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Last month |
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12 months |
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A Mixture Multiplicative Error Model for Realized Volatility |
0 |
0 |
0 |
252 |
0 |
0 |
0 |
669 |

A Multivariate Generalized Orthogonal Factor GARCH Model |
0 |
0 |
1 |
47 |
0 |
0 |
1 |
148 |

A Naïve Sticky Information Model of Households’ Inflation Expectations |
0 |
0 |
0 |
80 |
0 |
0 |
0 |
332 |

A Noncausal Autoregressive Model with Time-Varying Parameters: An Application to U.S. Inflation |
0 |
0 |
0 |
66 |
0 |
1 |
1 |
111 |

A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns |
0 |
0 |
1 |
960 |
0 |
0 |
2 |
2,273 |

A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks |
0 |
0 |
1 |
158 |
0 |
0 |
2 |
315 |

Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times |
0 |
0 |
1 |
212 |
0 |
2 |
6 |
877 |

Autoregression-Based Estimation of the New Keynesian Phillips Curve |
0 |
0 |
0 |
102 |
0 |
0 |
3 |
153 |

Bayesian Model Selection and Forecasting in Noncausal Autoregressive Models |
0 |
0 |
0 |
54 |
0 |
0 |
0 |
131 |

Comparison of Unit Root Tests for Time Series with Level Shifts |
1 |
1 |
1 |
15 |
2 |
3 |
5 |
58 |

Comparison of unit root tests for time series with level shifts |
0 |
0 |
0 |
118 |
0 |
0 |
0 |
682 |

Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression |
0 |
0 |
3 |
107 |
1 |
3 |
8 |
176 |

Does Output Gap, Labor's Share or Unemployment Rate Drive Inflation? |
1 |
1 |
2 |
49 |
1 |
2 |
3 |
133 |

Estimation of DSGE Models under Diffuse Priors and Data-Driven Identification Constraints |
0 |
1 |
2 |
60 |
1 |
3 |
4 |
81 |

Forecasting Realized Volatility by Decomposition |
0 |
0 |
0 |
248 |
0 |
0 |
0 |
562 |

Forecasting U.S. Macroeconomic and Financial Time Series with Noncausal and Causal AR Models: A Comparison |
0 |
0 |
0 |
138 |
0 |
0 |
0 |
189 |

GMM Estimation with Noncausal Instruments |
0 |
0 |
0 |
46 |
0 |
1 |
6 |
107 |

Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models |
1 |
2 |
7 |
318 |
1 |
4 |
25 |
756 |

Has U.S. Inflation Really Become Harder to Forecast? |
0 |
0 |
0 |
11 |
0 |
0 |
0 |
91 |

Identification and estimation of non-Gaussian structural vector autoregressions |
1 |
2 |
2 |
102 |
1 |
2 |
3 |
199 |

Identifying Monetary Policy Shocks via Changes in Volatility |
0 |
2 |
4 |
186 |
0 |
2 |
4 |
364 |

Identifying Monetary Policy Shocks via Changes in Volatility |
0 |
0 |
0 |
197 |
0 |
0 |
2 |
422 |

Implied Volatility with Time-Varying Regime Probabilities |
0 |
0 |
1 |
15 |
0 |
0 |
2 |
118 |

Is the Quantity Theory of Money Useful in Forecasting U.S. Inflation? |
0 |
0 |
3 |
143 |
1 |
1 |
4 |
209 |

Joint Modeling of Call and Put Implied Volatility |
0 |
1 |
2 |
135 |
0 |
1 |
2 |
650 |

Modeling Conditional Skewness in Stock Returns |
0 |
0 |
1 |
383 |
0 |
0 |
1 |
1,122 |

Modeling Expectations with Noncausal Autoregressions |
0 |
0 |
0 |
49 |
0 |
0 |
3 |
126 |

Modeling Expectations with Noncausal Autoregressions |
0 |
0 |
0 |
125 |
0 |
0 |
1 |
356 |

Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
649 |

Modeling the US short-term interest rate by mixture autoregressive processes |
0 |
0 |
0 |
34 |
0 |
0 |
0 |
196 |

Noncausal Bayesian Vector Autoregression |
0 |
0 |
0 |
158 |
0 |
0 |
0 |
148 |

Noncausal Vector Autoregression |
0 |
0 |
2 |
99 |
0 |
0 |
6 |
219 |

Noncausal autoregressions for economic time series |
0 |
0 |
1 |
89 |
0 |
0 |
4 |
272 |

Noncausal vector autoregression |
0 |
0 |
0 |
87 |
0 |
0 |
4 |
242 |

Noncausality and Inflation Persistence |
0 |
0 |
0 |
57 |
0 |
0 |
4 |
141 |

Nonlinear GARCH models for highly persistent volatility |
0 |
0 |
0 |
85 |
1 |
1 |
2 |
391 |

Nonlinear dynamic interrelationships between real activity and stock returns |
0 |
0 |
0 |
137 |
1 |
1 |
3 |
97 |

Nonlinear dynamics of interest rate and inflation |
0 |
0 |
4 |
365 |
0 |
1 |
7 |
786 |

Nonlinear dynamics of interest rate and inflation |
0 |
0 |
1 |
63 |
0 |
2 |
5 |
182 |

Optimal Forecasting of Noncausal Autoregressive Time Series |
0 |
0 |
1 |
90 |
0 |
0 |
3 |
187 |

Realized volatility and overnight returns |
0 |
0 |
1 |
126 |
0 |
0 |
4 |
299 |

Reducing size distortions of parametric stationarity tests |
0 |
0 |
0 |
8 |
0 |
0 |
0 |
84 |

Robustness of the Risk-Return Relationship in the U.S. Stock Market |
0 |
0 |
0 |
132 |
0 |
0 |
0 |
428 |

Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis |
0 |
0 |
0 |
123 |
0 |
0 |
2 |
387 |

Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis |
0 |
0 |
0 |
172 |
0 |
0 |
1 |
368 |

Structural Vector Autoregressions with Markov Switching |
1 |
3 |
5 |
299 |
2 |
4 |
7 |
554 |

Structural Vector Autoregressions with Nonnormal Residuals |
0 |
0 |
1 |
240 |
1 |
1 |
2 |
647 |

Structural Vector Autoregressions with Nonnormal Residuals |
0 |
0 |
0 |
171 |
0 |
0 |
1 |
394 |

Supplementary appendix to "noncausal vector autoregression" |
0 |
0 |
0 |
29 |
0 |
0 |
1 |
63 |

TESTING THE EXPECTATIONS HYPOTHESIS OF THE TERM STRUCTURE OF INTEREST RATES IN THE PRESENCE OF A POTENTIAL REGIME SHIFT |
0 |
0 |
0 |
816 |
0 |
0 |
0 |
3,623 |

Test procedures for unit roots in time series with level shifts at unknown time |
0 |
0 |
0 |
119 |
0 |
0 |
1 |
560 |

Testing for Predictability in a Noninvertible ARMA Model |
0 |
0 |
0 |
47 |
0 |
1 |
2 |
187 |

Testing for predictability in a noninvertible ARMA model |
0 |
0 |
0 |
73 |
0 |
0 |
1 |
145 |

Testing the Predictability of Stock Returns |
0 |
0 |
0 |
1 |
1 |
2 |
3 |
608 |

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 |
0 |
81 |

The Effect of a Transaction Tax on Exchange Rate Volatility |
0 |
0 |
0 |
81 |
0 |
0 |
0 |
376 |

The Properties of Market-Based and Survey Forecasts for Different Data Releases |
0 |
0 |
0 |
22 |
0 |
0 |
0 |
118 |

The Relevance of Accuracy for the Impact of Macroeconomic News on Volatility |
0 |
0 |
0 |
24 |
0 |
0 |
1 |
138 |

The effect of a transaction tax on exchange rate volatility |
0 |
0 |
0 |
76 |
0 |
0 |
1 |
291 |

Threshold Autoregression for Strongly Autocorrelated Time Series |
0 |
0 |
0 |
0 |
1 |
1 |
4 |
561 |

Trading Nokia: the roles of the Helsinki vs the New York stock exchanges |
0 |
0 |
0 |
42 |
0 |
0 |
2 |
672 |

Trends and Breaks in per-capita Carbon Dioxide Emissions, 1870-2028 |
0 |
0 |
1 |
167 |
0 |
0 |
1 |
623 |

Unit root tests for time series with level shifts: A comparison of different proposals |
0 |
0 |
0 |
109 |
0 |
0 |
0 |
463 |

Unit root tests in the presence of innovational outliers |
0 |
0 |
0 |
58 |
0 |
0 |
0 |
300 |

Total Working Papers |
5 |
13 |
49 |
8,594 |
15 |
39 |
160 |
26,890 |