Working Paper |
File Downloads |
Abstract Views |

Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |

A Mixture Multiplicative Error Model for Realized Volatility |
0 |
0 |
0 |
252 |
1 |
1 |
6 |
662 |

A Multivariate Generalized Orthogonal Factor GARCH Model |
0 |
0 |
2 |
46 |
0 |
0 |
8 |
140 |

A Naïve Sticky Information Model of Households’ Inflation Expectations |
0 |
1 |
2 |
77 |
1 |
5 |
12 |
323 |

A Noncausal Autoregressive Model with Time-Varying Parameters: An Application to U.S. Inflation |
0 |
0 |
1 |
64 |
2 |
2 |
8 |
105 |

A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns |
1 |
1 |
2 |
957 |
2 |
2 |
7 |
2,263 |

A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks |
0 |
0 |
0 |
156 |
0 |
1 |
8 |
301 |

Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times |
0 |
1 |
6 |
207 |
6 |
11 |
37 |
843 |

Autoregression-Based Estimation of the New Keynesian Phillips Curve |
0 |
0 |
1 |
100 |
2 |
3 |
9 |
146 |

Bayesian Model Selection and Forecasting in Noncausal Autoregressive Models |
0 |
0 |
0 |
53 |
0 |
0 |
4 |
125 |

Comparison of Unit Root Tests for Time Series with Level Shifts |
1 |
1 |
7 |
11 |
3 |
5 |
21 |
38 |

Comparison of unit root tests for time series with level shifts |
0 |
0 |
1 |
117 |
0 |
0 |
5 |
671 |

Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression |
1 |
6 |
12 |
93 |
1 |
10 |
23 |
137 |

Does Output Gap, Labor's Share or Unemployment Rate Drive Inflation? |
0 |
0 |
0 |
46 |
1 |
1 |
15 |
124 |

Estimation of DSGE Models under Diffuse Priors and Data-Driven Identification Constraints |
0 |
0 |
0 |
54 |
0 |
0 |
7 |
71 |

Forecasting Realized Volatility by Decomposition |
0 |
0 |
0 |
246 |
0 |
0 |
5 |
556 |

Forecasting U.S. Macroeconomic and Financial Time Series with Noncausal and Causal AR Models: A Comparison |
0 |
0 |
0 |
137 |
3 |
4 |
10 |
186 |

GMM Estimation with Noncausal Instruments |
0 |
0 |
0 |
45 |
2 |
2 |
4 |
92 |

Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models |
2 |
4 |
13 |
295 |
4 |
12 |
51 |
655 |

Has U.S. Inflation Really Become Harder to Forecast? |
0 |
0 |
0 |
11 |
1 |
3 |
9 |
87 |

Identification and estimation of non-Gaussian structural vector autoregressions |
0 |
0 |
2 |
98 |
0 |
1 |
8 |
182 |

Identifying Monetary Policy Shocks via Changes in Volatility |
0 |
0 |
1 |
176 |
0 |
1 |
8 |
348 |

Identifying Monetary Policy Shocks via Changes in Volatility |
0 |
0 |
1 |
196 |
1 |
1 |
10 |
413 |

Implied Volatility with Time-Varying Regime Probabilities |
0 |
0 |
0 |
13 |
0 |
0 |
5 |
109 |

Is the Quantity Theory of Money Useful in Forecasting U.S. Inflation? |
0 |
1 |
5 |
137 |
0 |
2 |
22 |
197 |

Joint Modeling of Call and Put Implied Volatility |
0 |
0 |
0 |
130 |
0 |
1 |
6 |
637 |

Modeling Conditional Skewness in Stock Returns |
0 |
0 |
0 |
380 |
0 |
1 |
4 |
1,117 |

Modeling Expectations with Noncausal Autoregressions |
0 |
1 |
3 |
124 |
1 |
3 |
14 |
352 |

Modeling Expectations with Noncausal Autoregressions |
0 |
0 |
1 |
49 |
0 |
1 |
6 |
120 |

Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes |
0 |
0 |
0 |
0 |
0 |
1 |
10 |
645 |

Modeling the US short-term interest rate by mixture autoregressive processes |
0 |
0 |
0 |
33 |
0 |
1 |
5 |
190 |

Noncausal Bayesian Vector Autoregression |
0 |
0 |
2 |
156 |
0 |
1 |
6 |
136 |

Noncausal Vector Autoregression |
0 |
0 |
1 |
96 |
0 |
1 |
8 |
196 |

Noncausal autoregressions for economic time series |
1 |
1 |
7 |
81 |
3 |
5 |
21 |
245 |

Noncausal vector autoregression |
0 |
0 |
1 |
86 |
0 |
0 |
9 |
228 |

Noncausality and Inflation Persistence |
0 |
0 |
1 |
55 |
1 |
3 |
7 |
121 |

Nonlinear GARCH models for highly persistent volatility |
0 |
0 |
1 |
85 |
0 |
0 |
3 |
382 |

Nonlinear dynamic interrelationships between real activity and stock returns |
0 |
0 |
1 |
134 |
0 |
0 |
3 |
77 |

Nonlinear dynamics of interest rate and inflation |
0 |
0 |
0 |
62 |
0 |
0 |
5 |
170 |

Nonlinear dynamics of interest rate and inflation |
0 |
0 |
1 |
355 |
1 |
2 |
17 |
756 |

Optimal Forecasting of Noncausal Autoregressive Time Series |
0 |
1 |
2 |
87 |
2 |
3 |
10 |
177 |

Realized volatility and overnight returns |
0 |
1 |
1 |
122 |
1 |
3 |
18 |
284 |

Reducing size distortions of parametric stationarity tests |
0 |
1 |
1 |
8 |
0 |
1 |
4 |
79 |

Robustness of the Risk-Return Relationship in the U.S. Stock Market |
0 |
0 |
1 |
130 |
0 |
0 |
8 |
422 |

Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis |
0 |
0 |
1 |
123 |
0 |
0 |
2 |
379 |

Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis |
0 |
0 |
1 |
172 |
0 |
1 |
6 |
362 |

Structural Vector Autoregressions with Markov Switching |
0 |
0 |
4 |
285 |
0 |
0 |
12 |
527 |

Structural Vector Autoregressions with Nonnormal Residuals |
0 |
0 |
0 |
171 |
0 |
1 |
2 |
380 |

Structural Vector Autoregressions with Nonnormal Residuals |
0 |
0 |
1 |
238 |
0 |
1 |
13 |
635 |

Supplementary appendix to "noncausal vector autoregression" |
0 |
0 |
2 |
28 |
2 |
2 |
5 |
58 |

TESTING THE EXPECTATIONS HYPOTHESIS OF THE TERM STRUCTURE OF INTEREST RATES IN THE PRESENCE OF A POTENTIAL REGIME SHIFT |
0 |
0 |
1 |
814 |
0 |
1 |
6 |
3,614 |

Test procedures for unit roots in time series with level shifts at unknown time |
1 |
1 |
5 |
116 |
3 |
6 |
24 |
542 |

Testing for Predictability in a Noninvertible ARMA Model |
0 |
0 |
1 |
46 |
1 |
2 |
10 |
176 |

Testing for predictability in a noninvertible ARMA model |
0 |
0 |
1 |
72 |
0 |
0 |
6 |
137 |

Testing the Predictability of Stock Returns |
0 |
0 |
0 |
1 |
3 |
5 |
8 |
602 |

Testing the expectations hypothesis of the term structure of interest rates in the presence of a potential regime shift |
0 |
0 |
0 |
19 |
0 |
0 |
3 |
78 |

The Effect of a Transaction Tax on Exchange Rate Volatility |
0 |
1 |
1 |
81 |
0 |
2 |
3 |
372 |

The Properties of Market-Based and Survey Forecasts for Different Data Releases |
0 |
0 |
0 |
21 |
2 |
3 |
5 |
115 |

The Relevance of Accuracy for the Impact of Macroeconomic News on Volatility |
0 |
0 |
0 |
24 |
0 |
0 |
3 |
131 |

The effect of a transaction tax on exchange rate volatility |
0 |
0 |
2 |
76 |
1 |
1 |
8 |
287 |

Threshold Autoregression for Strongly Autocorrelated Time Series |
0 |
0 |
0 |
0 |
0 |
0 |
5 |
550 |

Trading Nokia: the roles of the Helsinki vs the New York stock exchanges |
0 |
0 |
0 |
38 |
3 |
9 |
26 |
451 |

Trends and Breaks in per-capita Carbon Dioxide Emissions, 1870-2028 |
0 |
0 |
0 |
165 |
1 |
1 |
6 |
617 |

Unit root tests for time series with level shifts: A comparison of different proposals |
0 |
0 |
0 |
109 |
0 |
0 |
11 |
456 |

Unit root tests in the presence of innovational outliers |
1 |
1 |
5 |
57 |
1 |
1 |
7 |
296 |

Total Working Papers |
8 |
23 |
105 |
8,416 |
56 |
130 |
637 |
25,873 |