |
| When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume |
0 |
4 |
47 |
47 |
0 |
6 |
15 |
15 |
| When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness, and Volume |
0 |
3 |
9 |
11 |
0 |
39 |
46 |
50 |
| Why Are Estimates of Agricultural Supply Response So Variable? |
0 |
0 |
0 |
140 |
0 |
0 |
0 |
429 |
| Why Are Estimates of Agricultural Supply Response so Variable? |
0 |
0 |
0 |
11 |
0 |
0 |
0 |
19 |
| Why are estimates of agricultural supply response so variable? |
0 |
0 |
0 |
194 |
0 |
0 |
0 |
684 |
| Total Working Papers |
58 |
130 |
768 |
64,111 |
244 |
773 |
2,624 |
207,802 |
| 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 |
1 |
106 |
1 |
5 |
14 |
479 |
| A Markov-switching multifractal inter-trade duration model, with application to US equities |
0 |
0 |
0 |
48 |
0 |
1 |
2 |
201 |
| A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations |
0 |
0 |
5 |
76 |
0 |
0 |
9 |
434 |
| A Nonparametric Investigation of Duration Dependence in the American Business Cycle |
0 |
0 |
1 |
181 |
0 |
2 |
6 |
569 |
| A benchmark model for fixed-target Arctic sea ice forecasting |
0 |
0 |
0 |
0 |
1 |
2 |
7 |
7 |
| An Application of Operational-Subjective Statistical Methods to Rational Expectations: Comment |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
116 |
| An arbitrage-free generalized Nelson--Siegel term structure model |
0 |
0 |
0 |
138 |
1 |
4 |
6 |
541 |
| Are long expansions followed by short contractions? |
0 |
0 |
0 |
2 |
0 |
0 |
0 |
237 |
| 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 |
0 |
0 |
44 |
| Better to give than to receive: Predictive directional measurement of volatility spillovers |
5 |
13 |
60 |
533 |
12 |
48 |
208 |
1,523 |
| Bonded Rationality and Strategic Complementarity in a Macroeconomic Model: Policy Effects, Persistence and Multipliers |
0 |
0 |
0 |
144 |
0 |
0 |
0 |
1,142 |
| Bootstrapping Multivariate Spectra |
0 |
0 |
0 |
49 |
0 |
1 |
1 |
198 |
| Cointegration and Long-Horizon Forecasting |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
446 |
| Comment |
0 |
0 |
0 |
11 |
0 |
0 |
1 |
46 |
| Comparing Predictive Accuracy |
0 |
0 |
0 |
0 |
11 |
32 |
124 |
3,066 |
| Comparing Predictive Accuracy |
0 |
0 |
0 |
0 |
64 |
158 |
664 |
6,108 |
| Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests |
0 |
0 |
7 |
39 |
1 |
3 |
27 |
145 |
| Discussion: The effect of seasonal adjustment filters on tests for a unit root |
0 |
0 |
0 |
10 |
0 |
0 |
0 |
58 |
| Dynamic Equilibrium Economies: A Framework for Comparing Models and Data |
0 |
0 |
0 |
86 |
0 |
1 |
2 |
340 |
| Econometrics: Retrospect and prospect |
0 |
0 |
0 |
24 |
0 |
0 |
0 |
111 |
| Endogenous risk in a portfolio-balance rational-expectations model of the Deutschemark-Dollar rate |
0 |
0 |
0 |
15 |
0 |
0 |
3 |
77 |
| Equity Market Spillovers in the Americas |
0 |
0 |
2 |
125 |
0 |
1 |
27 |
400 |
| Estimating global bank network connectedness |
0 |
1 |
5 |
48 |
3 |
9 |
30 |
186 |
| Evaluating Density Forecasts with Applications to Financial Risk Management |
0 |
0 |
0 |
2 |
0 |
4 |
18 |
1,999 |
| Exact maximum-likelihood estimation of autoregressive models via the Kalman filter |
0 |
0 |
0 |
207 |
0 |
0 |
1 |
402 |
| Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian |
0 |
0 |
0 |
14 |
0 |
1 |
4 |
111 |
| Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics |
3 |
3 |
6 |
50 |
6 |
8 |
20 |
277 |
| Five questions about business cycles |
0 |
0 |
2 |
381 |
0 |
5 |
26 |
1,737 |
| Forecast combination and encompassing: Reconciling two divergent literatures |
2 |
2 |
2 |
83 |
2 |
2 |
2 |
198 |
| Forecasting and empirical methods in finance and macroeconomics |
0 |
0 |
0 |
68 |
0 |
0 |
0 |
179 |
| Forecasting the term structure of government bond yields |
1 |
2 |
13 |
451 |
2 |
7 |
58 |
1,778 |
| 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 |
1 |
1 |
2 |
84 |
1 |
1 |
6 |
231 |
| Fractional integration and interval prediction |
0 |
0 |
0 |
31 |
0 |
0 |
0 |
121 |
| From the horse’s mouth: gauging conditional expected stock returns from investor surveys |
0 |
0 |
1 |
11 |
1 |
1 |
2 |
80 |
| Further Results on Forecasting and Model Selection under Asymmetric Loss |
0 |
1 |
1 |
194 |
0 |
1 |
1 |
657 |
| Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach |
1 |
1 |
5 |
254 |
2 |
5 |
41 |
1,015 |
| Globalization, the Business Cycle, and Macroeconomic Monitoring |
0 |
0 |
0 |
32 |
0 |
1 |
3 |
158 |
| Has the EMS Reduced Member-Country Exchange Rate Volatility? |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
154 |
| Have Postwar Economic Fluctuations Been Stabilized? |
0 |
0 |
2 |
54 |
0 |
1 |
3 |
376 |
| Horizon problems and extreme events in financial risk management |
0 |
0 |
0 |
190 |
0 |
1 |
1 |
755 |
| How Relevant is Volatility Forecasting for Financial Risk Management? |
0 |
1 |
3 |
343 |
1 |
3 |
9 |
1,098 |
| Improving GDP measurement: A measurement-error perspective |
5 |
10 |
16 |
74 |
11 |
19 |
60 |
314 |
| Is Consumption Too Smooth? Long Memory and the Deaton Paradox |
0 |
0 |
0 |
156 |
0 |
1 |
3 |
523 |
| Job Stability in the United States |
0 |
0 |
1 |
199 |
1 |
1 |
5 |
1,600 |
| Long memory and persistence in aggregate output |
0 |
0 |
1 |
157 |
0 |
1 |
5 |
356 |
| Long memory and regime switching |
0 |
1 |
5 |
276 |
0 |
3 |
18 |
764 |
| Machine learning for regularized survey forecast combination: Partially-egalitarian LASSO and its derivatives |
1 |
2 |
3 |
14 |
1 |
6 |
13 |
71 |
| Measuring Business Cycles: A Modern Perspective |
0 |
1 |
8 |
480 |
3 |
10 |
34 |
1,592 |
| Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets |
1 |
5 |
9 |
21 |
2 |
8 |
24 |
59 |
| Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets |
0 |
0 |
0 |
654 |
9 |
28 |
84 |
2,155 |
| Measuring predictability: theory and macroeconomic applications |
0 |
0 |
0 |
218 |
0 |
0 |
2 |
825 |
| Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange |
0 |
1 |
4 |
570 |
2 |
7 |
17 |
1,855 |
| Modeling Bond Yields in Finance and Macroeconomics |
0 |
0 |
3 |
245 |
2 |
3 |
15 |
768 |
| Modeling and Forecasting Realized Volatility |
0 |
0 |
0 |
1,158 |
12 |
23 |
63 |
3,574 |
| Multivariate Density Forecast Evaluation And Calibration In Financial Risk Management: High-Frequency Returns On Foreign Exchange |
0 |
1 |
4 |
250 |
0 |
4 |
8 |
671 |
| Nonparametric exchange rate prediction? |
0 |
0 |
4 |
485 |
0 |
0 |
6 |
1,325 |
| On Cointegration and Exchange Rate Dynamics |
0 |
1 |
1 |
230 |
0 |
2 |
6 |
681 |
| On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean |
0 |
0 |
5 |
68 |
0 |
0 |
5 |
214 |
| On the Comparison of Interval Forecasts |
0 |
0 |
0 |
3 |
1 |
2 |
3 |
26 |
| On the Correlation Structure of Microstructure Noise: A Financial Economic Approach |
0 |
0 |
2 |
41 |
0 |
1 |
5 |
218 |
| On the network topology of variance decompositions: Measuring the connectedness of financial firms |
12 |
45 |
172 |
710 |
33 |
124 |
440 |
1,935 |
| On the power of Dickey-Fuller tests against fractional alternatives |
0 |
0 |
1 |
151 |
0 |
1 |
3 |
380 |
| Optimal Prediction Under Asymmetric Loss |
0 |
0 |
1 |
69 |
0 |
0 |
4 |
240 |
| Optimal combination of Arctic sea ice extent measures: A dynamic factor modeling approach |
0 |
0 |
1 |
2 |
0 |
0 |
1 |
7 |
| Post-deregulation Bank-Deposit-Rate Pricing: The Multivariate Dynamics |
0 |
0 |
0 |
0 |
1 |
1 |
3 |
768 |
| Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I) |
0 |
0 |
0 |
7 |
0 |
0 |
1 |
19 |
| Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I) |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
| Probability assessments of an ice-free Arctic: Comparing statistical and climate model projections |
0 |
0 |
1 |
1 |
0 |
1 |
4 |
4 |
| Range‐Based Estimation of Stochastic Volatility Models |
0 |
0 |
2 |
131 |
1 |
2 |
10 |
444 |
| Ratings migration and the business cycle, with application to credit portfolio stress testing |
0 |
2 |
17 |
458 |
2 |
6 |
34 |
1,090 |
| Real Exchange Rates under the Gold Standard |
0 |
0 |
3 |
281 |
1 |
2 |
7 |
1,614 |
| Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions |
0 |
0 |
0 |
128 |
0 |
4 |
7 |
512 |
| Real-Time Measurement of Business Conditions |
0 |
2 |
7 |
321 |
3 |
6 |
21 |
911 |
| Real-time forecast evaluation of DSGE models with stochastic volatility |
0 |
0 |
0 |
13 |
1 |
1 |
3 |
74 |
| Real-time price discovery in global stock, bond and foreign exchange markets |
0 |
0 |
8 |
353 |
1 |
11 |
43 |
1,167 |
| Rejoinder |
0 |
0 |
0 |
3 |
0 |
0 |
1 |
29 |
| Robust estimation - discussion |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
49 |
| Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility |
1 |
4 |
16 |
639 |
4 |
15 |
74 |
1,749 |
| Scoring the Leading Indicators |
0 |
5 |
8 |
757 |
3 |
12 |
25 |
1,712 |
| Serial Correlation and the Combination of Forecasts |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
389 |
| Shorter recessions and longer expansions |
0 |
0 |
0 |
36 |
0 |
1 |
2 |
504 |
| Software review |
0 |
0 |
0 |
8 |
0 |
0 |
1 |
114 |
| State space modeling of time series: A review essay |
0 |
0 |
2 |
162 |
0 |
0 |
3 |
337 |
| Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence |
0 |
0 |
0 |
128 |
0 |
0 |
3 |
420 |
| Stock returns and expected business conditions: half a century of direct evidence |
0 |
0 |
0 |
23 |
0 |
0 |
0 |
140 |
| Structural Time Series Analysis and Modelling Package: A Review |
0 |
0 |
0 |
101 |
0 |
0 |
1 |
402 |
| Symposium on Forecasting Performance: An Introduction |
0 |
0 |
0 |
49 |
0 |
0 |
0 |
161 |
| Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance: Editors' Introduction |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
278 |
| THE ET INTERVIEW: PROFESSOR ROBERT F. ENGLE, JANUARY 2003 |
0 |
1 |
1 |
20 |
0 |
1 |
1 |
72 |
| 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 |
0 |
0 |
202 |
0 |
0 |
3 |
458 |
| The Distribution of Realized Exchange Rate Volatility |
0 |
0 |
2 |
200 |
1 |
1 |
12 |
643 |
| The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model |
0 |
0 |
3 |
740 |
0 |
0 |
5 |
1,583 |
| The Nobel Memorial Prize for Robert F. Engle |
0 |
0 |
1 |
35 |
0 |
1 |
2 |
400 |
| The Past, Present, and Future of Macroeconomic Forecasting |
1 |
1 |
1 |
179 |
1 |
1 |
4 |
780 |
| The Uncertain Unit Root in Real GNP: Comment |
0 |
0 |
1 |
98 |
0 |
0 |
3 |
395 |
| The affine arbitrage-free class of Nelson-Siegel term structure models |
1 |
4 |
26 |
393 |
5 |
17 |
67 |
1,202 |
| The distribution of realized stock return volatility |
1 |
1 |
13 |
841 |
6 |
25 |
95 |
2,135 |
| The econometrics of macroeconomics, finance, and the interface |
1 |
1 |
1 |
435 |
1 |
1 |
2 |
819 |
| The exact initial covariance matrix of the state vector of a general MA(q) process |
0 |
0 |
0 |
25 |
0 |
0 |
0 |
147 |
| The macroeconomy and the yield curve: a dynamic latent factor approach |
0 |
0 |
8 |
583 |
7 |
25 |
70 |
1,742 |
| The use of prior information in forecast combination |
0 |
1 |
3 |
121 |
1 |
3 |
9 |
273 |
| Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014 |
1 |
2 |
14 |
66 |
3 |
8 |
37 |
190 |
| Unit-Root Tests Are Useful for Selecting Forecasting Models |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
656 |
| Weather Forecasting for Weather Derivatives |
0 |
2 |
2 |
93 |
0 |
4 |
4 |
331 |
| Why are estimates of agricultural supply response so variable? |
0 |
0 |
0 |
47 |
0 |
0 |
1 |
208 |
| Total Journal Articles |
38 |
118 |
499 |
18,013 |
228 |
702 |
2,716 |
72,936 |
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