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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 |
1 |
669 |

A Multivariate Generalized Orthogonal Factor GARCH Model |
0 |
0 |
0 |
46 |
0 |
0 |
3 |
147 |

A Naïve Sticky Information Model of Households’ Inflation Expectations |
0 |
0 |
0 |
80 |
0 |
1 |
2 |
331 |

A Noncausal Autoregressive Model with Time-Varying Parameters: An Application to U.S. Inflation |
0 |
0 |
1 |
66 |
0 |
0 |
1 |
110 |

A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns |
0 |
0 |
1 |
958 |
1 |
1 |
4 |
2,267 |

A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks |
0 |
0 |
1 |
157 |
0 |
0 |
3 |
312 |

Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times |
0 |
1 |
3 |
210 |
1 |
4 |
15 |
868 |

Autoregression-Based Estimation of the New Keynesian Phillips Curve |
0 |
0 |
0 |
102 |
0 |
0 |
0 |
150 |

Bayesian Model Selection and Forecasting in Noncausal Autoregressive Models |
0 |
0 |
0 |
54 |
1 |
1 |
1 |
131 |

Comparison of Unit Root Tests for Time Series with Level Shifts |
1 |
1 |
2 |
14 |
2 |
3 |
6 |
53 |

Comparison of unit root tests for time series with level shifts |
0 |
0 |
0 |
118 |
0 |
0 |
2 |
682 |

Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression |
1 |
1 |
3 |
104 |
2 |
3 |
10 |
165 |

Does Output Gap, Labor's Share or Unemployment Rate Drive Inflation? |
0 |
0 |
0 |
47 |
0 |
0 |
1 |
129 |

Estimation of DSGE Models under Diffuse Priors and Data-Driven Identification Constraints |
0 |
0 |
0 |
58 |
0 |
0 |
0 |
77 |

Forecasting Realized Volatility by Decomposition |
0 |
0 |
1 |
248 |
0 |
0 |
2 |
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 |
1 |
46 |
0 |
1 |
4 |
101 |

Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models |
1 |
1 |
6 |
309 |
1 |
3 |
22 |
726 |

Has U.S. Inflation Really Become Harder to Forecast? |
0 |
0 |
0 |
11 |
0 |
0 |
2 |
90 |

Identification and estimation of non-Gaussian structural vector autoregressions |
0 |
1 |
1 |
100 |
0 |
1 |
4 |
196 |

Identifying Monetary Policy Shocks via Changes in Volatility |
0 |
0 |
0 |
197 |
0 |
0 |
0 |
419 |

Identifying Monetary Policy Shocks via Changes in Volatility |
0 |
0 |
2 |
181 |
0 |
0 |
2 |
358 |

Implied Volatility with Time-Varying Regime Probabilities |
0 |
0 |
0 |
14 |
1 |
1 |
4 |
116 |

Is the Quantity Theory of Money Useful in Forecasting U.S. Inflation? |
0 |
0 |
0 |
140 |
0 |
0 |
3 |
204 |

Joint Modeling of Call and Put Implied Volatility |
0 |
0 |
2 |
133 |
0 |
0 |
5 |
648 |

Modeling Conditional Skewness in Stock Returns |
0 |
0 |
1 |
382 |
0 |
0 |
2 |
1,121 |

Modeling Expectations with Noncausal Autoregressions |
0 |
0 |
0 |
49 |
0 |
0 |
0 |
123 |

Modeling Expectations with Noncausal Autoregressions |
0 |
0 |
0 |
125 |
0 |
0 |
1 |
355 |

Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
649 |

Modeling the US short-term interest rate by mixture autoregressive processes |
0 |
0 |
0 |
34 |
0 |
0 |
1 |
196 |

Noncausal Bayesian Vector Autoregression |
0 |
1 |
1 |
158 |
0 |
1 |
3 |
148 |

Noncausal Vector Autoregression |
0 |
0 |
0 |
97 |
1 |
1 |
6 |
211 |

Noncausal autoregressions for economic time series |
0 |
1 |
4 |
88 |
0 |
3 |
11 |
267 |

Noncausal vector autoregression |
0 |
0 |
0 |
87 |
1 |
1 |
3 |
237 |

Noncausality and Inflation Persistence |
0 |
0 |
1 |
57 |
0 |
1 |
4 |
136 |

Nonlinear GARCH models for highly persistent volatility |
0 |
0 |
0 |
85 |
0 |
0 |
1 |
388 |

Nonlinear dynamic interrelationships between real activity and stock returns |
0 |
0 |
0 |
137 |
1 |
1 |
6 |
94 |

Nonlinear dynamics of interest rate and inflation |
0 |
0 |
0 |
62 |
0 |
0 |
2 |
177 |

Nonlinear dynamics of interest rate and inflation |
0 |
0 |
2 |
360 |
0 |
0 |
8 |
776 |

Optimal Forecasting of Noncausal Autoregressive Time Series |
0 |
0 |
0 |
88 |
0 |
0 |
2 |
183 |

Realized volatility and overnight returns |
0 |
0 |
1 |
125 |
1 |
1 |
4 |
295 |

Reducing size distortions of parametric stationarity tests |
0 |
0 |
0 |
8 |
0 |
0 |
2 |
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 |
3 |
385 |

Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis |
0 |
0 |
0 |
172 |
0 |
1 |
1 |
367 |

Structural Vector Autoregressions with Markov Switching |
0 |
1 |
5 |
293 |
0 |
1 |
8 |
545 |

Structural Vector Autoregressions with Nonnormal Residuals |
0 |
0 |
0 |
171 |
0 |
0 |
4 |
393 |

Structural Vector Autoregressions with Nonnormal Residuals |
0 |
0 |
0 |
239 |
0 |
0 |
2 |
644 |

Supplementary appendix to "noncausal vector autoregression" |
0 |
0 |
0 |
29 |
0 |
0 |
0 |
62 |

TESTING THE EXPECTATIONS HYPOTHESIS OF THE TERM STRUCTURE OF INTEREST RATES IN THE PRESENCE OF A POTENTIAL REGIME SHIFT |
0 |
0 |
2 |
816 |
1 |
1 |
4 |
3,623 |

Test procedures for unit roots in time series with level shifts at unknown time |
0 |
1 |
1 |
119 |
0 |
2 |
6 |
559 |

Testing for Predictability in a Noninvertible ARMA Model |
0 |
0 |
1 |
47 |
0 |
0 |
5 |
185 |

Testing for predictability in a noninvertible ARMA model |
0 |
0 |
1 |
73 |
0 |
0 |
3 |
144 |

Testing the Predictability of Stock Returns |
0 |
0 |
0 |
1 |
0 |
1 |
2 |
605 |

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 |
1 |
118 |

The Relevance of Accuracy for the Impact of Macroeconomic News on Volatility |
0 |
0 |
0 |
24 |
0 |
0 |
2 |
137 |

The effect of a transaction tax on exchange rate volatility |
0 |
0 |
0 |
76 |
0 |
0 |
0 |
290 |

Threshold Autoregression for Strongly Autocorrelated Time Series |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
557 |

Trading Nokia: the roles of the Helsinki vs the New York stock exchanges |
0 |
1 |
1 |
42 |
0 |
2 |
11 |
668 |

Trends and Breaks in per-capita Carbon Dioxide Emissions, 1870-2028 |
0 |
0 |
0 |
166 |
0 |
0 |
0 |
622 |

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 |
1 |
1 |
58 |
0 |
1 |
1 |
300 |

Total Working Papers |
3 |
11 |
46 |
8,537 |
14 |
37 |
211 |
26,692 |