Dongho Song
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Blog mentions
As found by EconAcademics.org, the blog aggregator for Economics research:- S. Boragan Aruoba & Francis X. Diebold & Jeremy Nalewaik & Frank Schorfheide & Dongho Song, 2011.
"Improving GDP Measurement: A Forecast Combination Perspective,"
NBER Working Papers
17421, National Bureau of Economic Research, Inc.
- Boragan Aruoba & Francis X. Diebold & Jeremy Nalewaik & Frank Schorfheide & Dongho Song, 2011. "Improving GDP Measurement: A Forecast Combination Perspective," PIER Working Paper Archive 11-028, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- S. Boragan Aruoba & Francis X. Diebold & Jeremy J. Nalewaik & Frank Schorfheide & Dongho Song, 2011. "Improving GDP measurement: a forecast combination perspective," Working Papers 11-41, Federal Reserve Bank of Philadelphia.
Mentioned in:
- Better GDP estimates
by Economic Logician in Economic Logic on 2011-10-12 19:28:00
- Aruoba, S. Borağan & Diebold, Francis X. & Nalewaik, Jeremy & Schorfheide, Frank & Song, Dongho, 2016.
"Improving GDP measurement: A measurement-error perspective,"
Journal of Econometrics, Elsevier, vol. 191(2), pages 384-397.
- S. Boraǧan Aruoba & Francis X. Diebold & Jeremy Nalewaik & Frank Schorfheide & Dongho Song, 2013. "Improving GDP Measurement: A Measurement-Error Perspective," NBER Working Papers 18954, National Bureau of Economic Research, Inc.
- S. Boragan Aruoba & Francis X. Diebold & Jeremy J. Nalewaik & Frank Schorfheide & Dongho Song, 2013. "Improving GDP measurement: a measurement-error perspective," Working Papers 13-16, Federal Reserve Bank of Philadelphia.
- Boragan Aruoba & Francis X. Diebold & Jeremy Nalewaik & Frank Schorfheide & Dongho Song, 2013. "Improving GDP Measurement: A Measurement-Error Perspective," PIER Working Paper Archive 13-016, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
Mentioned in:
- Is the economy growing? Depends on how you measure it : GDP vs. GDI
by ? in FRED blog on 2022-09-01 13:00:00
RePEc Biblio mentions
As found on the RePEc Biblio, the curated bibliography of Economics:- Frank Schorfheide & Dongho Song, 2020.
"Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic,"
PIER Working Paper Archive
20-039, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Frank Schorfheide & Dongho Song, 2024. "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," International Journal of Central Banking, International Journal of Central Banking, vol. 20(4), pages 275-320, October.
- Schorfheide, Frank & Song, Dongho, 2021. "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," CEPR Discussion Papers 16760, C.E.P.R. Discussion Papers.
- Frank Schorfheide & Dongho Song, 2020. "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," Working Papers 20-26, Federal Reserve Bank of Philadelphia.
- Frank Schorfheide & Dongho Song, 2021. "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," NBER Working Papers 29535, National Bureau of Economic Research, Inc.
Mentioned in:
- Bianchi, Francesco & Bianchi, Giada & Song, Dongho, 2020.
"The Long-Term Impact of the COVID-19 Unemployment Shock on Life Expectancy and Mortality Rates,"
CEPR Discussion Papers
15605, C.E.P.R. Discussion Papers.
- Bianchi, Francesco & Bianchi, Giada & Song, Dongho, 2023. "The long-term impact of the COVID-19 unemployment shock on life expectancy and mortality rates," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
- Francesco Bianchi & Giada Bianchi & Dongho Song, 2020. "The Long-Term Impact of the COVID-19 Unemployment Shock on Life Expectancy and Mortality Rates," NBER Working Papers 28304, National Bureau of Economic Research, Inc.
Mentioned in:
- Frank Schorfheide & Dongho Song, 2015.
"Real-Time Forecasting With a Mixed-Frequency VAR,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(3), pages 366-380, July.
- Frank Schorfheide & Dongho Song, 2013. "Real-Time Forecasting with a Mixed-Frequency VAR," NBER Working Papers 19712, National Bureau of Economic Research, Inc.
- Frank Schorfheide & Dongho Song, 2012. "Real-time forecasting with a mixed-frequency VAR," Working Papers 701, Federal Reserve Bank of Minneapolis.
Mentioned in:
Working papers
- Jésus Fernández-Villaverde & Tomohide Mineyama & Dongho Song & Jesús Fernández-Villaverde, 2024.
"Are We Fragmented Yet? Measuring Geopolitical Fragmentation and Its Causal Effects,"
CESifo Working Paper Series
11192, CESifo.
- Jesús Fernández-Villaverde & Tomohide Mineyama & Dongho Song, 2024. "Are We Fragmented Yet? Measuring Geopolitical Fragmentation and Its Causal Effect," NBER Working Papers 32638, National Bureau of Economic Research, Inc.
- Jesus Fernandez-Villaverde & Tomohide Mineyama & Dongho Song, 2024. "Are We Fragmented Yet? Measuring Geopolitical Fragmentation and Its Causal Effects," PIER Working Paper Archive 24-015, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Fernández-Villaverde, Jesús & Mineyama, Tomohide & Song, Dongho, 2024. "Are We Fragmented Yet? Measuring Geopolitical Fragmentation and Its Causal Effects," CEPR Discussion Papers 19184, C.E.P.R. Discussion Papers.
Cited by:
- Cathrin Mohr & Christoph Trebesch, 2024. "Geoeconomics," CESifo Working Paper Series 11564, CESifo.
- Norring, Anni, 2024. "The economic effects of geoeconomic fragmentation," BOFIT Policy Briefs 8/2024, Bank of Finland Institute for Emerging Economies (BOFIT).
- Andreas Baur & Florian Dorn & Clemens Fuest & Lisandra Flach, 2025. "Geoeconomic Fragmentation and the Role of Non-Aligned Countries," Rationality and Competition Discussion Paper Series 526, CRC TRR 190 Rationality and Competition.
- Alessandro Moro & Valerio Nispi Landi, 2024. "FraNK: fragmentation in the NK model," Temi di discussione (Economic working papers) 1475, Bank of Italy, Economic Research and International Relations Area.
- Francesco Bianchi & Giovanni Nicolo & Dongho Song, 2023.
"Inflation and Real Activity over the Business Cycle,"
Finance and Economics Discussion Series
2023-038, Board of Governors of the Federal Reserve System (U.S.).
- Francesco Bianchi & Giovanni Nicolò & Dongho Song, 2023. "Inflation and Real Activity over the Business Cycle," NBER Working Papers 31075, National Bureau of Economic Research, Inc.
Cited by:
- Ascari, Guido & Fosso, Luca, 2024. "The international dimension of trend inflation," Journal of International Economics, Elsevier, vol. 148(C).
- Ángelo Gutiérrez-Daza, 2024. "Business Cycles when Consumers Learn by Shopping," Working Papers 2024-12, Banco de México.
- Manuel M. F. Martins & Fabio Verona, 2024. "Forecasting Inflation with the New Keynesian Phillips Curve: Frequencies Matter," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(4), pages 811-832, August.
- Sun, Yulong, 2024. "Prices and returns: Role of inflation," Journal of International Money and Finance, Elsevier, vol. 147(C).
- Leonardo Ciambezi & Mattia Guerini & Mauro Napoletano & Andrea Roventini, 2024.
"Accounting for the Multiple Sources of Inflation: an Agent-Based Model Investigation,"
LEM Papers Series
2024/15, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Leonardo Ciambezi & Mattia Guerini & Mauro Napoletano & Andrea Roventini, 2023. "Accounting for the Multiple Sources of Inflation: an Agent-Based Model Investigation," GREDEG Working Papers 2023-14, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France, revised Jun 2024.
- Chernov, Mikhail & Lochstoer, Lars & Song, Dongho, 2021.
"The real channel for nominal bond-stock puzzles,"
CEPR Discussion Papers
16381, C.E.P.R. Discussion Papers.
- Mikhail Chernov & Lars A. Lochstoer & Dongho Song, 2021. "The Real Channel for Nominal Bond-Stock Puzzles," NBER Working Papers 29085, National Bureau of Economic Research, Inc.
Cited by:
- Sun, Yulong, 2024. "Prices and returns: Role of inflation," Journal of International Money and Finance, Elsevier, vol. 147(C).
- Schorfheide, Frank & Song, Dongho, 2021.
"Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic,"
CEPR Discussion Papers
16760, C.E.P.R. Discussion Papers.
- Frank Schorfheide & Dongho Song, 2024. "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," International Journal of Central Banking, International Journal of Central Banking, vol. 20(4), pages 275-320, October.
- Frank Schorfheide & Dongho Song, 2020. "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," Working Papers 20-26, Federal Reserve Bank of Philadelphia.
- Frank Schorfheide & Dongho Song, 2020. "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," PIER Working Paper Archive 20-039, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Frank Schorfheide & Dongho Song, 2021. "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," NBER Working Papers 29535, National Bureau of Economic Research, Inc.
Cited by:
- Frank Schorfheide & Dongho Song, 2024.
"Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic,"
International Journal of Central Banking, International Journal of Central Banking, vol. 20(4), pages 275-320, October.
- Schorfheide, Frank & Song, Dongho, 2021. "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," CEPR Discussion Papers 16760, C.E.P.R. Discussion Papers.
- Frank Schorfheide & Dongho Song, 2020. "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," Working Papers 20-26, Federal Reserve Bank of Philadelphia.
- Frank Schorfheide & Dongho Song, 2020. "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," PIER Working Paper Archive 20-039, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Frank Schorfheide & Dongho Song, 2021. "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," NBER Working Papers 29535, National Bureau of Economic Research, Inc.
- Christiane Baumeister & Pierre Guérin, 2020.
"A Comparison of Monthly Global Indicators for Forecasting Growth,"
NBER Working Papers
28014, National Bureau of Economic Research, Inc.
- Christiane Baumeister & Pierre Guérin, 2020. "A Comparison of Monthly Global Indicators for Forecasting Growth," CESifo Working Paper Series 8656, CESifo.
- Baumeister, Christiane & Guérin, Pierre, 2021. "A comparison of monthly global indicators for forecasting growth," International Journal of Forecasting, Elsevier, vol. 37(3), pages 1276-1295.
- Christiane Baumeister & Pierre Guérin, 2020. "A comparison of monthly global indicators for forecasting growth," CAMA Working Papers 2020-93, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Baumeister, Christiane & Guerin, Pierre, 2020. "A Comparison of Monthly Global Indicators for Forecasting Growth," CEPR Discussion Papers 15403, C.E.P.R. Discussion Papers.
- Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2022.
"Reconciled Estimates of Monthly GDP in the US,"
Working Papers
22-01, Federal Reserve Bank of Cleveland.
- James Mitchell & Gary Koop & Stuart McIntyre & Aubrey Poon, 2020. "Reconciled Estimates of Monthly GDP in the US," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2020-16, Economic Statistics Centre of Excellence (ESCoE).
- Hwee Kwan Chow & Keen Meng Choy, 2023. "Economic forecasting in a pandemic: some evidence from Singapore," Empirical Economics, Springer, vol. 64(5), pages 2105-2124, May.
- Florian, Huber & Koop, Gary & Onorante, Luca & Pfarrhofer, Michael & Schreiner, Josef, 2021.
"Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs,"
JRC Working Papers in Economics and Finance
2021-01, Joint Research Centre, European Commission.
- Huber, Florian & Koop, Gary & Onorante, Luca & Pfarrhofer, Michael & Schreiner, Josef, 2023. "Nowcasting in a pandemic using non-parametric mixed frequency VARs," Journal of Econometrics, Elsevier, vol. 232(1), pages 52-69.
- Huber, Florian & Koop, Gary & Onorante, Luca & Pfarrhofer, Michael & Schreiner, Josef, 2021. "Nowcasting in a pandemic using non-parametric mixed frequency VARs," Working Paper Series 2510, European Central Bank.
- Florian Huber & Gary Koop & Luca Onorante & Michael Pfarrhofer & Josef Schreiner, 2020. "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs," Papers 2008.12706, arXiv.org, revised Dec 2020.
- Marco Flaccadoro, 2024. "The recent weakness in the German manufacturing sector," Questioni di Economia e Finanza (Occasional Papers) 902, Bank of Italy, Economic Research and International Relations Area.
- De Backer, Bruno & Dewachter, Hans & Iania, Leonardo, 2021.
"Macrofinancial information on the post-COVID-19 economic recovery: Will it be V, U or L-shaped?,"
LIDAM Reprints LFIN
2021007, Université catholique de Louvain, Louvain Finance (LFIN).
- De Backer, Bruno & Dewachter, Hans & Iania, Leonardo, 2021. "Macrofinancial information on the post- COVID-19 economic recovery: will it be V, U or L-shaped?," LIDAM Discussion Papers LFIN 2021002, Université catholique de Louvain, Louvain Finance (LFIN).
- De Backer, Bruno & Dewachter, Hans & Iania, Leonardo, 2021. "Macrofinancial information on the post-COVID-19 economic recovery: Will it be V, U or L-shaped?," Finance Research Letters, Elsevier, vol. 43(C).
- José R. Maria & Paulo Júlio, 2023.
"Trends and cycles during the COVID-19 pandemic period,"
Working Papers
w202311, Banco de Portugal, Economics and Research Department.
- Júlio, Paulo & Maria, José R., 2024. "Trends and cycles during the COVID-19 pandemic period," Economic Modelling, Elsevier, vol. 139(C).
- Antolin-Diaz, Juan & Drechsel, Thomas & Petrella, Ivan, 2023.
"Advances in Nowcasting Economic Activity: The Role of Heterogeneous Dynamics and Fat Tails,"
CEPR Discussion Papers
17800, C.E.P.R. Discussion Papers.
- Antolín-Díaz, Juan & Drechsel, Thomas & Petrella, Ivan, 2024. "Advances in nowcasting economic activity: The role of heterogeneous dynamics and fat tails," Journal of Econometrics, Elsevier, vol. 238(2).
- Serena Ng, 2021.
"Modeling Macroeconomic Variations after Covid-19,"
NBER Working Papers
29060, National Bureau of Economic Research, Inc.
- Serena Ng, 2021. "Modeling Macroeconomic Variations After COVID-19," Papers 2103.02732, arXiv.org, revised Jul 2021.
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino & Elmar Mertens, 2024.
"Addressing COVID-19 Outliers in BVARs with Stochastic Volatility,"
The Review of Economics and Statistics, MIT Press, vol. 106(5), pages 1403-1417, September.
- Carriero, Andrea & Clark, Todd E. & Marcellino, Massimiliano & Mertens, Elmar, 2022. "Addressing COVID-19 outliers in BVARs with stochastic volatility," Discussion Papers 13/2022, Deutsche Bundesbank.
- Marcellino, Massimiliano & Clark, Todd & Carriero, Andrea & Mertens, Elmar, 2021. "Addressing COVID-19 Outliers in BVARs with Stochastic Volatility," CEPR Discussion Papers 15964, C.E.P.R. Discussion Papers.
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino & Elmar Mertens, 2021. "Addressing COVID-19 Outliers in BVARs with Stochastic Volatility," Working Papers 21-02R, Federal Reserve Bank of Cleveland, revised 09 Aug 2021.
- John Cotter & Mark Hallam & Kamil Yilmaz, 2020.
"Macro-Financial Spillovers,"
Working Papers
202005, Geary Institute, University College Dublin.
- Cotter, John & Hallam, Mark & Yilmaz, Kamil, 2023. "Macro-financial spillovers," Journal of International Money and Finance, Elsevier, vol. 133(C).
- Roberta Cardani & Olga Croitorov & Massimo Giovannini & Philipp Pfeiffer & Marco Ratto & Lukas Vogel, 2021.
"The Euro Area's Pandemic Recession: A DSGE-Based Interpretation,"
European Economy - Discussion Papers
153, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
- Cardani, Roberta & Croitorov, Olga & Giovannini, Massimo & Pfeiffer, Philipp & Ratto, Marco & Vogel, Lukas, 2022. "The euro area’s pandemic recession: A DSGE-based interpretation," Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
- Tino Berger & James Morley & Benjamin Wong, 2020.
"Nowcasting the output gap,"
CAMA Working Papers
2020-78, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Berger, Tino & Morley, James & Wong, Benjamin, 2023. "Nowcasting the output gap," Journal of Econometrics, Elsevier, vol. 232(1), pages 18-34.
- Thomas B Götz & Klemens Hauzenberger, 2021. "Large mixed-frequency VARs with a parsimonious time-varying parameter structure," The Econometrics Journal, Royal Economic Society, vol. 24(3), pages 442-461.
- Valentina Aprigliano & Alessandro Borin & Francesco Paolo Conteduca & Simone Emiliozzi & Marco Flaccadoro & Sabina Marchetti & Stefania Villa, 2021. "Forecasting Italian GDP growth with epidemiological data," Questioni di Economia e Finanza (Occasional Papers) 664, Bank of Italy, Economic Research and International Relations Area.
- Vito Polito & Yunyi Zhang, 2021.
"Tackling Large Outliers in Macroeconomic Data with Vector Artificial Neural Network Autoregression,"
CESifo Working Paper Series
9395, CESifo.
- Vito Polito & Yunyi Zhang, 2022. "Tackling Large Outliers in Macroeconomic Data with Vector Artificial Neural Network Autoregression," Working Papers 2022004, The University of Sheffield, Department of Economics.
- Bhaghoe, Sailesh & Ooft, Gavin, 2021. "Nowcasting Quarterly GDP Growth in Suriname with Factor-MIDAS and Mixed-Frequency VAR Models," Studies in Applied Economics 176, The Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise.
- Zhang, Bo & Nguyen, Bao H., 2020. "Real-time forecasting of the Australian macroeconomy using Bayesian VARs," Working Papers 2020-12, University of Tasmania, Tasmanian School of Business and Economics.
- John O’Trakoun, 2022. "Business forecasting during the pandemic," Business Economics, Palgrave Macmillan;National Association for Business Economics, vol. 57(3), pages 95-110, July.
- Claudia Foroni & Massimiliano Marcellino & Dalibor Stevanovic, 2020.
"Forecasting the Covid-19 Recession and Recovery: Lessons from the Financial Crisis,"
CIRANO Working Papers
2020s-32, CIRANO.
- Marcellino, Massimiliano & Foroni, Claudia & Stevanovic, Dalibor, 2020. "Forecasting the Covid-19 recession and recovery: Lessons from the financial crisis," CEPR Discussion Papers 15114, C.E.P.R. Discussion Papers.
- Foroni, Claudia & Marcellino, Massimiliano & Stevanovic, Dalibor, 2022. "Forecasting the Covid-19 recession and recovery: Lessons from the financial crisis," International Journal of Forecasting, Elsevier, vol. 38(2), pages 596-612.
- Foroni, Claudia & Marcellino, Massimiliano & Stevanović, Dalibor, 2020. "Forecasting the Covid-19 recession and recovery: lessons from the financial crisis," Working Paper Series 2468, European Central Bank.
- Claudia Foroni & Massimiliano Marcellino & Dalibor Stevanovic, 2020. "Forecasting the COVID-19 recession and recovery: Lessons from the financial crisis," Working Papers 20-14, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management, revised Nov 2020.
- William D. Larson & Tara M. Sinclair, 2020.
"Nowcasting Unemployment Insurance Claims in the Time of COVID-19,"
Working Papers
2020-004, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting, revised Aug 2020.
- William D. Larson & Tara M. Sinclair, 2020. "Nowcasting unemployment insurance claims in the time of COVID-19," CAMA Working Papers 2020-63, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- William D. Larson & Tara M. Sinclair, 2020. "Nowcasting Unemployment Insurance Claims in the Time of COVID-19," FHFA Staff Working Papers 20-02, Federal Housing Finance Agency.
- Larson, William D. & Sinclair, Tara M., 2022. "Nowcasting unemployment insurance claims in the time of COVID-19," International Journal of Forecasting, Elsevier, vol. 38(2), pages 635-647.
- Eraslan, Sercan & Schröder, Maximilian, 2023. "Nowcasting GDP with a pool of factor models and a fast estimation algorithm," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1460-1476.
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino & Elmar Mertens, 2021. "Forecasting with Shadow-Rate VARs," Working Papers 21-09, Federal Reserve Bank of Cleveland.
- Lin, Jiahe & Michailidis, George, 2024. "A multi-task encoder-dual-decoder framework for mixed frequency data prediction," International Journal of Forecasting, Elsevier, vol. 40(3), pages 942-957.
- Boriss Siliverstovs, 2021. "Gauging the Effect of Influential Observations on Measures of Relative Forecast Accuracy in a Post-COVID-19 Era: Application to Nowcasting Euro Area GDP Growth," Working Papers 2021/01, Latvijas Banka.
- Buda, G & Carvalho, V. M. & Corsetti, G & Duarte, J. B. & Hansen, S. & Moura, A. S. & Ortiz, Ã . & Rodrigo, T. & RodrÃguez Mora, J. V. & Alves da Silva, G., 2025. "The Short Lags of Monetary Policy," Cambridge Working Papers in Economics 2509, Faculty of Economics, University of Cambridge.
- Metiu, Norbert & Prieto, Esteban, 2023. "The macroeconomic effects of inflation uncertainty," Discussion Papers 32/2023, Deutsche Bundesbank.
- Klieber, Karin, 2024. "Non-linear dimension reduction in factor-augmented vector autoregressions," Journal of Economic Dynamics and Control, Elsevier, vol. 159(C).
- Andrea Carriero & Todd E. Clark & Marcellino Massimiliano, 2020. "Nowcasting Tail Risks to Economic Activity with Many Indicators," Working Papers 20-13R2, Federal Reserve Bank of Cleveland, revised 22 Sep 2020.
- Cross, Jamie L. & Hou, Chenghan & Koop, Gary & Poon, Aubrey, 2023. "Large stochastic volatility in mean VARs," Journal of Econometrics, Elsevier, vol. 236(1).
- Evgenidis, Anastasios & Fasianos, Apostolos, 2023. "Modelling monetary policy’s impact on labour markets under Covid-19," Economics Letters, Elsevier, vol. 230(C).
- Ramis Khabibullin & Sergei Seleznev, 2022.
"Fast Estimation of Bayesian State Space Models Using Amortized Simulation-Based Inference,"
Papers
2210.07154, arXiv.org.
- Ramis Khabibullin & Sergei Seleznev, 2022. "Fast Estimation of Bayesian State Space Models Using Amortized Simulation-Based Inference," Bank of Russia Working Paper Series wps104, Bank of Russia.
- Buda, G & Carvalho, V. M. & Corsetti, G & Duarte, J. B. & Hansen, S. & Moura, A. S. & Ortiz, Ã . & Rodrigo, T. & RodrÃguez Mora, J. V. & Alves da Silva, G., 2025. "The Short Lags of Monetary Policy," Janeway Institute Working Papers 2504, Faculty of Economics, University of Cambridge.
- Bobeica, Elena & Hartwig, Benny, 2023. "The COVID-19 shock and challenges for inflation modelling," International Journal of Forecasting, Elsevier, vol. 39(1), pages 519-539.
- Bobeica, Elena & Hartwig, Benny, 2021. "The COVID-19 shock and challenges for time series models," Working Paper Series 2558, European Central Bank.
- Paul Ho, 2021. "Forecasting in the Absence of Precedent," Working Paper 21-10, Federal Reserve Bank of Richmond.
- Anna Sznajderska & Alfred A. Haug, 2023. "Bayesian VARs of the U.S. economy before and during the pandemic," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 13(2), pages 211-236, June.
- Zhang, Wen, 2022. "China’s government spending and global inflation dynamics: The role of the oil price channel," Energy Economics, Elsevier, vol. 110(C).
- Karin Klieber, 2023. "Non-linear dimension reduction in factor-augmented vector autoregressions," Papers 2309.04821, arXiv.org.
- Danilo Cascaldi-Garcia, 2022. "Pandemic Priors," International Finance Discussion Papers 1352, Board of Governors of the Federal Reserve System (U.S.).
- Antonio Musa, 2022. "Nowcasting Bosnia and Herzegovina GDP in Real Time," IHEID Working Papers 08-2022, Economics Section, The Graduate Institute of International Studies.
- Chen, Zhengyang & Valcarcel, Victor J., 2025. "Modeling inflation expectations in forward-looking interest rate and money growth rules," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 170, pages 1-21.
- Danilo Cascaldi-Garcia & Matteo Luciani & Michele Modugno, 2023.
"Lessons from Nowcasting GDP across the World,"
International Finance Discussion Papers
1385, Board of Governors of the Federal Reserve System (U.S.).
- Danilo Cascaldi-Garcia & Matteo Luciani & Michele Modugno, 2024. "Lessons from nowcasting GDP across the world," Chapters, in: Michael P. Clements & Ana Beatriz Galvão (ed.), Handbook of Research Methods and Applications in Macroeconomic Forecasting, chapter 8, pages 187-217, Edward Elgar Publishing.
- Philippe Goulet Coulombe, 2022. "A Neural Phillips Curve and a Deep Output Gap," Working Papers 22-01, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
- Zeynep Kantur & Gülserim Özcan, 2022. "Dissecting Turkish inflation: theory, fact, and illusion," Economic Change and Restructuring, Springer, vol. 55(3), pages 1543-1553, August.
- Philippe Goulet Coulombe, 2022. "A Neural Phillips Curve and a Deep Output Gap," Papers 2202.04146, arXiv.org, revised Oct 2024.
- Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song, 2020.
"The Term Structure of Covered Interest Rate Parity Violations,"
NBER Working Papers
27231, National Bureau of Economic Research, Inc.
- Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song, 2024. "The Term Structure of Covered Interest Rate Parity Violations," Journal of Finance, American Finance Association, vol. 79(3), pages 2077-2114, June.
Cited by:
- Du, Wenxin & Hebert, Benjamin & Li, Wenhao, 2022.
"Intermediary Balance Sheets and the Treasury Yield Curve,"
Research Papers
4036, Stanford University, Graduate School of Business.
- Wenxin Du & Benjamin M. Hébert & Wenhao Li, 2022. "Intermediary Balance Sheets and the Treasury Yield Curve," NBER Working Papers 30222, National Bureau of Economic Research, Inc.
- Du, Wenxin & Hébert, Benjamin & Li, Wenhao, 2023. "Intermediary balance sheets and the treasury yield curve," Journal of Financial Economics, Elsevier, vol. 150(3).
- Wenxin Du & Benjamin Hébert & Wenhao Li, 2022. "Intermediary Balance Sheets and the Treasury Yield Curve," Staff Reports 1023, Federal Reserve Bank of New York.
- Bianchi, Francesco & Bianchi, Giada & Song, Dongho, 2020.
"The Long-Term Impact of the COVID-19 Unemployment Shock on Life Expectancy and Mortality Rates,"
CEPR Discussion Papers
15605, C.E.P.R. Discussion Papers.
- Bianchi, Francesco & Bianchi, Giada & Song, Dongho, 2023. "The long-term impact of the COVID-19 unemployment shock on life expectancy and mortality rates," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
- Francesco Bianchi & Giada Bianchi & Dongho Song, 2020. "The Long-Term Impact of the COVID-19 Unemployment Shock on Life Expectancy and Mortality Rates," NBER Working Papers 28304, National Bureau of Economic Research, Inc.
Cited by:
- Marco Palomeque & Juan de-Lucio, 2024. "The Soundtrack of a Crisis: More Positive Music Preferences During Economic and Social Adversity," Journal of Happiness Studies, Springer, vol. 25(5), pages 1-24, June.
- Celine Saul & Shannon Lange & Charlotte Probst, 2022. "Employment Status and Alcohol-Attributable Mortality Risk—A Systematic Review and Meta-Analysis," IJERPH, MDPI, vol. 19(12), pages 1-10, June.
- Víctor Giménez & Diego Prior & Claudio Thieme & Emili Tortosa-Ausina, 2021.
"International comparisons of the COVID-19 pandemic management: What can be learned from activity analysis techniques?,"
Working Papers
2021/12, Economics Department, Universitat Jaume I, Castellón (Spain).
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- Fischer, Kai & Reade, J. James & Schmal, W. Benedikt, 2021.
"The long shadow of an infection: COVID-19 and performance at work,"
DICE Discussion Papers
368, Heinrich Heine University Düsseldorf, Düsseldorf Institute for Competition Economics (DICE).
- Kai Fischer & J. James Reade & W. Benedikt Schmal, 2021. "The Long Shadow of an Infection: COVID-19 and Performance at Work," Economics Discussion Papers em-dp2021-17, Department of Economics, University of Reading.
- Dong-Suk Chun & Keeyeon Ki-cheon Park & Jong-Min Kim, 2024. "From Disruption to Sustainability: The Event Industry’s Journey through the COVID-19 Pandemic," Sustainability, MDPI, vol. 16(14), pages 1-15, July.
- Bogliacino, Francesco & codagnone, cristiano & Folkvord, F. & Lupiáñez-Villanueva, Francisco, 2022.
"The impact of labour market shocks on mental health: evidence from the COVID-19 first wave,"
SocArXiv
wx9d4, Center for Open Science.
- Francesco Bogliacino & Cristiano Codagnone & Frans Folkvord & Francisco Lupiáñez-Villanueva, 2023. "The impact of labour market shocks on mental health: evidence from the Covid-19 first wave," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 40(3), pages 899-930, October.
- Fischer, Kai & Reade, J. James & Schmal, W. Benedikt, 2022. "What cannot be cured must be endured: The long-lasting effect of a COVID-19 infection on workplace productivity," Labour Economics, Elsevier, vol. 79(C).
- Harran Al-Rahamneh & Lubna Arafa & Anas Al Orani & Rahaf Baqleh, 2021. "Long-Term Psychological Effects of COVID-19 Pandemic on Children in Jordan," IJERPH, MDPI, vol. 18(15), pages 1-10, July.
- Liu, Tie-Ying & Lin, Ye, 2023. "Does global warming affect unemployment? International evidence," Economic Analysis and Policy, Elsevier, vol. 80(C), pages 991-1005.
- Baira Faulks & Song Yinghua, 2021. "The COVID-19 Crisis: Implications for the Development and Growth of Agricultural Sector in EU countries and Russia," International Journal of Innovation and Economic Development, Inovatus Services Ltd., vol. 7(1), pages 37-46, April.
- Florin-Valeriu PANTELIMON & Bogdan-Stefan POSEDARU & Elena-Aura GRIGORESCU & Dimitrie-Daniel PLACINTA, 2021. "Labor Market Trends During The COVID-19 Pandemic," Informatica Economica, Academy of Economic Studies - Bucharest, Romania, vol. 25(2), pages 50-63.
- Chernov, Mikhail & Augustin, Patrick & Schmid, Lukas & Song, Dongho, 2020.
"The term structure of CIP violations,"
CEPR Discussion Papers
14774, C.E.P.R. Discussion Papers.
Cited by:
- Du, Wenxin & Hebert, Benjamin & Li, Wenhao, 2022.
"Intermediary Balance Sheets and the Treasury Yield Curve,"
Research Papers
4036, Stanford University, Graduate School of Business.
- Wenxin Du & Benjamin M. Hébert & Wenhao Li, 2022. "Intermediary Balance Sheets and the Treasury Yield Curve," NBER Working Papers 30222, National Bureau of Economic Research, Inc.
- Du, Wenxin & Hébert, Benjamin & Li, Wenhao, 2023. "Intermediary balance sheets and the treasury yield curve," Journal of Financial Economics, Elsevier, vol. 150(3).
- Wenxin Du & Benjamin Hébert & Wenhao Li, 2022. "Intermediary Balance Sheets and the Treasury Yield Curve," Staff Reports 1023, Federal Reserve Bank of New York.
- Wohlfarth, Paul & Chen, Xiaohong, 2024. "Limits to arbitrage and the term structure of CIP violations," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 95(C).
- Nissinen, Juuso & Sihvonen, Markus, 2024.
"Bond convenience curves and funding costs,"
Journal of International Economics, Elsevier, vol. 151(C).
- Nissinen, Juuso & Sihvonen, Markus, 2022. "Bond convenience curves and funding costs," Bank of Finland Research Discussion Papers 11/2022, Bank of Finland.
- Du, Wenxin & Hebert, Benjamin & Li, Wenhao, 2022.
"Intermediary Balance Sheets and the Treasury Yield Curve,"
Research Papers
4036, Stanford University, Graduate School of Business.
- Taeyoung Doh & Dongho Song & Shu-Kuei X. Yang, 2020.
"Deciphering Federal Reserve Communication via Text Analysis of Alternative FOMC Statements,"
Research Working Paper
RWP 20-14, Federal Reserve Bank of Kansas City.
Cited by:
- Luis Felipe Gutiérrez & Neda Tavakoli & Sima Siami-Namini & Akbar Siami Namin, 2022. "Similarity analysis of federal reserve statements using document embeddings: the Great Recession vs. COVID-19," SN Business & Economics, Springer, vol. 2(7), pages 1-28, July.
- Zahner, Johannes & Baumgärtner, Martin, 2022.
"Whatever it Takes to Understand a Central Banker – Embedding their Words Using Neural Networks,"
VfS Annual Conference 2022 (Basel): Big Data in Economics
264019, Verein für Socialpolitik / German Economic Association.
- Baumgärtner, Martin & Zahner, Johannes, 2023. "Whatever it takes to understand a central banker: Embedding their words using neural networks," IMFS Working Paper Series 194, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Martin Baumgaertner & Johannes Zahner, 2021. "Whatever it takes to understand a central banker - Embedding their words using neural networks," MAGKS Papers on Economics 202130, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Donato Masciandaro & Davide Romelli & Gaia Rubera, 2021.
"Monetary policy and financial markets: evidence from Twitter traffic,"
BAFFI CAREFIN Working Papers
21160, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
- Donato Masciandaro & Davide Romelli & Gaia Rubera, 2023. "Monetary policy and financial markets: evidence from Twitter traffic," Trinity Economics Papers TEP1023, Trinity College Dublin, Department of Economics.
- Ge Gao & Alex Nikolsko‐Rzhevskyy & Oleksandr Talavera, 2023.
"Can central banks be heard over the sound of gunfire?,"
Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 46(S1), pages 183-203, December.
- Ge Gao & Alex Nikolsko-Rzhevskyy & Oleksandr Talavera, 2023. "Can Central Banks Be Heard Over the Sound of Gunfire?," Discussion Papers 23-09, Department of Economics, University of Birmingham.
- Olivier De Bandt & Jean-Charles Bricongne & Julien Denes & Alexandre Dhenin & Annabelle De Gaye & Pierre-Antoine Robert, 2023. "Using the Press to Construct a New Indicator of Inflation Perceptions in France," Working papers 921, Banque de France.
- Chernov, Mikhail & Augustin, Patrick & Schmid, Lukas & Song, Dongho, 2019.
"Benchmark interest rates when the government is risky,"
CEPR Discussion Papers
14105, C.E.P.R. Discussion Papers.
- Augustin, P. & Chernov, M. & Schmid, L. & Song, D., 2021. "Benchmark interest rates when the government is risky," Journal of Financial Economics, Elsevier, vol. 140(1), pages 74-100.
- Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song, 2019. "Benchmark Interest Rates When the Government is Risky," NBER Working Papers 26429, National Bureau of Economic Research, Inc.
Cited by:
- Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song, 2020.
"The Term Structure of Covered Interest Rate Parity Violations,"
NBER Working Papers
27231, National Bureau of Economic Research, Inc.
- Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song, 2024. "The Term Structure of Covered Interest Rate Parity Violations," Journal of Finance, American Finance Association, vol. 79(3), pages 2077-2114, June.
- Du, Wenxin & Hebert, Benjamin & Li, Wenhao, 2022.
"Intermediary Balance Sheets and the Treasury Yield Curve,"
Research Papers
4036, Stanford University, Graduate School of Business.
- Wenxin Du & Benjamin M. Hébert & Wenhao Li, 2022. "Intermediary Balance Sheets and the Treasury Yield Curve," NBER Working Papers 30222, National Bureau of Economic Research, Inc.
- Du, Wenxin & Hébert, Benjamin & Li, Wenhao, 2023. "Intermediary balance sheets and the treasury yield curve," Journal of Financial Economics, Elsevier, vol. 150(3).
- Wenxin Du & Benjamin Hébert & Wenhao Li, 2022. "Intermediary Balance Sheets and the Treasury Yield Curve," Staff Reports 1023, Federal Reserve Bank of New York.
- Montes, Gabriel Caldas & Maia, João Pedro Neves, 2023. "Who speaks louder, financial instruments or credit rating agencies? Analyzing the effects of different sovereign risk measures on interest rates in Brazil," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
- Yang, Yang & He, Weijun & Jiang, Ningye & Xu, Shasha & Ramsey, Thomas Stephen & Yuan, Liang, 2024. "The intertemporal choice study of individual water-saving irrigation construction under three water pricing and subsidy scenarios," Agricultural Water Management, Elsevier, vol. 295(C).
- Hartley, Jonathan S. & Jermann, Urban J., 2024. "The pricing of U.S. Treasury floating rate notes," Journal of Financial Economics, Elsevier, vol. 155(C).
- David B. Cashin & Erin E. Syron Ferris & Elizabeth C. Klee, 2020. "Treasury Safety, Liquidity, and Money Premium Dynamics: Evidence from Recent Debt Limit Impasses," Finance and Economics Discussion Series 2020-008, Board of Governors of the Federal Reserve System (U.S.).
- Kanno, Masayasu, 2024. "Assessing the impact of the COVID-19 crisis on sovereign default risk," Research in International Business and Finance, Elsevier, vol. 68(C).
- Boutros, Michael & Clara, Nuno & Gomes, Francisco, 2024. "Borrow now, pay even later: A quantitative analysis of student debt payment plans," Journal of Financial Economics, Elsevier, vol. 159(C).
- Hanson, Samuel G. & Malkhozov, Aytek & Venter, Gyuri, 2024. "Demand-and-supply imbalance risk and long-term swap spreads," Journal of Financial Economics, Elsevier, vol. 154(C).
- Li, Shaoyu & Zhu, Chunhui & Shang, Yuhuang, 2023. "Hedging demand and near-zero swap spreads: Evidence from the Chinese interest rate swap market," The Quarterly Review of Economics and Finance, Elsevier, vol. 91(C), pages 170-185.
- David Cashin & Erin E. Syron Ferris & Elizabeth Klee, 2023. "Treasury Safety, Liquidity, and Money Premium Dynamics: Evidence from Debt Limit Impasses," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(6), pages 1475-1506, September.
- Matthias Fleckenstein & Francis A. Longstaff, 2024. "Treasury Richness," Journal of Finance, American Finance Association, vol. 79(4), pages 2797-2844, August.
- David-Pur, Lior & Galil, Koresh & Rosenboim, Mosi, 2020. "The dynamics of sovereign yields over swap rates in the Eurozone market," International Review of Financial Analysis, Elsevier, vol. 72(C).
- Ravi Bansal & Shane Miller & Dongho Song & Amir Yaron, 2019.
"The Term Structure of Equity Risk Premia,"
NBER Working Papers
25690, National Bureau of Economic Research, Inc.
- Bansal, Ravi & Miller, Shane & Song, Dongho & Yaron, Amir, 2021. "The term structure of equity risk premia," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1209-1228.
Cited by:
- Andrei S. Gonçalves, 2021. "Reinvestment Risk and the Equity Term Structure," Journal of Finance, American Finance Association, vol. 76(5), pages 2153-2197, October.
- Foley, Sean & Li, Simeng & Malloch, Hamish & Svec, Jiri, 2022. "What is the expected return on Bitcoin? Extracting the term structure of returns from options prices," Economics Letters, Elsevier, vol. 210(C).
- Belén Nieto & Gonzalo Rubio, 2022. "The Effects of the COVID-19 Crisis on Risk Factors and Option-Implied Expected Market Risk Premia: An International Perspective," JRFM, MDPI, vol. 15(1), pages 1-29, January.
- A. Ronald Gallant & George Tauchen, 2021. "Cash Flows Discounted Using a Model-Free SDF Extracted under a Yield Curve Prior," JRFM, MDPI, vol. 14(3), pages 1-15, March.
- TAKAMIZAWA, Hideyuki & 高見澤, 秀幸, 2018.
"An Equilibrium Model of Term Structures of Bonds and Equities,"
Working Paper Series
G-1-19, Hitotsubashi University Center for Financial Research.
- Takamizawa, Hideyuki, 2022. "An equilibrium model of the term structures of bonds and equities," International Review of Financial Analysis, Elsevier, vol. 84(C).
- Michael Hasler & Mariana Khapko & Roberto Marfè, 2020. "Rational Learning and the Term Structures of Value and Growth Risk Premia," Carlo Alberto Notebooks 622, Collegio Carlo Alberto.
- Koichiro Moriya & Akihiko Noda, 2023. "On the Time-Varying Structure of the Arbitrage Pricing Theory using the Japanese Sector Indices," Papers 2305.05998, arXiv.org, revised Mar 2024.
- Pierlauro Lopez & J. David López-Salido & Francisco Vazquez-Grande, 2023.
"Nominal Rigidities and the Term Structures of Equity and Bond Returns,"
Working Papers
23-11, Federal Reserve Bank of Cleveland.
- Pier dup Lopez & J. David López-Salido & Francisco Vazquez-Grande, 2015. "Nominal Rigidities and the Term Structures of Equity and Bond Returns," Finance and Economics Discussion Series 2015-64, Board of Governors of the Federal Reserve System (U.S.).
- Yu, Deshui & Huang, Difang, 2023. "Cross-sectional uncertainty and expected stock returns," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 321-340.
- Jeffrey L. Callen & Matthew R. Lyle, 2020. "The term structure of implied costs of equity capital," Review of Accounting Studies, Springer, vol. 25(1), pages 342-404, March.
- Patricia M. Dechow & Ryan D. Erhard & Richard G. Sloan & And Mark T. Soliman, 2021. "Implied Equity Duration: A Measure of Pandemic Shutdown Risk," Journal of Accounting Research, Wiley Blackwell, vol. 59(1), pages 243-281, March.
- Oliver Boguth & Murray Carlson & Adlai Fisher & Mikhail Simutin, 2023. "The Term Structure of Equity Risk Premia: Levered Noise and New Estimates," Review of Finance, European Finance Association, vol. 27(4), pages 1155-1182.
- Gonçalves, Andrei S., 2021. "The short duration premium," Journal of Financial Economics, Elsevier, vol. 141(3), pages 919-945.
- Niels Joachim Gormsen & Eben Lazarus, 2023. "Duration‐Driven Returns," Journal of Finance, American Finance Association, vol. 78(3), pages 1393-1447, June.
- Jankauskas, Tomas, 2023. "Essays in empirical finance," Other publications TiSEM 4c319f87-ba97-44be-897e-1, Tilburg University, School of Economics and Management.
- Ye Li & Chen Wang, 2023. "Valuation Duration of the Stock Market," Papers 2310.07110, arXiv.org.
- Chernov, Mikhail & Augustin, Patrick & Song, Dongho, 2018.
"Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads,"
CEPR Discussion Papers
12857, C.E.P.R. Discussion Papers.
- Patrick Augustin & Mikhail Chernov & Dongho Song, 2018. "Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads," NBER Working Papers 24506, National Bureau of Economic Research, Inc.
Cited by:
- Marlene Amstad & Frank Packer & Jimmy Shek, 2018.
"Does sovereign risk in local and foreign currency differ?,"
BIS Working Papers
709, Bank for International Settlements.
- Amstad, Marlene & Packer, Frank & Shek, Jimmy, 2020. "Does sovereign risk in local and foreign currency differ?," Journal of International Money and Finance, Elsevier, vol. 101(C).
- Marlene Amstad & Frank Packer & Jimmy Shek, 2018. "Does Sovereign Risk in Local and Foreign Currency Differ?," IMES Discussion Paper Series 18-E-01, Institute for Monetary and Economic Studies, Bank of Japan.
- Chernov, Mikhail & Creal, Drew & Hördahl, Peter, 2020.
"Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds,"
CEPR Discussion Papers
14986, C.E.P.R. Discussion Papers.
- Chernov, Mikhail & Creal, Drew & Hördahl, Peter, 2023. "Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds," Journal of International Economics, Elsevier, vol. 140(C).
- Mikhail Chernov & Drew Creal & Peter Hördahl, 2021. "Sovereign credit and exchange rate risks: evidence from Asia-Pacific local currency bonds," BIS Working Papers 918, Bank for International Settlements.
- Mikhail Chernov & Drew D. Creal & Peter Hördahl, 2020. "Sovereign Credit and Exchange Rate Risks: Evidence from Asia-Pacific Local Currency Bonds," NBER Working Papers 27500, National Bureau of Economic Research, Inc.
- Martin, Ian & Kremens, Lukas, 2017.
"The Quanto Theory of Exchange Rates,"
CEPR Discussion Papers
11970, C.E.P.R. Discussion Papers.
- Kremens, Lukas & Martin, Ian, 2017. "The quanto theory of exchange rates," LSE Research Online Documents on Economics 118945, London School of Economics and Political Science, LSE Library.
- Lukas Kremens & Ian Martin, 2019. "The Quanto Theory of Exchange Rates," American Economic Review, American Economic Association, vol. 109(3), pages 810-843, March.
- Kremens, Lukas & Martin, Ian, 2019. "The quanto theory of exchange rates," LSE Research Online Documents on Economics 89839, London School of Economics and Political Science, LSE Library.
- Kremens, Lukas & Martin, Ian, 2017. "The quanto theory of exchange rates," LSE Research Online Documents on Economics 118961, London School of Economics and Political Science, LSE Library.
- Andrey Itkin & Fazlollah Soleymani, 2019. "Four-factor model of Quanto CDS with jumps-at-default and stochastic recovery," Papers 1912.08713, arXiv.org.
- Chernov, Mikhail & Schmid, Lukas & Schneider, Andres, 2016.
"A Macrofinance View of U.S. Sovereign CDS Premiums,"
CEPR Discussion Papers
11576, C.E.P.R. Discussion Papers.
- Lukas Schmid & Andres Schneider & Mikhail Chernov, 2016. "A macrofinance view of US Sovereign CDS premiums," 2016 Meeting Papers 432, Society for Economic Dynamics.
- Mikhail Chernov & Lukas Schmid & Andres Schneider, 2020. "A Macrofinance View of U.S. Sovereign CDS Premiums," Journal of Finance, American Finance Association, vol. 75(5), pages 2809-2844, October.
- Gordon Y. Liao, 2016.
"Credit Migration and Covered Interest Rate Parity,"
Working Paper
468601, Harvard University OpenScholar.
- Liao, Gordon Y., 2020. "Credit migration and covered interest rate parity," Journal of Financial Economics, Elsevier, vol. 138(2), pages 504-525.
- Gordon Y. Liao, 2019. "Credit Migration and Covered Interest Rate Parity," International Finance Discussion Papers 1255, Board of Governors of the Federal Reserve System (U.S.).
- Giovanni Calice & Ming Zeng, 2021. "The term structure of sovereign credit default swap and the cross‐section of exchange rate predictability," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 445-458, January.
- Mustafa Akay & Berat Bayram & Abdullah Kazdal & Muhammed Hasan Yilmaz, 2020. "Investigating Regime-Dependent Dynamics in Country Risk Premium: Evidence from Turkey and Emerging Markets," CBT Research Notes in Economics 2008, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Borri, Nicola, 2019. "Redenomination-risk spillovers in the Eurozone," Economics Letters, Elsevier, vol. 174(C), pages 173-178.
- Dumitru, Ana-Maria & Holden, Thomas, 2019. "Quantifying the transmission of European sovereign default risk," EconStor Preprints 193632, ZBW - Leibniz Information Centre for Economics.
- Pelizzon, Loriana & Subrahmanyam, Marti G. & Tomio, Davide & Uno, Jun, 2018. "Central bank-driven mispricing," SAFE Working Paper Series 226, Leibniz Institute for Financial Research SAFE, revised 2018.
- Feng, Qianqian & Sun, Xiaolei & Liu, Chang & Li, Jianping, 2021. "Spillovers between sovereign CDS and exchange rate markets: The role of market fear," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
- A. Itkin & V. Shcherbakov & A. Veygman, 2017. "Influence of jump-at-default in IR and FX on Quanto CDS prices," Papers 1711.07133, arXiv.org.
- Dongho Song & Jenny Tang, 2018.
"News-driven uncertainty fluctuations,"
Working Papers
18-3, Federal Reserve Bank of Boston.
- Dongho Song & Jenny Tang, 2023. "News-Driven Uncertainty Fluctuations," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(3), pages 968-982, July.
Cited by:
- Francesco Carbonero & Jeremy Davies & Ekkehard Ernst & Sayantan Ghosal & Leaza McSorley, 2021. "Anxiety, Expectations Stabilization and Intertemporal Markets: Theory, Evidence and Policy," Working Papers 2021_12, Business School - Economics, University of Glasgow.
- Attílio, Luccas Assis & Mollick, André Varella, 2024. "Assessing the baseline model of WTI oil and stock returns under financial volatility and spillover effects," Energy Economics, Elsevier, vol. 135(C).
- Tzuo Hann Law & Dongho Song & Amir Yaron, 2017.
"Fearing the Fed: How Wall Street Reads Main Street,"
2017 Meeting Papers
1632, Society for Economic Dynamics.
- Elenev, Vadim & Law, Tzuo-Hann & Song, Dongho & Yaron, Amir, 2024. "Fearing the Fed: How wall street reads main street," Journal of Financial Economics, Elsevier, vol. 153(C).
Cited by:
- Semyon Malamud & Andreas Schrimpf, 2018.
"An intermediation-based model of exchange rates,"
BIS Working Papers
743, Bank for International Settlements.
- Semyon Malamud & Andreas Schrimpf & Yuan Zhang, 2024. "An Intermediation-Based Model of Exchange Rates," Swiss Finance Institute Research Paper Series 24-01, Swiss Finance Institute.
- Semyon Malamud & Andreas Schrimpf, 2018. "An Intermediation-Based Model of Exchange Rates," Swiss Finance Institute Research Paper Series 18-14, Swiss Finance Institute, revised Jun 2018.
- Malamud, Semyon & Schrimpf, Paul, 2018. "An Intermediation-Based Model of Exchange Rates," CEPR Discussion Papers 13182, C.E.P.R. Discussion Papers.
- Semyon Malamud & Andreas Schrimpf, 2016.
"Intermediation Markups and Monetary Policy Passthrough,"
Swiss Finance Institute Research Paper Series
16-75, Swiss Finance Institute.
- Andreas Schrimpf & Semyon Malamud, 2017. "Intermediation Markups and Monetary Policy Passthrough," 2017 Meeting Papers 812, Society for Economic Dynamics.
- Schrimpf, Paul & Malamud, Semyon, 2018. "Intermediation markups and monetary policy pass-through," CEPR Discussion Papers 12623, C.E.P.R. Discussion Papers.
- Anthony M. Diercks & William Waller, 2017. "Taxes and the Fed : Theory and Evidence from Equities," Finance and Economics Discussion Series 2017-104, Board of Governors of the Federal Reserve System (U.S.).
- Pascal Paul, 2019.
"The Time-Varying Effect of Monetary Policy on Asset Prices,"
Working Paper Series
2017-09, Federal Reserve Bank of San Francisco.
- Pascal Paul, 2020. "The Time-Varying Effect of Monetary Policy on Asset Prices," The Review of Economics and Statistics, MIT Press, vol. 102(4), pages 690-704, October.
- Döttling, Robin & Lam, Adrian, 2023. "Monetary Policy, Carbon Transition Risk, and Firm Valuation," OSF Preprints kqdar_v1, Center for Open Science.
- Kam F. Chan & Philip Gray, 2018. "Volatility jumps and macroeconomic news announcements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(8), pages 881-897, August.
- Dongho Song, 2016.
"Bond Market Exposures to Macroeconomic and Monetary Policy Risks,"
Boston College Working Papers in Economics
915, Boston College Department of Economics, revised 19 Jul 2016.
- Dongho Song, 2017. "Bond Market Exposures to Macroeconomic and Monetary Policy Risks," The Review of Financial Studies, Society for Financial Studies, vol. 30(8), pages 2761-2817.
- Dongho Song, 2014. "Bond Market Exposures to Macroeconomic and Monetary Policy Risks," PIER Working Paper Archive 14-017, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
Cited by:
- Mumtaz, Haroon & Theodoridis, Konstantinos, 2018.
"Dynamic Effects of Monetary Policy Shocks on Macroeconomic Volatility,"
Cardiff Economics Working Papers
E2018/21, Cardiff University, Cardiff Business School, Economics Section.
- Konstantinos Theodoridis & Haroon Mumtaz, 2015. "Dynamic Effects of Monetary Policy Shocks on Macroeconomic Volatility," Working Papers 101219932, Lancaster University Management School, Economics Department.
- Mumtaz, Haroon & Theodoridis, Konstantinos, 2020. "Dynamic effects of monetary policy shocks on macroeconomic volatility," Journal of Monetary Economics, Elsevier, vol. 114(C), pages 262-282.
- Haroon Mumtaz & Konstantinos Theodoridis, 2015. "Dynamic Effects of Monetary Policy Shocks on Macroeconomic Volatility," Working Papers 760, Queen Mary University of London, School of Economics and Finance.
- Nitschka, Thomas & Satkurunathan, Shajivan, 2021.
"Habits die hard: implications for bond and stock markets internationally,"
VfS Annual Conference 2021 (Virtual Conference): Climate Economics
242358, Verein für Socialpolitik / German Economic Association.
- Thomas Nitschka & Shajivan Satkurunathan, 2021. "Habits die hard: implications for bond and stock markets internationally," Working Papers 2021-08, Swiss National Bank.
- François Gourio & Phuong Ngo, 2020.
"Risk Premia at the ZLB: A Macroeconomic Interpretation,"
Working Paper Series
WP 2020-01, Federal Reserve Bank of Chicago.
- Phuong Ngo & Francois Gourio, 2016. "Risk Premia at the ZLB: a macroeconomic interpretation," 2016 Meeting Papers 1585, Society for Economic Dynamics.
- François Gourio & Phuong Ngo, 2020. "Risk Premia at the ZLB: A Macroeconomic Interpretation," Working Paper Series WP-2020-01, Federal Reserve Bank of Chicago.
- Ravi Bansal & Shane Miller & Dongho Song & Amir Yaron, 2019.
"The Term Structure of Equity Risk Premia,"
NBER Working Papers
25690, National Bureau of Economic Research, Inc.
- Bansal, Ravi & Miller, Shane & Song, Dongho & Yaron, Amir, 2021. "The term structure of equity risk premia," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1209-1228.
- Evangelos Salachas & Georgios P. Kouretas & Nikiforos T. Laopodis, 2024. "The term structure of interest rates and economic activity: Evidence from the COVID‐19 pandemic," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(4), pages 1018-1041, July.
- Duarte, Diogo & Saporito, Yuri F., 2019. "Endogenous asymmetric money illusion," Journal of Banking & Finance, Elsevier, vol. 109(C).
- Jamel Boukhatem & Zied Ftiti & Jean Michel Sahut, 2021. "Bond market and macroeconomic stability in East Asia: a nonlinear causality analysis," Annals of Operations Research, Springer, vol. 297(1), pages 53-76, February.
- Nguyen, Hoang & Javed, Farrukh, 2023.
"Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach,"
Journal of Empirical Finance, Elsevier, vol. 73(C), pages 272-292.
- Nguyen, Hoang & Javed, Farrukh, 2021. "Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach," Working Papers 2021:15, Örebro University, School of Business.
- Li, Junye & Sarno, Lucio & Zinna, Gabriele, 2024. "Risks and risk premia in the US Treasury market," Journal of Economic Dynamics and Control, Elsevier, vol. 158(C).
- Michael D. Bauer & Glenn D. Rudebusch, 2017.
"Resolving the Spanning Puzzle in Macro-Finance Term Structure Models,"
Review of Finance, European Finance Association, vol. 21(2), pages 511-553.
- Michael D. Bauer & Glenn D. Rudebusch, 2015. "Resolving the Spanning Puzzle in Macro-Finance Term Structure Models," CESifo Working Paper Series 5187, CESifo.
- Michael D. Bauer & Glenn D. Rudebusch, 2015. "Resolving the spanning puzzle in macro-finance term structure models," Working Paper Series 2015-1, Federal Reserve Bank of San Francisco.
- Bernard Dumas & Marcel Savioz, 2023. "A Theory of the Nominal Character of Stock Securities," Review of Finance, European Finance Association, vol. 27(5), pages 1615-1657.
- Tsionas, Mike G. & Philippas, Dionisis & Philippas, Nikolaos, 2022. "Multivariate stochastic volatility for herding detection: Evidence from the energy sector," Energy Economics, Elsevier, vol. 109(C).
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NBER Chapters, in: Big Data for Twenty-First-Century Economic Statistics, pages 147-170,
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Cited by:
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Working Paper Series
2013-28, Federal Reserve Bank of San Francisco.
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1710.06526, arXiv.org, revised Apr 2019.
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"Benchmark Interest Rates When the Government is Risky,"
NBER Working Papers
26429, National Bureau of Economic Research, Inc.
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CEPR Discussion Papers
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"Asset Prices and Unemployment Fluctuations,"
Staff Report
591, Federal Reserve Bank of Minneapolis.
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IMFS Working Paper Series
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Cited by:
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University of Cyprus Working Papers in Economics
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- Elena Andreou & Eric Ghysels & Andros Kourtellos, 2010. "Should Macroeconomic Forecasters Use Daily Financial Data and How?," Working Paper series 42_10, Rimini Centre for Economic Analysis.
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NBER Working Papers
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"Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections,"
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Cited by:
- Jeremy J. Nalewaik, 2014. "Missing Variation in the Great Moderation: Lack of Signal Error and OLS Regression," Finance and Economics Discussion Series 2014-27, Board of Governors of the Federal Reserve System (U.S.).
- Aruoba, S. Borağan & Diebold, Francis X. & Nalewaik, Jeremy & Schorfheide, Frank & Song, Dongho, 2016.
"Improving GDP measurement: A measurement-error perspective,"
Journal of Econometrics, Elsevier, vol. 191(2), pages 384-397.
- S. Boraǧan Aruoba & Francis X. Diebold & Jeremy Nalewaik & Frank Schorfheide & Dongho Song, 2013. "Improving GDP Measurement: A Measurement-Error Perspective," NBER Working Papers 18954, National Bureau of Economic Research, Inc.
- S. Boragan Aruoba & Francis X. Diebold & Jeremy J. Nalewaik & Frank Schorfheide & Dongho Song, 2013. "Improving GDP measurement: a measurement-error perspective," Working Papers 13-16, Federal Reserve Bank of Philadelphia.
- Boragan Aruoba & Francis X. Diebold & Jeremy Nalewaik & Frank Schorfheide & Dongho Song, 2013. "Improving GDP Measurement: A Measurement-Error Perspective," PIER Working Paper Archive 13-016, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Tom Stark, 2014. "Real-time performance of GDPplus and alternative model-based measures of GDP: 2005—2014," Research Rap Special Report, Federal Reserve Bank of Philadelphia, issue Nov.
- Diebold, Francis X. & Shin, Minchul, 2019.
"Machine learning for regularized survey forecast combination: Partially-egalitarian LASSO and its derivatives,"
International Journal of Forecasting, Elsevier, vol. 35(4), pages 1679-1691.
- Francis X. Diebold & Minchul Shin, 2018. "Machine Learning for Regularized Survey Forecast Combination: Partially Egalitarian Lasso and its Derivatives," PIER Working Paper Archive 18-014, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 17 Aug 2018.
- Francis X. Diebold & Minchul Shin, 2018. "Machine Learning for Regularized Survey Forecast Combination: Partially-Egalitarian Lasso and its Derivatives," NBER Working Papers 24967, National Bureau of Economic Research, Inc.
- James Bishop & Troy Gill & David Lancaster, 2013. "GDP Revisions: Measurement and Implications," RBA Bulletin (Print copy discontinued), Reserve Bank of Australia, pages 11-22, March.
- Jan P.A.M. Jacobs & Samad Sarferaz & Simon van Norden & Jan-Egbert Sturm, 2013. "Modeling Multivariate Data Revisions," CIRANO Working Papers 2013s-44, CIRANO.
- Tomaz Cajner & Leland D. Crane & Ryan A. Decker & Adrian Hamins-Puertolas & Christopher Kurz, 2019.
"Improving the Accuracy of Economic Measurement with Multiple Data Sources: The Case of Payroll Employment Data,"
NBER Chapters, in: Big Data for Twenty-First-Century Economic Statistics, pages 147-170,
National Bureau of Economic Research, Inc.
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- Tomaz Cajner & Leland D. Crane & Ryan A. Decker & Adrian Hamins-Puertolas & Christopher J. Kurz, 2019. "Improving the Accuracy of Economic Measurement with Multiple Data Sources: The Case of Payroll Employment Data," Finance and Economics Discussion Series 2019-065, Board of Governors of the Federal Reserve System (U.S.).
- Francis X. Diebold & Minchul Shin, 2017. "Beating the Simple Average: Egalitarian LASSO for Combining Economic Forecasts," PIER Working Paper Archive 17-017, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 20 Aug 2017.
- Cobb, Marcus P A, 2018. "Improving Underlying Scenarios for Aggregate Forecasts: A Multi-level Combination Approach," MPRA Paper 88593, University Library of Munich, Germany.
- Mary C. Daly & John G. Fernald & Òscar Jordà & Fernanda Nechio, 2013. "Shocks and Adjustments," Working Paper Series 2013-32, Federal Reserve Bank of San Francisco.
- Marius Cristian Acatrinei, 2020. "Financial stability indicator for non-banking markets," Journal of Financial Studies, Institute of Financial Studies, vol. 9(5), pages 3-9, November.
Articles
- Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song, 2024.
"The Term Structure of Covered Interest Rate Parity Violations,"
Journal of Finance, American Finance Association, vol. 79(3), pages 2077-2114, June.
See citations under working paper version above.
- Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song, 2020. "The Term Structure of Covered Interest Rate Parity Violations," NBER Working Papers 27231, National Bureau of Economic Research, Inc.
- Elenev, Vadim & Law, Tzuo-Hann & Song, Dongho & Yaron, Amir, 2024.
"Fearing the Fed: How wall street reads main street,"
Journal of Financial Economics, Elsevier, vol. 153(C).
See citations under working paper version above.
- Tzuo Hann Law & Dongho Song & Amir Yaron, 2017. "Fearing the Fed: How Wall Street Reads Main Street," 2017 Meeting Papers 1632, Society for Economic Dynamics.
- Frank Schorfheide & Dongho Song, 2024.
"Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic,"
International Journal of Central Banking, International Journal of Central Banking, vol. 20(4), pages 275-320, October.
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- Schorfheide, Frank & Song, Dongho, 2021. "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," CEPR Discussion Papers 16760, C.E.P.R. Discussion Papers.
- Frank Schorfheide & Dongho Song, 2020. "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," Working Papers 20-26, Federal Reserve Bank of Philadelphia.
- Frank Schorfheide & Dongho Song, 2020. "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," PIER Working Paper Archive 20-039, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Frank Schorfheide & Dongho Song, 2021. "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," NBER Working Papers 29535, National Bureau of Economic Research, Inc.
- Dongho Song & Jenny Tang, 2023.
"News-Driven Uncertainty Fluctuations,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(3), pages 968-982, July.
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- Dongho Song & Jenny Tang, 2018. "News-driven uncertainty fluctuations," Working Papers 18-3, Federal Reserve Bank of Boston.
- Bianchi, Francesco & Bianchi, Giada & Song, Dongho, 2023.
"The long-term impact of the COVID-19 unemployment shock on life expectancy and mortality rates,"
Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
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- Francesco Bianchi & Giada Bianchi & Dongho Song, 2020. "The Long-Term Impact of the COVID-19 Unemployment Shock on Life Expectancy and Mortality Rates," NBER Working Papers 28304, National Bureau of Economic Research, Inc.
- Bianchi, Francesco & Bianchi, Giada & Song, Dongho, 2020. "The Long-Term Impact of the COVID-19 Unemployment Shock on Life Expectancy and Mortality Rates," CEPR Discussion Papers 15605, C.E.P.R. Discussion Papers.
- Augustin, P. & Chernov, M. & Schmid, L. & Song, D., 2021.
"Benchmark interest rates when the government is risky,"
Journal of Financial Economics, Elsevier, vol. 140(1), pages 74-100.
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- Chernov, Mikhail & Augustin, Patrick & Schmid, Lukas & Song, Dongho, 2019. "Benchmark interest rates when the government is risky," CEPR Discussion Papers 14105, C.E.P.R. Discussion Papers.
- Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song, 2019. "Benchmark Interest Rates When the Government is Risky," NBER Working Papers 26429, National Bureau of Economic Research, Inc.
- Bansal, Ravi & Miller, Shane & Song, Dongho & Yaron, Amir, 2021.
"The term structure of equity risk premia,"
Journal of Financial Economics, Elsevier, vol. 142(3), pages 1209-1228.
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- Ravi Bansal & Shane Miller & Dongho Song & Amir Yaron, 2019. "The Term Structure of Equity Risk Premia," NBER Working Papers 25690, National Bureau of Economic Research, Inc.
- Frank Schorfheide & Dongho Song & Amir Yaron, 2018.
"Identifying Long‐Run Risks: A Bayesian Mixed‐Frequency Approach,"
Econometrica, Econometric Society, vol. 86(2), pages 617-654, March.
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- Dongho Song & Amir Yaron & Frank Schorfheide, 2013. "Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach," 2013 Meeting Papers 580, Society for Economic Dynamics.
- Frank Schorfheide & Dongho Song & Amir Yaron, 2013. "Identifying long-run risks: a bayesian mixed-frequency approach," Working Papers 13-39, Federal Reserve Bank of Philadelphia.
- Frank Schorfheide & Dongho Song & Amir Yaron, 2014. "Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach," NBER Working Papers 20303, National Bureau of Economic Research, Inc.
- Dongho Song, 2017.
"Bond Market Exposures to Macroeconomic and Monetary Policy Risks,"
The Review of Financial Studies, Society for Financial Studies, vol. 30(8), pages 2761-2817.
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- Dongho Song, 2014. "Bond Market Exposures to Macroeconomic and Monetary Policy Risks," PIER Working Paper Archive 14-017, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Dongho Song, 2016. "Bond Market Exposures to Macroeconomic and Monetary Policy Risks," Boston College Working Papers in Economics 915, Boston College Department of Economics, revised 19 Jul 2016.
- Aruoba, S. Borağan & Diebold, Francis X. & Nalewaik, Jeremy & Schorfheide, Frank & Song, Dongho, 2016.
"Improving GDP measurement: A measurement-error perspective,"
Journal of Econometrics, Elsevier, vol. 191(2), pages 384-397.
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- S. Boraǧan Aruoba & Francis X. Diebold & Jeremy Nalewaik & Frank Schorfheide & Dongho Song, 2013. "Improving GDP Measurement: A Measurement-Error Perspective," NBER Working Papers 18954, National Bureau of Economic Research, Inc.
- S. Boragan Aruoba & Francis X. Diebold & Jeremy J. Nalewaik & Frank Schorfheide & Dongho Song, 2013. "Improving GDP measurement: a measurement-error perspective," Working Papers 13-16, Federal Reserve Bank of Philadelphia.
- Boragan Aruoba & Francis X. Diebold & Jeremy Nalewaik & Frank Schorfheide & Dongho Song, 2013. "Improving GDP Measurement: A Measurement-Error Perspective," PIER Working Paper Archive 13-016, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Frank Schorfheide & Dongho Song, 2015.
"Real-Time Forecasting With a Mixed-Frequency VAR,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(3), pages 366-380, July.
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- Frank Schorfheide & Dongho Song, 2013. "Real-Time Forecasting with a Mixed-Frequency VAR," NBER Working Papers 19712, National Bureau of Economic Research, Inc.
- Frank Schorfheide & Dongho Song, 2012. "Real-time forecasting with a mixed-frequency VAR," Working Papers 701, Federal Reserve Bank of Minneapolis.