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Publications

by members of

Department of Finance
Kellogg Graduate School of Management
Northwestern University
Evanston, Illinois (United States)

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institutions, not those affilated at the time of publication. List of registered members. Register yourself. Find also a compilation of publications from alumni here.

This page is updated in the first days of each month.


| Working papers | Journal articles | Chapters | Software components |

Working papers

Undated material is listed at the end

2014

  1. Justin Murfin & Mitchell Petersen, 2014. "Loans on Sale: Credit Market Seasonality, Borrower Need, and Lender Rent Seeking," NBER Working Papers 20310, National Bureau of Economic Research, Inc.
  2. Bidder, Rhys & Dew-Becker, Ian, 2014. "Long-run risk is the worst-case scenario: ambiguity aversion and non-parametric estimation of the endowment process," Working Paper Series 2014-16, Federal Reserve Bank of San Francisco.
  3. Efraim Benmelech & Carola Frydman, 2014. "Military CEOs," NBER Working Papers 19782, National Bureau of Economic Research, Inc.
  4. Efraim Benmelech & Nittai Bergman & Anna Milanez & Vladimir Mukharlyamov, 2014. "The Agglomeration of Bankruptcy," NBER Working Papers 20254, National Bureau of Economic Research, Inc.

2013

  1. Luigi Guiso & Paola Sapienza & Luigi Zingales, 2013. "Time Varying Risk Aversion," NBER Working Papers 19284, National Bureau of Economic Research, Inc.
  2. Luigi Guiso & Paola Sapienza & Luigi Zingales, 2013. "The Value of Corporate Culture," NBER Working Papers 19557, National Bureau of Economic Research, Inc.
  3. Leonid Kogan & Dimitris Papanikolaou & Noah Stoffman, 2013. "Technological Innovation: Winners and Losers," NBER Working Papers 18671, National Bureau of Economic Research, Inc.
  4. Andrew Ang & Dimitris Papanikolaou & Mark Westerfield, 2013. "Portfolio Choice with Illiquid Assets," NBER Working Papers 19436, National Bureau of Economic Research, Inc.
  5. Ian Dew-Becker & Stefano Giglio, 2013. "Asset Pricing in the Frequency Domain: Theory and Empirics," NBER Working Papers 19416, National Bureau of Economic Research, Inc.
  6. Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2013. "A robust neighborhood truncation approach to estimation of integrated quarticity," International Finance Discussion Papers 1078, Board of Governors of the Federal Reserve System (U.S.).
  7. Torben G. Andersen & Oleg Bondarenko & Viktor Todorov & George Tauchen, 2013. "The Fine Structure of Equity-Index Option Dynamics," CREATES Research Papers 2013-52, School of Economics and Management, University of Aarhus.
  8. Torben G. Andersen & Oleg Bondarenko, 2013. "Assessing Measures of Order Flow Toxicity via Perfect Trade Classification," CREATES Research Papers 2013-43, School of Economics and Management, University of Aarhus.
  9. Torben G. Andersen & Oleg Bondarenko, 2013. "Reflecting on the VPN Dispute," CREATES Research Papers 2013-42, School of Economics and Management, University of Aarhus.

2012

  1. Nir Jaimovich & Sergio Rebelo, 2012. "Non-linear Effects of Taxation on Growth," NBER Working Papers 18473, National Bureau of Economic Research, Inc.
  2. Martin S. Eichenbaum & Nir Jaimovich & Sergio Rebelo & Josephine Smith, 2012. "How Frequent Are Small Price Changes?," NBER Working Papers 17956, National Bureau of Economic Research, Inc.
  3. Albuquerque, Rui & Eichenbaum, Martin & Rebelo, Sérgio, 2012. "Valuation Risk and Asset Pricing," CEPR Discussion Papers 9262, C.E.P.R. Discussion Papers.
  4. Leonid Kogan & Dimitris Papanikolaou & Amit Seru & Noah Stoffman, 2012. "Technological Innovation, Resource Allocation, and Growth," NBER Working Papers 17769, National Bureau of Economic Research, Inc.
  5. Leonid Kogan & Dimitris Papanikolaou, 2012. "Growth Opportunities, Technology Shocks, and Asset Prices," NBER Working Papers 17795, National Bureau of Economic Research, Inc.
  6. Leonid Kogan & Dimitris Papanikolaou, 2012. "A Theory of Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks," NBER Working Papers 17975, National Bureau of Economic Research, Inc.
  7. Kent Daniel & Ravi Jagannathan & Soohun Kim, 2012. "Tail Risk in Momentum Strategy Returns," NBER Working Papers 18169, National Bureau of Economic Research, Inc.
  8. Zhi Da & Ravi Jagannathan & Jianfeng Shen, 2012. "Building Castles in the Air: Evidence from Industry IPO Waves," NBER Working Papers 18555, National Bureau of Economic Research, Inc.
  9. Juliano J. Assunção & Efraim Benmelech & Fernando S. S. Silva, 2012. "Repossession and the Democratization of Credit," NBER Working Papers 17858, National Bureau of Economic Research, Inc.
  10. Efraim Benmelech, 2012. "An Empirical Analysis of the Fed's Term Auction Facility," NBER Working Papers 18304, National Bureau of Economic Research, Inc.
  11. Sumit Agarwal & Efraim Benmelech & Nittai Bergman & Amit Seru, 2012. "Did the Community Reinvestment Act (CRA) Lead to Risky Lending?," NBER Working Papers 18609, National Bureau of Economic Research, Inc.

2011

  1. Craig Burnside & Martin Eichenbaum & Sergio Rebelo, 2011. "Understanding Booms and Busts in Housing Markets," NBER Working Papers 16734, National Bureau of Economic Research, Inc.
  2. Craig Burnside & Martin S. Eichenbaum & Sergio Rebelo, 2011. "Carry Trade and Momentum in Currency Markets," NBER Working Papers 16942, National Bureau of Economic Research, Inc.
  3. Eberly, Janice & Rebelo, Sérgio & Vincent, Nicolas, 2011. "What Explains the Lagged Investment Effect?," CEPR Discussion Papers 8309, C.E.P.R. Discussion Papers.
  4. Ravi Jagannathan & Iwan Meier & Vefa Tarhan, 2011. "The Cross-Section of Hurdle Rates for Capital Budgeting: An Empirical Analysis of Survey Data," NBER Working Papers 16770, National Bureau of Economic Research, Inc.
  5. Ravi Jagannathan & Srikant Marakani, 2011. "Price Dividend Ratio Factors : Proxies for Long Run Risk," NBER Working Papers 17484, National Bureau of Economic Research, Inc.
  6. Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2011. "A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation," CREATES Research Papers 2011-23, School of Economics and Management, University of Aarhus.
  7. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," CREATES Research Papers 2011-37, School of Economics and Management, University of Aarhus.
  8. Torben G. Andersen & Oleg Bondarenko & Maria T. Gonzalez-Perez, 2011. "Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX," CREATES Research Papers 2011-49, School of Economics and Management, University of Aarhus.
  9. Torben G. Andersen & Oleg Bondarenko, 2011. "VPIN and the Flash Crash," CREATES Research Papers 2011-50, School of Economics and Management, University of Aarhus.
  10. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2011. "Parametric Inference and Dynamic State Recovery from Option Panels," CREATES Research Papers 2012-11, School of Economics and Management, University of Aarhus.
  11. Efraim Benmelech & Jennifer Dlugosz & Victoria Ivashina, 2011. "Securitization without Adverse Selection: The Case of CLOs," NBER Working Papers 16766, National Bureau of Economic Research, Inc.
  12. Efraim Benmelech & Nittai K. Bergman & Amit Seru, 2011. "Financing Labor," NBER Working Papers 17144, National Bureau of Economic Research, Inc.
  13. Efraim Benmelech & Nittai K. Bergman & Ricardo Enriquez, 2011. "Negotiating with Labor Under Financial Distress," NBER Working Papers 17192, National Bureau of Economic Research, Inc.
  14. Efraim Benmelech & Eyal Dvir, 2011. "Does Short-Term Debt Increase Vulnerability to Crisis? Evidence from the East Asian Financial Crisis," NBER Working Papers 17468, National Bureau of Economic Research, Inc.

2010

  1. Steven L. Heston & Robert A. Korajczyk & Ronnie Sadka, 2010. "Intraday Patterns in the Cross-section of Stock Returns," Papers 1005.3535, arXiv.org.
  2. Nicole M. Baran & Paola Sapienza & Luigi Zingales, 2010. "Can we infer social preferences from the lab? Evidence from the trust game," NBER Working Papers 15654, National Bureau of Economic Research, Inc.
  3. Luigi Guiso & Paola Sapienza & Luigi Zingales, 2010. "Civic Capital as the Missing Link," NBER Working Papers 15845, National Bureau of Economic Research, Inc.
  4. Ravi Jagannathan & Andrei Jirnyi & Ann Sherman, 2010. "Why Don't Issuers Choose IPO Auctions? The Complexity of Indirect Mechanisms," NBER Working Papers 16214, National Bureau of Economic Research, Inc.
  5. Efraim Benmelech & Nittai K. Bergman, 2010. "Bankruptcy and the Collateral Channel," NBER Working Papers 15708, National Bureau of Economic Research, Inc.
  6. Efraim Benmelech & Nittai K. Bergman, 2010. "Vintage Capital and Creditor Protection," NBER Working Papers 15735, National Bureau of Economic Research, Inc.
  7. Efraim Benmelech & Nittai K. Bergman, 2010. "Credit Traps," NBER Working Papers 16200, National Bureau of Economic Research, Inc.
  8. Efraim Benmelech & Claude Berrebi & Esteban F. Klor, 2010. "Economic Conditions and the Quality of Suicide Terrorism," NBER Working Papers 16320, National Bureau of Economic Research, Inc.
  9. Efraim Benmelech & Claude Berrebi & Esteban Klor, 2010. "Counter-Suicide-Terrorism: Evidence from House Demolitions," NBER Working Papers 16493, National Bureau of Economic Research, Inc.

2009

  1. Lawrence Christiano & Martin Eichenbaum & Sergio Rebelo, 2009. "When is the government spending multiplier large?," NBER Working Papers 15394, National Bureau of Economic Research, Inc.
  2. Luigi Guiso & Paola Sapienza & Luigi Zingales, 2009. "Moral and Social Constraints to Strategic Default on Mortgages," NBER Working Papers 15145, National Bureau of Economic Research, Inc.
  3. Panousi, Vasia & Papanikolaou, Dimitris, 2009. "Investment, idiosyncratic risk, and ownership," MPRA Paper 24239, University Library of Munich, Germany.
  4. Dimitris Papanikolaou & Andrea Eisfeldt, 2009. "Organization Capital and the Cross-Section of Expected Returns," 2009 Meeting Papers 671, Society for Economic Dynamics.
  5. Dimitris Papanikolaou & Leonid Kogan, 2009. "Growth opportunities and Investment-Specific Technology Shocks," 2009 Meeting Papers 122, Society for Economic Dynamics.
  6. Andrew B. Abel & Janice C. Eberly & Stavros Panageas, 2009. "Optimal Inattention to the Stock Market with Information Costs and Transactions Costs," NBER Working Papers 15010, National Bureau of Economic Research, Inc.
  7. Michael Faulkender & Mitchell Petersen, 2009. "Investment and Capital Constraints: Repatriations Under the American Jobs Creation Act," NBER Working Papers 15248, National Bureau of Economic Research, Inc.
  8. Zhi Da & Re-Jin Guo & Ravi Jagannathan, 2009. "CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence," NBER Working Papers 14889, National Bureau of Economic Research, Inc.
  9. Ravi Jagannathan & Mudit Kapoor & Ernst Schaumburg, 2009. "Causes of the Great Recession of 2007-9: The Financial Crisis is the Symptom not the Disease!," NBER Working Papers 15404, National Bureau of Economic Research, Inc.
  10. Benjamin Chabot & Eric Ghysels & Ravi Jagannathan, 2009. "Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets," NBER Working Papers 15591, National Bureau of Economic Research, Inc.
  11. Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2009. "Duration-Based Volatility Estimation," Global COE Hi-Stat Discussion Paper Series gd08-034, Institute of Economic Research, Hitotsubashi University.
  12. Torben G. Andersen & Luca Benzoni, 2009. "Stochastic volatility," Working Paper Series WP-09-04, Federal Reserve Bank of Chicago.
  13. Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2009. "Jump-Robust Volatility Estimation using Nearest Neighbor Truncation," NBER Working Papers 15533, National Bureau of Economic Research, Inc.
  14. Torben G. Andersen & Viktor Todorov, 2009. "Realized Volatility and Multipower Variation," CREATES Research Papers 2009-49, School of Economics and Management, University of Aarhus.
  15. Efraim Benmelech & Jennifer Dlugosz, 2009. "The Alchemy of CDO Credit Ratings," NBER Working Papers 14878, National Bureau of Economic Research, Inc.
  16. Efraim Benmelech & Jennifer Dlugosz, 2009. "The Credit Rating Crisis," NBER Working Papers 15045, National Bureau of Economic Research, Inc.
    • Efraim Benmelech & Jennifer Dlugosz, 2010. "The Credit Rating Crisis," NBER Chapters, in: NBER Macroeconomics Annual 2009, Volume 24, pages 161-207 National Bureau of Economic Research, Inc.
  17. Efraim Benmelech & Claude Berrebi & Esteban F. Klor, 2009. "The Economic Cost of Harboring Terrorism," NBER Working Papers 15465, National Bureau of Economic Research, Inc.

2008

  1. Eberly, Janice & Rebelo, Sérgio & Vincent, Nicolas, 2008. "Investment and Value: A Neoclassical Benchmark," CEPR Discussion Papers 6737, C.E.P.R. Discussion Papers.
  2. A. Craig Burnside & Martin S. Eichenbaum & Isaac Kleshchelski & Sergio Rebelo, 2008. "Do Peso Problems Explain the Returns to the Carry Trade?," NBER Working Papers 14054, National Bureau of Economic Research, Inc.
  3. Eichenbaum, Martin & Jaimovich, Nir & Rebelo, Sérgio, 2008. "Reference Prices and Nominal Rigidities," CEPR Discussion Papers 6709, C.E.P.R. Discussion Papers.
  4. Luigi Guiso & Paola Sapienza & Luigi Zingales, 2008. "Long Term Persistence," NBER Working Papers 14278, National Bureau of Economic Research, Inc.
  5. Reuben, Ernesto & Sapienza, Paola & Zingales, Luigi, 2008. "Is mistrust self-fulfilling?," MPRA Paper 10653, University Library of Munich, Germany.
  6. Reuben, Ernesto & Sapienza, Paola & Zingales, Luigi, 2008. "Time discounting for primary and monetary rewards," MPRA Paper 10650, University Library of Munich, Germany.
  7. Dimitris Papanikolaou, 2008. "Investment-Specific Technological Change and Asset Prices," 2008 Meeting Papers 637, Society for Economic Dynamics.
  8. Benjamin Chabot & Eric Ghysels & Ravi Jagannathan, 2008. "Price Momentum In Stocks: Insights From Victorian Age Data," NBER Working Papers 14500, National Bureau of Economic Research, Inc.
  9. Zhi Da & Pengjie Gao & Ravi Jagannathan, 2008. "Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds," NBER Working Papers 14609, National Bureau of Economic Research, Inc.
  10. Ian Dew-Becker & Robert J. Gordon, 2008. "The Role of Labor Market Changes in the Slowdown of European Productivity Growth," NBER Working Papers 13840, National Bureau of Economic Research, Inc.
  11. Dew-Becker, Ian & Gordon, Robert J, 2008. "Controversies about the Rise in American Inequality: A Survey," CEPR Discussion Papers 6817, C.E.P.R. Discussion Papers.
  12. Ian Dew-Becker, 2008. "How Much Sunlight Does it Take to Disinfect a Boardroom? A Short History of Executive Compensation Regulation," CESifo Working Paper Series 2379, CESifo Group Munich.
  13. Neil Shephard & Torben G. Andersen, 2008. "Stochastic Volatility: Origins and Overview," OFRC Working Papers Series 2008fe23, Oxford Financial Research Centre.
  14. Torben G. Andersen & Tim Bollerslev & Per Frederiksen & Morten Ørregaard Nielsen, 2008. "Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns," Working Papers 1173, Queen's University, Department of Economics.
  15. Torben G. Andersen & Luca Benzoni, 2008. "Realized volatility," Working Paper Series WP-08-14, Federal Reserve Bank of Chicago.
  16. Efraim Benmelech & Nittai K. Bergman, 2008. "Collateral Pricing," NBER Working Papers 13874, National Bureau of Economic Research, Inc.
  17. Efraim Benmelech & Nittai K. Bergman, 2008. "Liquidation Values and the Credibility of Financial Contract Renegotiation: Evidence from U.S. Airlines," NBER Working Papers 14059, National Bureau of Economic Research, Inc.

2007

  1. Craig Burnside & Martin Eichenbaum & Sergio Rebelo, 2007. "The Returns to Currency Speculation in Emerging Markets," NBER Working Papers 12916, National Bureau of Economic Research, Inc.
  2. Burnside, A Craig & Eichenbaum, Martin & Rebelo, Sérgio, 2007. "Understanding the Forward Premium Puzzle: A Microstructure Approach," CEPR Discussion Papers 6399, C.E.P.R. Discussion Papers.
  3. Nir Jaimovich & Sergio Rebelo, 2007. "News and Business Cycles in Open Economies," NBER Working Papers 13444, National Bureau of Economic Research, Inc.
  4. Hochberg, Yael & Sapienza, Paola & Vissing-Jorgensen, Annette, 2007. "A Lobbying Approach to Evaluating the Sarbanes-Oxley Act of 2002," CEPR Discussion Papers 6201, C.E.P.R. Discussion Papers.
  5. Paola Sapienza & Anna Toldra & Luigi Zingales, 2007. "Understanding Trust," NBER Working Papers 13387, National Bureau of Economic Research, Inc.
  6. Luigi Guiso & Paola Sapienza & Luigi Zingales, 2007. "Social Capital as Good Culture," NBER Working Papers 13712, National Bureau of Economic Research, Inc.
  7. Ernesto Reuben & Paola Sapienza & Luigi Zingales, 2007. "Procrastination and Impatience," NBER Working Papers 13713, National Bureau of Economic Research, Inc.
  8. Zhi Da & Pengjie Gao & Ravi Jagannathan, 2007. "When Does a Mutual Fund's Trade Reveal its Skill?," NBER Working Papers 13625, National Bureau of Economic Research, Inc.
  9. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2007. "Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets," CREATES Research Papers 2007-20, School of Economics and Management, University of Aarhus.
  10. Torben G. Andersen & Luca Benzoni, 2007. "Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models," NBER Working Papers 12962, National Bureau of Economic Research, Inc.
  11. Torben G. Andersen & Tim Bollerslev & Dobrislav Dobrev, 2007. "No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications," NBER Working Papers 12963, National Bureau of Economic Research, Inc.
  12. Torben G. Andersen & Oleg Bondarenko, 2007. "Construction and Interpretation of Model-Free Implied Volatility," CREATES Research Papers 2007-24, School of Economics and Management, University of Aarhus.
  13. Torben G. Andersen & Tim Bollerslev & Xin Huang, 2007. "A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures," CREATES Research Papers 2007-14, School of Economics and Management, University of Aarhus.
  14. Efraim Benmelech & Tobias J. Moskowitz, 2007. "The Political Economy of Financial Regulation: Evidence from U.S. State Usury Laws in the 19th Century," NBER Working Papers 12851, National Bureau of Economic Research, Inc.
  15. Benmelech, Effi & Kandel, Eugene & Veronesi, Pietro, 2007. "Stock-Based Compensation and CEO (Dis)Incentives," CEPR Discussion Papers 6515, C.E.P.R. Discussion Papers.
  16. Efraim Benmelech & Claude Berrebi, 2007. "Attack Assignments in Terror Organizations and The Productivity of Suicide Bombers," NBER Working Papers 12910, National Bureau of Economic Research, Inc.

2006

  1. Craig Burnside & Martin Eichenbaum & Isaac Kleshchelski & Sergio Rebelo, 2006. "The Returns to Currency Speculation," NBER Working Papers 12489, National Bureau of Economic Research, Inc.
  2. Sergio Rebelo & Carlos A. Vegh, 2006. "When Is It Optimal to Abandon a Fixed Exchange Rate?," NBER Working Papers 12793, National Bureau of Economic Research, Inc.
  3. Nir Jaimovich & Sergio Rebelo, 2006. "Can News About the Future Drive the Business Cycle?," 2006 Meeting Papers 31, Society for Economic Dynamics.
  4. Nir Jaimovich & Sergio Rebelo, 2006. "Behavioral Theories of the Business Cycle," NBER Working Papers 12570, National Bureau of Economic Research, Inc.
  5. Enrichetta Ravina & Paola Sapienza, 2006. "What Do Outside Directors Know? Evidence From Outsider Trading," 2006 Meeting Papers 882, Society for Economic Dynamics.
  6. Guiso, Luigi & Sapienza, Paola & Zingales, Luigi, 2006. "The Cost of Banking Regulation," CEPR Discussion Papers 5864, C.E.P.R. Discussion Papers.
  7. Paola Sapienza & Luigi Zingales & Luigi Guiso, 2006. "Does Culture Affect Economic Outcomes?," NBER Working Papers 11999, National Bureau of Economic Research, Inc.
  8. Enrichetta Ravina & Paola Sapienza, 2006. "What Do Independent Directors Know? Evidence from Their Trading," NBER Working Papers 12765, National Bureau of Economic Research, Inc.
  9. Ravi Jagannathan & Alexey Malakhov & Dmitry Novikov, 2006. "Do Hot Hands Exist Among Hedge Fund Managers? An Empirical Evaluation," NBER Working Papers 12015, National Bureau of Economic Research, Inc.
  10. Ravi Jagannathan & Ann E. Sherman, 2006. "Why Do IPO Auctions Fail?," NBER Working Papers 12151, National Bureau of Economic Research, Inc.

2005

  1. Sergio Rebelo, 2005. "Real Business Cycle Models: Past, Present, and Future," NBER Working Papers 11401, National Bureau of Economic Research, Inc.
  2. Ariel Burstein & Martin Eichenbaum & Sergio Rebelo, 2005. "Modeling Exchange Rate Passthrough After Large Devaluations," RCER Working Papers 514, University of Rochester - Center for Economic Research (RCER).
  3. Ariel Burstein & Martin Eichenbaum & Sergio Rebelo, 2005. "The Importance of Nontradable Goods' Prices in Cyclical Real Exchange Rate Fluctuations," NBER Working Papers 11699, National Bureau of Economic Research, Inc.
  4. Luigi Guiso & Paola Sapienza & Luigi Zingales, 2005. "Trusting the Stock Market," NBER Working Papers 11648, National Bureau of Economic Research, Inc.
  5. Mitchell A. Petersen, 2005. "Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches," NBER Working Papers 11280, National Bureau of Economic Research, Inc.
  6. Ravi Jagannathan & Yong Wang, 2005. "Consumption Risk and the Cost of Equity Capital," NBER Working Papers 11026, National Bureau of Economic Research, Inc.
  7. Ian Dew-Becker & Robert J. Gordon, 2005. "Where Did the Productivity Growth Go? Inflation Dynamics and the Distribution of Income," NBER Working Papers 11842, National Bureau of Economic Research, Inc.
  8. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2005. "Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility," NBER Working Papers 11775, National Bureau of Economic Research, Inc.
  9. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2005. "Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets," NBER Working Papers 11312, National Bureau of Economic Research, Inc.
  10. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Practical Volatility and Correlation Modeling for Financial Market Risk Management," NBER Working Papers 11069, National Bureau of Economic Research, Inc.
  11. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Volatility Forecasting," PIER Working Paper Archive 05-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  12. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin (Ginger) Wu, 2005. "A Framework for Exploring the Macroeconomic Determinants of Systematic Risk," PIER Working Paper Archive 05-009, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  13. Bernard S. Black & Inessa Love & Andrei Rachinsky, 2005. "Corporate Governance and Firms' Market Values: Time Series Evidence from Russia," Working Papers w0053, Center for Economic and Financial Research (CEFIR).

2004

  1. Ariel Burstein & Joao C. Neves & Sergio Rebelo, 2004. "Investment Prices and Exchange Rates: Some Basic Facts," NBER Working Papers 10238, National Bureau of Economic Research, Inc.
  2. Sergio Rebelo & Ariel Burstein & Martin Eichenbaum, 2004. "Large Devaluations and the Real Exchange Rate," 2004 Meeting Papers 137, Society for Economic Dynamics.
  3. Luigi Guiso & Paola Sapienza & Luigi Zingales, 2004. "Cultural Biases in Economic Exchange," NBER Working Papers 11005, National Bureau of Economic Research, Inc.
  4. Janice C. Eberly & Andrew B. Abel, 2004. "Q Theory Without Adjustment Costs & Cash Flow Effects Without Financing Constraints," 2004 Meeting Papers 205, Society for Economic Dynamics.
  5. Gopal K. Basak & Ravi Jagannathan & Tongshu Ma, 2004. "A Jackknife Estimator for Tracking Error Variance of Optimal Portfolios Constructed Using Estimated Inputs1," NBER Working Papers 10447, National Bureau of Economic Research, Inc.
  6. Jesper Lund & Torben G. Andersen & Luca Benzoni, 2004. "Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature," Econometric Society 2004 North American Winter Meetings 432, Econometric Society.
  7. Efraim Benmelech & Mark J. Garmaise & Tobias Moskowitz, 2004. "Do Liquidation Values Affect Financial Contracts? Evidence from Commercial Loan Contracts and Zoning Regulation," NBER Working Papers 11004, National Bureau of Economic Research, Inc.

2003

  1. Robert A. Korajczyk & Ronnie Sadka, 2003. "Are Momentum Profits Robust to Trading Costs?," Finance 0308004, EconWPA.
  2. Craig Burnside & Martin Eichenbaum & Sergio Rebelo, 2003. "Government Finance in the Wake of Currency Crises," RCER Working Papers 501, University of Rochester - Center for Economic Research (RCER).
  3. Ariel Burstein & Martin Eichenbaum & Sergio Rebelo, 2003. "Why is Inflation so Low after Large Devaluations?," IEHAS Discussion Papers 0308, Institute of Economics, Centre for Economic and Regional Studies, Hungarian Academy of Sciences.
  4. Polk, Christopher & Sapienza, Paola, 2003. "The Real Effects of Investor Sentiment," CEPR Discussion Papers 3826, C.E.P.R. Discussion Papers.
  5. Michael Faulkender & Mitchell A. Petersen, 2003. "Does the Source of Capital Affect Capital Structure?," NBER Working Papers 9930, National Bureau of Economic Research, Inc.
  6. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin Wu, 2003. "Realized Beta: Persistence and Predictability," PIER Working Paper Archive 04-018, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Mar 2004.
  7. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2003. "Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility," PIER Working Paper Archive 03-025, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Sep 2003.

2002

  1. Ariel Burstein & Martin Eichenbaum & Sergio T. Rebelo, 2002. "Why Are Rates of Inflation So Low After Large Devaluations?," RCER Working Papers 486, University of Rochester - Center for Economic Research (RCER).
  2. Sapienza, Paola, 2002. "What Do State-Owned Firms Maximize? Evidence from the Italian Banks," CEPR Discussion Papers 3168, C.E.P.R. Discussion Papers.
  3. Guiso, Luigi & Sapienza, Paola & Zingales, Luigi, 2002. "Does Local Financial Development Matter?," CEPR Discussion Papers 3307, C.E.P.R. Discussion Papers.
  4. Guiso, Luigi & Sapienza, Paola & Zingales, Luigi, 2002. "People's Opium? Religion and Economic Attitudes," CEPR Discussion Papers 3588, C.E.P.R. Discussion Papers.
  5. Allen N. Berger & Nathan H. Miller & Mitchell A. Petersen & Raghuram G. Rajan & Jeremy C. Stein, 2002. "Does Function Follow Organizational Form? Evidence From the Lending Practices of Large and Small Banks," NBER Working Papers 8752, National Bureau of Economic Research, Inc.
  6. Ravi Jagannathan & Tongshu Ma, 2002. "Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps," NBER Working Papers 8922, National Bureau of Economic Research, Inc.
  7. Arik Ben Dor & Ravi Jagannathan, 2002. "Understanding Mutual Fund and Hedge Fund Styles Using Return Based Style Analysis," NBER Working Papers 9111, National Bureau of Economic Research, Inc.
  8. Ravi Jagannathan & Iwan Meier, 2002. "Do We Need CAPM for Capital Budgeting?," NBER Working Papers 8719, National Bureau of Economic Research, Inc.
  9. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2002. "Parametric and Nonparametric Volatility Measurement," NBER Technical Working Papers 0279, National Bureau of Economic Research, Inc.
  10. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," Working Papers 02-16, Duke University, Department of Economics.
  11. Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2002. "Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities," CIRANO Working Papers 2002s-91, CIRANO.
  12. Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2002. "Analytic Evaluation of Volatility Forecasts," CIRANO Working Papers 2002s-90, CIRANO.

2001

  1. Craig Burnside & Martin Eichenbaum & Sergio Rebelo, 2001. "On the fiscal implications of twin crises," Working Paper Series WP-01-02, Federal Reserve Bank of Chicago.
  2. John H. Boyd & Ravi Jagannathan & Jian Hu, 2001. "The Stock Market's Reaction to Unemployment News: Why Bad News is Usually Good for Stocks," NBER Working Papers 8092, National Bureau of Economic Research, Inc.
  3. Ravi Jagannathan & Andrew Kaplin & Steve Guoqiang Sun, 2001. "An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices," NBER Working Papers 8682, National Bureau of Economic Research, Inc.
  4. Ravi Jagannathan & Zhenyu Wang, 2001. "Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods," NBER Working Papers 8098, National Bureau of Economic Research, Inc.
  5. Ravi Jagannathan & Ellen R. McGrattan & Anna Scherbina, 2001. "The Declining U.S. Equity Premium," NBER Working Papers 8172, National Bureau of Economic Research, Inc.
  6. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2001. "Modeling and Forecasting Realized Volatility," NBER Working Papers 8160, National Bureau of Economic Research, Inc.
  7. Torben G. Andersen & Luca Benzoni & Jesper Lund, 2001. "An Empirical Investigation of Continuous-Time Equity Return Models," NBER Working Papers 8510, National Bureau of Economic Research, Inc.

2000

  1. Robert G. King & Sergio T. Rebelo, 2000. "Resuscitating Real Business Cycles," NBER Working Papers 7534, National Bureau of Economic Research, Inc.
  2. Craig Burnside & Martin Eichenbaum & Sergio T. Rebelo, 2000. "On the Fundamentals of Self-Fulfilling Speculative Attacks," NBER Working Papers 7554, National Bureau of Economic Research, Inc.
  3. Ariel T. Burstein & Joao C. Neves & Sergio Rebelo, 2000. "Distribution Costs and Real Exchange Rate Dynamics During Exchange-Rate-Based-Stabilizations," NBER Working Papers 7862, National Bureau of Economic Research, Inc.
  4. Craig Burnside & Martin Eichenbaum & Sergio T. Rebelo, 2000. "On the Fundamentals of Self-Fulfilling Prophecies," RCER Working Papers 468, University of Rochester - Center for Economic Research (RCER).
  5. Guiso, Luigi & Sapienza, Paola & Zingales, Luigi, 2000. "The Role of Social Capital In Financial Development," CEPR Discussion Papers 2383, C.E.P.R. Discussion Papers.
  6. Mitchell A. Petersen & Raghuram G. Rajan, 2000. "Does Distance Still Matter? The Information Revolution in Small Business Lending," NBER Working Papers 7685, National Bureau of Economic Research, Inc.
  7. Ravi Jagannathan & Shaker B. Srinivasan, 2000. "Does Product Market Competition Reduce Agency Costs?," NBER Working Papers 7480, National Bureau of Economic Research, Inc.
  8. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Heiko Ebens, 2000. "The Distribution of Stock Return Volatility," Center for Financial Institutions Working Papers 00-27, Wharton School Center for Financial Institutions, University of Pennsylvania.

1999

  1. Burnside, A Craig & Eichenbaum, Martin & Rebelo, Sérgio, 1999. "Hedging and Financial Fragility in Fixed Exchange Rate Regimes," CEPR Discussion Papers 2171, C.E.P.R. Discussion Papers.
  2. Burnside, C. & Eichenbaum, M. & Rebelo, S., 1999. "Hedging and Financial Fragilities in Fixed Exchange Rate Regimes," RCER Working Papers 461, University of Rochester - Center for Economic Research (RCER).
  3. Steven Huddart & Ravi Jagannathan & Jane Saly, 1999. "Valuing the Reload Features of Executive Stock Options," NBER Working Papers 7020, National Bureau of Economic Research, Inc.
  4. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian," Center for Financial Institutions Working Papers 00-29, Wharton School Center for Financial Institutions, University of Pennsylvania.
  5. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-059, New York University, Leonard N. Stern School of Business-.
  6. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "(Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-061, New York University, Leonard N. Stern School of Business-.

1998

  1. Burnside, A Craig & Eichenbaum, Martin & Rebelo, Sérgio, 1998. "Prospective Deficits and the Asian Currency Crises," CEPR Discussion Papers 2015, C.E.P.R. Discussion Papers.
  2. Rui Albuquerque & Sergio Rebelo, 1998. "On the Dynamics of Trade Reform," NBER Working Papers 6700, National Bureau of Economic Research, Inc.
  3. Rebelo, S., 1998. "The Role of Knowledge and Capital in Economic Growth," Research Paper 149, World Institute for Development Economics Research.

1997

  1. Gomes, Joao F & Greenwood, Jeremy & Rebelo, Sérgio, 1997. "Equilibrium Unemployment," CEPR Discussion Papers 1602, C.E.P.R. Discussion Papers.
  2. Rebelo, Sérgio, 1997. "What Happens When Countries Peg Their Exchange Rates? (The Real Side of Monetary Reforms)," CEPR Discussion Papers 1692, C.E.P.R. Discussion Papers.
  3. Kongsamut, Piyabha & Rebelo, Sérgio & Xie, Danyang, 1997. "Beyond Balanced Growth," CEPR Discussion Papers 1693, C.E.P.R. Discussion Papers.
  4. Sergio Rebelo & Danyang Xie, 1997. "On the Optimality of Interest Rate Smoothing," NBER Working Papers 5947, National Bureau of Economic Research, Inc.
  5. Rebelo, S., 1997. "On the Determinant of Economic Growth," RCER Working Papers 443, University of Rochester - Center for Economic Research (RCER).
  6. Andrew B. Abel & Janice C. Eberly, 1997. "The Mix and Scale of Factors with Irreversibility and Fixed Costs of Investment," NBER Working Papers 6148, National Bureau of Economic Research, Inc.
  7. Ravi Jagannathan & Keiichi Kubota & Hitoshi Takehara, 1997. "Relationship between labor-income risk and average return: empirical evidence from the Japanese stock market," Discussion Paper / Institute for Empirical Macroeconomics 117, Federal Reserve Bank of Minneapolis.
  8. Murray Frank & Ravi Jagannathan, 1997. "Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes," Staff Report 229, Federal Reserve Bank of Minneapolis.
  9. Torben G. Andersen & Tim Bollerslev, 1997. "Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts," NBER Working Papers 6023, National Bureau of Economic Research, Inc.

1996

  1. Mitchell A. Petersen & Raghuram G. Rajan, 1996. "Trade Credit: Theories and Evidence," NBER Working Papers 5602, National Bureau of Economic Research, Inc.
  2. Ravi Jagannathan & Zhenyu Wang, 1996. "The conditional CAPM and the cross-section of expected returns," Staff Report 208, Federal Reserve Bank of Minneapolis.
  3. Wayne E. Ferson & Ravi Jagannathan, 1996. "Econometric evaluation of asset pricing models," Staff Report 206, Federal Reserve Bank of Minneapolis.
  4. Torben G. Andersen & Tim Bollerslev, 1996. "Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns," NBER Working Papers 5752, National Bureau of Economic Research, Inc.
  5. Torben G. Andersen & Tim Bollerslev, 1996. "DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies," NBER Working Papers 5783, National Bureau of Economic Research, Inc.

1995

  1. Korajczyk, Robert A., 1995. "A measure of stock market integration for developed and emerging markets," Policy Research Working Paper Series 1482, The World Bank.
  2. Rebelo, Sérgio, 1995. "Real Effects of Exchange-Rate-Based Stabilization: An Analysis of Competing Theories," CEPR Discussion Papers 1220, C.E.P.R. Discussion Papers.
  3. Burnside, A Craig & Eichenbaum, Martin & Rebelo, Sérgio, 1995. "Capital Utilization and Returns to Scale," CEPR Discussion Papers 1221, C.E.P.R. Discussion Papers.
  4. Craig Burnside & Martin Eichenbaum & Sergio Rebelo, 1995. "Sectoral Solow residuals," Working Paper Series, Macroeconomic Issues 95-15, Federal Reserve Bank of Chicago.
  5. Andrew B. Abel & Janice C. Eberly, 1995. "Optimal Investment with Costly Reversibility," NBER Working Papers 5091, National Bureau of Economic Research, Inc.
  6. Torben G. Andersen & Bent E. Sorensen, 1995. "GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study," Discussion Papers 95-19, University of Copenhagen. Department of Economics.

1994

  1. Easterly, William & Rebelo, Sérgio, 1994. "Fiscal Policy and Economic Growth: An Empirical Investigation," CEPR Discussion Papers 885, C.E.P.R. Discussion Papers.
  2. Easterly, William & King, Robert G & Levine, Ross & Rebelo, Sérgio, 1994. "Policy, Technology Adoption and Growth," CEPR Discussion Papers 957, C.E.P.R. Discussion Papers.
  3. Correia, Maria Isabel Horta & Neves, Joao C & Rebelo, Sérgio, 1994. "Business Cycles in a Small Open Economy," CEPR Discussion Papers 996, C.E.P.R. Discussion Papers.
  4. Mitchell A. Petersen & Raghuram G. Rajan, 1994. "The Effect of Credit Market Competition on Lending Relationships," NBER Working Papers 4921, National Bureau of Economic Research, Inc.
  5. John H. Boyd & Ravi Jagannathan, 1994. "Ex-dividend price behavior of common stocks," Staff Report 173, Federal Reserve Bank of Minneapolis.
  6. Lars Peter Hansen & Ravi Jagannathan, 1994. "Assessing Specification Errors in Stochastic Discount Factor Models," NBER Technical Working Papers 0153, National Bureau of Economic Research, Inc.

1993

  1. Nancy L. Stokey & Sergio Rebelo, 1993. "Growth Effects of Flat-Rate Taxes," NBER Working Papers 4426, National Bureau of Economic Research, Inc.
  2. Leslie E. Papke & Mitchell Petersen & James M. Poterba, 1993. "Did 401(k) Plans Replace Other Employer Provided Pensions?," NBER Working Papers 4501, National Bureau of Economic Research, Inc.
  3. Lawrence R. Glosten & Ravi Jagannathan, 1993. "A contingent claim approach to performance evaluation," Staff Report 159, Federal Reserve Bank of Minneapolis.
  4. Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report 157, Federal Reserve Bank of Minneapolis.
  5. Ravi Jagannathan & Zhenyu Wang, 1993. "The CAPM is alive and well," Staff Report 165, Federal Reserve Bank of Minneapolis.

1992

  1. Victor Zarnowitz & Phillip Braun, 1992. "Twenty-two Years of the NBER-ASA Quarterly Economic Outlook Surveys: Aspects and Comparisons of Forecasting Performance," NBER Working Papers 3965, National Bureau of Economic Research, Inc.
  2. Phillip A. Braun & George M. Constantinides & Wayne E. Ferson, 1992. "Time Nonseparability in Aggregate Consumption: International Evidence," NBER Working Papers 4104, National Bureau of Economic Research, Inc.
  3. Rebelo, Sérgio, 1992. "Growth in Open Economies," CEPR Discussion Papers 667, C.E.P.R. Discussion Papers.
  4. Easterly, W. & King, R. & Levine, R. & Rebelo, S., 1992. "How Do National Policies Affect Long-Run Growth? A Research Agenda," World Bank - Discussion Papers 164, World Bank.
  5. Easterly, William & Rebelo, Sergio, 1992. "Marginal income tax rates and economic growth in developing countries," Policy Research Working Paper Series 1050, The World Bank.

1990

  1. Sergio T. Rebelo, 1990. "Long Run Policy Analysis and Long Run Growth," NBER Working Papers 3325, National Bureau of Economic Research, Inc.
  2. Craig Burnside & Martin Eichenbaum & Sergio Rebelo, 1990. "Labor Hoarding and the Business Cycle," NBER Working Papers 3556, National Bureau of Economic Research, Inc.
  3. Lars Peter Hansen & Ravi Jagannathan, 1990. "Implications of security market data for models of dynamic economies," Discussion Paper / Institute for Empirical Macroeconomics 29, Federal Reserve Bank of Minneapolis.
  4. Fumio Hayashi & Ravi Jagannathan, 1990. "Ex-day behavior of Japanese stock prices: new insights from new methodology," Discussion Paper / Institute for Empirical Macroeconomics 30, Federal Reserve Bank of Minneapolis.

1989

  1. Robert A. Korajczyk & Deborah J. Lucas & Robert L. McDonald, 1989. "Understanding Stock Price Behavior around the Time of Equity Issues," NBER Working Papers 3170, National Bureau of Economic Research, Inc.
  2. Victor Zarnowitz & Phillip Braun, 1989. "Major Macroeconomic Variables and Leading Indexes: Some Estimates of Their Interrelations, 1886-1982," NBER Working Papers 2812, National Bureau of Economic Research, Inc.
  3. Robert G. King & Sergio T. Rebelo, 1989. "Transitional Dynamics and Economic Growth in the Neoclassical Model," NBER Working Papers 3185, National Bureau of Economic Research, Inc.
  4. King, R.G. & Rebelo, S.T., 1989. "Low Frequency Filtering And Real Business Cycles," RCER Working Papers 205, University of Rochester - Center for Economic Research (RCER).

1988

  1. Gregory Connor and Robert A. Korajczyk., 1988. "The Attributes, Behavior and Performance of U.S. Mutual Funds," Research Program in Finance Working Papers 181, University of California at Berkeley.
  2. Robert A. Korajczyk & Deborah Lucas & Robert McDonald, 1988. "The Effect of Information Releases on the Pricing and Timing of Equity Issues: Theory and Evidence," NBER Working Papers 2727, National Bureau of Economic Research, Inc.
  3. King, R.G. & Rebelo, S., 1988. "Public Policy And Economic Growth: Developing Neoclassical Implications," RCER Working Papers 225, University of Rochester - Center for Economic Research (RCER).

1987

  1. Gregory Connor and Robert A. Korajczyk., 1987. "Estimating Pervasive Economic Factors with Missing Observations," Research Program in Finance Working Papers 173, University of California at Berkeley.
  2. Gregory Connor and Robert Korajczyk., 1987. "Risk and Return in an Equilibrium APT," Research Program in Finance Working Papers 174, University of California at Berkeley.
  3. Gregory Connor and Robert Korajczyk., 1987. "An Intertemporal Equilibrium Beta Pricing Model," Research Program in Finance Working Papers 176, University of California at Berkeley.
  4. V.V. Chari & Ravi Jagannathan & Aharon R. Ofer, 1987. "Seasonalities in security returns: the case of earnings announcements," Staff Report 110, Federal Reserve Bank of Minneapolis.

1984

  1. V.V. Chari & Ravi Jagannathan, 1984. "Banking Panics," Discussion Papers 618, Northwestern University, Center for Mathematical Studies in Economics and Management Science.

1983

  1. Thomas Doan & Robert B. Litterman & Christopher A. Sims, 1983. "Forecasting and Conditional Projection Using Realistic Prior Distributions," NBER Working Papers 1202, National Bureau of Economic Research, Inc.

Undated

  1. Janice C. Eberly, . "Flexible (S,s) Bands, Uncertainty, and Aggregate Consumer Durables," Rodney L. White Center for Financial Research Working Papers 07-92, Wharton School Rodney L. White Center for Financial Research.
  2. Andrew B. Abel & Janice C. Eberly, . "An Exact Solution for the Investment and Market Value of a Firm Facing Uncertainty, Adjustment Costs, and Irreversibility," Rodney L. White Center for Financial Research Working Papers 12-93, Wharton School Rodney L. White Center for Financial Research.
  3. Andrew B. Abel & Janice C. Eberly, . "A Unified Model of Investment Under Uncertainty," Rodney L. White Center for Financial Research Working Papers 14-93, Wharton School Rodney L. White Center for Financial Research.
  4. Andrew B. Abel & Avinash K. Dixit & Janice B. Eberly & Robert S. Pindyck, . "Options, the Value of Capital, and Investment," Rodney L. White Center for Financial Research Working Papers 15-95, Wharton School Rodney L. White Center for Financial Research.
  5. Andrew B. Abel & Janice B. Eberly, . "The Effects of Irreversibility and Uncertainty on Capital Accumulation," Rodney L. White Center for Financial Research Working Papers 21-95, Wharton School Rodney L. White Center for Financial Research.
  6. Janice C. Eberly, . "Adjustment of Consumers' Durables Stocks: Evidence from Automobile Purchases," Rodney L. White Center for Financial Research Working Papers 22-91, Wharton School Rodney L. White Center for Financial Research.
  7. Bernard Black & Brian Cheffins & Michael Klausner, . "Outside Director Liability," American Law & Economics Association Annual Meetings 1011, American Law & Economics Association.

Journal articles

2014

  1. Robert Korajczyk, 2014. "Market Liquidity: Asset Pricing, Risk, and Crises," Quantitative Finance, Taylor & Francis Journals, vol. 14(2), pages 211-212, February.
  2. Andersen, Torben G. & Bondarenko, Oleg, 2014. "VPIN and the flash crash," Journal of Financial Markets, Elsevier, vol. 17(C), pages 1-46.
  3. Andersen, Torben G. & Dobrev, Dobrislav & Schaumburg, Ernst, 2014. "A Robust Neighborhood Truncation Approach To Estimation Of Integrated Quarticity," Econometric Theory, Cambridge University Press, vol. 30(01), pages 3-59, February.
  4. Andersen, Torben G. & Bondarenko, Oleg, 2014. "Reflecting on the VPIN dispute," Journal of Financial Markets, Elsevier, vol. 17(C), pages 53-64.

2013

  1. Andrea L. Eisfeldt & Dimitris Papanikolaou, 2013. "Organization Capital and the Cross-Section of Expected Returns," Journal of Finance, American Finance Association, vol. 68(4), pages 1365-1406, 08.
  2. Leonid Kogan & Dimitris Papanikolaou, 2013. "Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks," Review of Financial Studies, Society for Financial Studies, vol. 26(11), pages 2718-2759.
  3. Jagannathan, Ravi & Kapoor, Mudit & Schaumburg, Ernst, 2013. "Causes of the great recession of 2007–2009: The financial crisis was the symptom not the disease!," Journal of Financial Intermediation, Elsevier, vol. 22(1), pages 4-29.

2012

  1. Eberly, Janice & Rebelo, Sergio & Vincent, Nicolas, 2012. "What explains the lagged-investment effect?," Journal of Monetary Economics, Elsevier, vol. 59(4), pages 370-380.
  2. Leonid Kogan & Dimitris Papanikolaou, 2012. "Economic Activity of Firms and Asset Prices," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 361-384, October.
  3. Ravi Jagannathan & Srikant Marakani & Hitoshi Takehara & Yong Wang, 2012. "Calendar Cycles, Infrequent Decisions, and the Cross Section of Stock Returns," Management Science, INFORMS, vol. 58(3), pages 507-522, March.
  4. Da, Zhi & Guo, Re-Jin & Jagannathan, Ravi, 2012. "CAPM for estimating the cost of equity capital: Interpreting the empirical evidence," Journal of Financial Economics, Elsevier, vol. 103(1), pages 204-220.
  5. Ian Dew-Becker & Robert J. Gordon, 2012. "The Role of Labor-Market Changes in the Slowdown of European Productivity," Review of Economics and Institutions, Università di Perugia, vol. 3(2).
  6. Andersen, Torben G. & Dobrev, Dobrislav & Schaumburg, Ernst, 2012. "Jump-robust volatility estimation using nearest neighbor truncation," Journal of Econometrics, Elsevier, vol. 169(1), pages 75-93.
  7. Efraim Benmelech & Nittai K. Bergman, 2012. "Credit Traps," American Economic Review, American Economic Association, vol. 102(6), pages 3004-32, October.
  8. Benmelech, Efraim & Dlugosz, Jennifer & Ivashina, Victoria, 2012. "Securitization without adverse selection: The case of CLOs," Journal of Financial Economics, Elsevier, vol. 106(1), pages 91-113.

2011

  1. Martin Eichenbaum & Nir Jaimovich & Sergio Rebelo, 2011. "Reference Prices, Costs, and Nominal Rigidities," American Economic Review, American Economic Association, vol. 101(1), pages 234-62, February.
  2. Lawrence Christiano & Martin Eichenbaum & Sergio Rebelo, 2011. "When Is the Government Spending Multiplier Large?," Journal of Political Economy, University of Chicago Press, vol. 119(1), pages 78 - 121.
  3. Craig Burnside & Martin Eichenbaum & Isaac Kleshchelski & Sergio Rebelo, 2011. "Do Peso Problems Explain the Returns to the Carry Trade?," Review of Financial Studies, Society for Financial Studies, vol. 24(3), pages 853-891.
  4. Craig Burnside & Martin Eichenbaum & Sergio Rebelo, 2011. "Carry Trade and Momentum in Currency Markets," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 511-535, December.
  5. Dimitris Papanikolaou, 2011. "Investment Shocks and Asset Prices," Journal of Political Economy, University of Chicago Press, vol. 119(4), pages 639 - 685.
  6. Zhi Da & Pengjie Gao & Ravi Jagannathan, 2011. "Impatient Trading, Liquidity Provision, and Stock Selection by Mutual Funds," Review of Financial Studies, Society for Financial Studies, vol. 24(3), pages 675-720.
  7. Andersen, Torben G. & Bollerslev, Tim & Huang, Xin, 2011. "A reduced form framework for modeling volatility of speculative prices based on realized variation measures," Journal of Econometrics, Elsevier, vol. 160(1), pages 176-189, January.
  8. Andersen, Torben G. & Bollerslev, Tim & Meddahi, Nour, 2011. "Realized volatility forecasting and market microstructure noise," Journal of Econometrics, Elsevier, vol. 160(1), pages 220-234, January.
  9. Benmelech, Efraim & Bergman, Nittai K., 2011. "Vintage capital and creditor protection," Journal of Financial Economics, Elsevier, vol. 99(2), pages 308-332, February.
  10. Efraim Benmelech & Nittai K. Bergman, 2011. "Bankruptcy and the Collateral Channel," Journal of Finance, American Finance Association, vol. 66(2), pages 337-378, 04.

2010

  1. Steven L. Heston & Robert A. Korajczyk & Ronnie Sadka, 2010. "Intraday Patterns in the Cross-section of Stock Returns," Journal of Finance, American Finance Association, vol. 65(4), pages 1369-1407, 08.
  2. Reuben, Ernesto & Sapienza, Paola & Zingales, Luigi, 2010. "Time discounting for primary and monetary rewards," Economics Letters, Elsevier, vol. 106(2), pages 125-127, February.
  3. Paola Sapienza, 2010. "Discussion of Self-Selection and the Forecasting Abilities of Female Equity Analysts," Journal of Accounting Research, Wiley Blackwell, vol. 48(2), pages 437-443, 05.
  4. Leonid Kogan & Dimitris Papanikolaou, 2010. "Growth Opportunities and Technology Shocks," American Economic Review, American Economic Association, vol. 100(2), pages 532-36, May.
  5. Ravi Jagannathan & Alexey Malakhov & Dmitry Novikov, 2010. "Do Hot Hands Exist among Hedge Fund Managers? An Empirical Evaluation," Journal of Finance, American Finance Association, vol. 65(1), pages 217-255, 02.
  6. Ravi Jagannathan & Ernst Schaumburg & Guofu Zhou, 2010. "Cross-Sectional Asset Pricing Tests," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 49-74, December.
  7. Torben G. Andersen & Tim Bollerslev & Per Frederiksen & Morten �rregaard Nielsen, 2010. "Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(2), pages 233-261.
  8. Torben G. Andersen & Luca Benzoni, 2010. "Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models," Journal of Finance, American Finance Association, vol. 65(2), pages 603-653, 04.
  9. Efraim Benmelech & Tobias J. Moskowitz, 2010. "The Political Economy of Financial Regulation: Evidence from U.S. State Usury Laws in the 19th Century," Journal of Finance, American Finance Association, vol. 65(3), pages 1029-1073, 06.
  10. Efraim Benmelech & Eugene Kandel & Pietro Veronesi, 2010. "Stock-Based Compensation and CEO (Dis)Incentives," The Quarterly Journal of Economics, MIT Press, vol. 125(4), pages 1769-1820, November.
  11. Eyal Dvir & Efraim Benmelech, 2010. "Does short-term debt increase vulnerability to crisis? Evidence from the East Asian financial crisis," Proceedings, Federal Reserve Bank of San Francisco, issue Oct.
  12. Balasubramanian, N. & Black, Bernard S. & Khanna, Vikramaditya, 2010. "The relation between firm-level corporate governance and market value: A case study of India," Emerging Markets Review, Elsevier, vol. 11(4), pages 319-340, December.
  13. Black, Bernard S. & de Carvalho, Antonio Gledson & Gorga, Érica, 2010. "Corporate governance in Brazil," Emerging Markets Review, Elsevier, vol. 11(1), pages 21-38, March.
  14. Atanasov, Vladimir & Black, Bernard & Ciccotello, Conrad & Gyoshev, Stanley, 2010. "How does law affect finance? An examination of equity tunneling in Bulgaria," Journal of Financial Economics, Elsevier, vol. 96(1), pages 155-173, April.

2009

  1. Craig Burnside & Martin Eichenbaum & Sergio Rebelo, 2009. "Understanding the Forward Premium Puzzle: A Microstructure Approach," American Economic Journal: Macroeconomics, American Economic Association, vol. 1(2), pages 127-54, July.
  2. Nir Jaimovich & Sergio Rebelo, 2009. "Can News about the Future Drive the Business Cycle?," American Economic Review, American Economic Association, vol. 99(4), pages 1097-1118, September.
  3. Luigi Guiso & Paola Sapienza & Luigi Zingales, 2009. "Cultural Biases in Economic Exchange?," The Quarterly Journal of Economics, MIT Press, vol. 124(3), pages 1095-1131, August.
  4. Reuben, Ernesto & Sapienza, Paola & Zingales, Luigi, 2009. "Is mistrust self-fulfilling?," Economics Letters, Elsevier, vol. 104(2), pages 89-91, August.
  5. Yael V. Hochberg & Paola Sapienza & Annette Vissing-Jørgensen, 2009. "A Lobbying Approach to Evaluating the Sarbanes-Oxley Act of 2002," Journal of Accounting Research, Wiley Blackwell, vol. 47(2), pages 519-583, 05.
  6. Christopher Polk & Paola Sapienza, 2009. "The Stock Market and Corporate Investment: A Test of Catering Theory," Review of Financial Studies, Society for Financial Studies, vol. 22(1), pages 187-217, January.
  7. Janice Eberly & Neng Wang, 2009. "Capital Reallocation and Growth," American Economic Review, American Economic Association, vol. 99(2), pages 560-66, May.
  8. Mitchell A. Petersen, 2009. "Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches," Review of Financial Studies, Society for Financial Studies, vol. 22(1), pages 435-480, January.
  9. Jagannathan Ravi & Boyd John, 2009. "Avoiding the Next Crisis," The Economists' Voice, De Gruyter, vol. 6(7), pages 1-5, July.
  10. Gopal K. Basak & Ravi Jagannathan & Tongshu Ma, 2009. "Jackknife Estimator for Tracking Error Variance of Optimal Portfolios," Management Science, INFORMS, vol. 55(6), pages 990-1002, June.
  11. Ian Dew-Becker, 2009. "How Much Sunlight Does it Take to Disinfect a Boardroom? A Short History of Executive Compensation Regulation in America ," CESifo Economic Studies, CESifo, vol. 55(3-4), pages 434-457.
  12. Efraim Benmelech, 2009. "Asset Salability and Debt Maturity: Evidence from Nineteenth-Century American Railroads," Review of Financial Studies, Society for Financial Studies, vol. 22(4), pages 1545-1584, April.
  13. Benmelech, Efraim & Bergman, Nittai K., 2009. "Collateral pricing," Journal of Financial Economics, Elsevier, vol. 91(3), pages 339-360, March.
  14. Benmelech, Efraim & Dlugosz, Jennifer, 2009. "The alchemy of CDO credit ratings," Journal of Monetary Economics, Elsevier, vol. 56(5), pages 617-634, July.

2008

  1. Korajczyk, Robert A. & Sadka, Ronnie, 2008. "Pricing the commonality across alternative measures of liquidity," Journal of Financial Economics, Elsevier, vol. 87(1), pages 45-72, January.
  2. Craig Burnside & Martin Eichenbaum & Sergio Rebelo, 2008. "Carry Trade: The Gains of Diversification," Journal of the European Economic Association, MIT Press, vol. 6(2-3), pages 581-588, 04-05.
  3. Nir Jaimovich & Sergio Rebelo, 2008. "News and Business Cycles in Open Economies," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(8), pages 1699-1711, December.
  4. Sergio Rebelo & Carlos A. Végh, 2008. "When is it Optimal to Abandon a Fixed Exchange Rate? -super-1," Review of Economic Studies, Oxford University Press, vol. 75(3), pages 929-955.
  5. Luigi Guiso & Paola Sapienza & Luigi Zingales, 2008. "Alfred Marshall Lecture Social Capital as Good Culture," Journal of the European Economic Association, MIT Press, vol. 6(2-3), pages 295-320, 04-05.
  6. Luigi Guiso & Paola Sapienza & Luigi Zingales, 2008. "Trusting the Stock Market," Journal of Finance, American Finance Association, vol. 63(6), pages 2557-2600, December.
  7. Efraim Benmelech & Nittai K. Bergman, 2008. "Liquidation Values and the Credibility of Financial Contract Renegotiation: Evidence from U.S. Airlines," The Quarterly Journal of Economics, MIT Press, vol. 123(4), pages 1635-1677, November.
  8. Charles Silver & Kathryn Zeiler & Bernard S Black & David A Hyman & William M Sage, 2008. "Malpractice Payouts and Malpractice Insurance: Evidence from Texas Closed Claims, 1990–2003*," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan, vol. 33(2), pages 177-192, April.
  9. Henry T. C. Hu & Bernard Black, 2008. "Debt, Equity and Hybrid Decoupling: Governance and Systemic Risk Implications," European Financial Management, European Financial Management Association, vol. 14(4), pages 663-709.

2007

  1. Nir Jaimovich & Sergio Rebelo, 2007. "Behavioral Theories of the Business Cycle," Journal of the European Economic Association, MIT Press, vol. 5(2-3), pages 361-368, 04-05.
  2. Burstein, Ariel & Eichenbaum, Martin & Rebelo, Sergio, 2007. "Modeling exchange rate passthrough after large devaluations," Journal of Monetary Economics, Elsevier, vol. 54(2), pages 346-368, March.
  3. Martin Eichenbaum & Craig Burnside & Sergio Rebelo, 2007. "The Returns to Currency Speculation in Emerging Markets," American Economic Review, American Economic Association, vol. 97(2), pages 333-338, May.
  4. Andrew B. Abel & Janice C. Eberly & Stavros Panageas, 2007. "Optimal Inattention to the Stock Market," American Economic Review, American Economic Association, vol. 97(2), pages 244-249, May.
  5. Ravi Jagannathan & Yong Wang, 2007. "Lazy Investors, Discretionary Consumption, and the Cross-Section of Stock Returns," Journal of Finance, American Finance Association, vol. 62(4), pages 1623-1661, 08.
  6. Robert J. Gordon & Ian Dew-Becker, 2007. "Selected Issues in the Rise of Income Inequality," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 38(2), pages 169-192.
  7. Robert J. Gordon & Ian Dew-Becker & Gérard Cornilleau, 2007. "Questions sans réponse sur l'augmentation des inégalités aux États-Unis," Revue de l'OFCE, Presses de Sciences-Po, vol. 0(3), pages 417-465.
  8. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2007. "Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility," The Review of Economics and Statistics, MIT Press, vol. 89(4), pages 701-720, November.
  9. Andersen, Torben G., 2007. "Editorial Announcement," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 1-1, January.
  10. Andersen, Torben G. & Lewbel, Arthur & Ng, Serena, 2007. "Editors' Report 2006," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 503-503, October.
  11. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2007. "Real-time price discovery in global stock, bond and foreign exchange markets," Journal of International Economics, Elsevier, vol. 73(2), pages 251-277, November.
  12. Andersen, Torben G. & Bollerslev, Tim & Dobrev, Dobrislav, 2007. "No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications," Journal of Econometrics, Elsevier, vol. 138(1), pages 125-180, May.
  13. Efraim Benmelech & Claude Berrebi, 2007. "Human Capital and the Productivity of Suicide Bombers," Journal of Economic Perspectives, American Economic Association, vol. 21(3), pages 223-238, Summer.
  14. Kathryn Zeiler & Charles Silver & Bernard Black & David A. Hyman & William M. Sage, 2007. "Physicians' Insurance Limits and Malpractice Payments: Evidence from Texas Closed Claims, 1990-2003," The Journal of Legal Studies, University of Chicago Press, vol. 36(S2), pages S9-S45, 06.
  15. Hu, Henry T.C. & Black, Bernard, 2007. "Hedge funds, insiders, and the decoupling of economic and voting ownership: Empty voting and hidden (morphable) ownership," Journal of Corporate Finance, Elsevier, vol. 13(2-3), pages 343-367, June.

2006

  1. Connor, Gregory & Korajczyk, Robert A. & Linton, Oliver, 2006. "The common and specific components of dynamic volatility," Journal of Econometrics, Elsevier, vol. 132(1), pages 231-255, May.
  2. Burstein, Ariel & Eichenbaum, Martin & Rebelo, Sergio, 2006. "The importance of nontradable goods' prices in cyclical real exchange rate fluctuations," Japan and the World Economy, Elsevier, vol. 18(3), pages 247-253, August.
  3. Burnside, Craig & Eichenbaum, Martin & Rebelo, Sergio, 2006. "Government finance in the wake of currency crises," Journal of Monetary Economics, Elsevier, vol. 53(3), pages 401-440, April.
  4. Luigi Guiso & Paola Sapienza & Luigi Zingales, 2006. "Does Culture Affect Economic Outcomes?," Journal of Economic Perspectives, American Economic Association, vol. 20(2), pages 23-48, Spring.
  5. Michael Faulkender & Mitchell A. Petersen, 2006. "Does the Source of Capital Affect Capital Structure?," Review of Financial Studies, Society for Financial Studies, vol. 19(1), pages 45-79.
  6. Andersen, Torben G. & Bollerslev, Tim & Frederiksen, Per Houmann & Nielsen, Morten Orregaard, 2006. "Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 173-179, April.
  7. Black, Bernard S. & Jang, Hasung & Kim, Woochan, 2006. "Predicting firms' corporate governance choices: Evidence from Korea," Journal of Corporate Finance, Elsevier, vol. 12(3), pages 660-691, June.
  8. Black, Bernard S. & Love, Inessa & Rachinsky, Andrei, 2006. "Corporate governance indices and firms' market values: Time series evidence from Russia," Emerging Markets Review, Elsevier, vol. 7(4), pages 361-379, December.
  9. Bernard S. Black & Brian R. Cheffins & Michael Klausner, 2006. "Outside Director Liability: A Policy Analysis," Journal of Institutional and Theoretical Economics (JITE), Mohr Siebeck, Tübingen, vol. 162(1), pages 5-20, March.
  10. Bernard S. Black & Hasung Jang & Woochan Kim, 2006. "Does Corporate Governance Predict Firms' Market Values? Evidence from Korea," Journal of Law, Economics and Organization, Oxford University Press, vol. 22(2), pages 366-413, October.

2005

  1. Sergio Rebelo, 2005. "Real Business Cycle Models: Past, Present and Future," Scandinavian Journal of Economics, Wiley Blackwell, vol. 107(2), pages 217-238, 06.
  2. Ariel Burstein & Martin Eichenbaum & Sergio Rebelo, 2005. "Large Devaluations and the Real Exchange Rate," Journal of Political Economy, University of Chicago Press, vol. 113(4), pages 742-784, August.
  3. Sergio Rebelo, 2005. "Business Cycles," Annals of Economics and Finance, Society for AEF, vol. 6(2), pages 229-250, November.
  4. Berger, Allen N. & Miller, Nathan H. & Petersen, Mitchell A. & Rajan, Raghuram G. & Stein, Jeremy C., 2005. "Does function follow organizational form? Evidence from the lending practices of large and small banks," Journal of Financial Economics, Elsevier, vol. 76(2), pages 237-269, May.
  5. John H. Boyd & Jian Hu & Ravi Jagannathan, 2005. "The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks," Journal of Finance, American Finance Association, vol. 60(2), pages 649-672, 04.
  6. Ravi Jagannathan & Ann E. Sherman, 2005. "Reforming the Bookbuilding Process for IPOs," Journal of Applied Corporate Finance, Morgan Stanley, vol. 17(1), pages 67-72.
  7. Robert J. Gordon & Ian Dew-Becker, 2005. "Why did Europe’s productivity catch-up sputter out? a tale of tigers and tortoises," Proceedings, Federal Reserve Bank of San Francisco.
  8. Ian Dew-Becker & Robert J. Gordon, 2005. "Where Did Productivity Growth Go? Inflation Dynamics and the Distribution of Income," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 36(2), pages 67-150.
  9. Andersen, Torben G., 2005. "Editor's Report 2004," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 495-495, October.
  10. Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2005. "Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities," Econometrica, Econometric Society, vol. 73(1), pages 279-296, 01.
  11. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin Wu, 2005. "A Framework for Exploring the Macroeconomic Determinants of Systematic Risk," American Economic Review, American Economic Association, vol. 95(2), pages 398-404, May.
  12. Efraim Benmelech & Mark J. Garmaise & Tobias J. Moskowitz, 2005. "Do Liquidation Values Affect Financial Contracts? Evidence from Commercial Loan Contracts and Zoning Regulation," The Quarterly Journal of Economics, MIT Press, vol. 120(3), pages 1121-1154, August.
  13. Bernard Black & Brian Cheffins & Michael Klausner, 2005. "Liability Risk for Outside Directors: a Cross-Border Analysis," European Financial Management, European Financial Management Association, vol. 11(2), pages 153-171.

2004

  1. Robert A. Korajczyk & Ronnie Sadka, 2004. "Are Momentum Profits Robust to Trading Costs?," Journal of Finance, American Finance Association, vol. 59(3), pages 1039-1082, 06.
  2. Burnside, Craig & Eichenbaum, Martin & Rebelo, Sergio, 2004. "Government guarantees and self-fulfilling speculative attacks," Journal of Economic Theory, Elsevier, vol. 119(1), pages 31-63, November.
  3. Ariel T. Burstein & Jo�o C. Neves & Sergio Rebelo, 2004. "Investment Prices and Exchange Rates: Some Basic Facts," Journal of the European Economic Association, MIT Press, vol. 2(2-3), pages 302-309, 04/05.
  4. Luigi Guiso & Paola Sapienza & Luigi Zingales, 2004. "Does Local Financial Development Matter?," The Quarterly Journal of Economics, MIT Press, vol. 119(3), pages 929-969, August.
  5. Sapienza, Paola, 2004. "The effects of government ownership on bank lending," Journal of Financial Economics, Elsevier, vol. 72(2), pages 357-384, May.
  6. Luigi Guiso & Paola Sapienza & Luigi Zingales, 2004. "The Role of Social Capital in Financial Development," American Economic Review, American Economic Association, vol. 94(3), pages 526-556, June.
  7. Mitchell Petersen, 2004. "Comment on Stiroh," Journal of Financial Services Research, Springer, vol. 25(2), pages 161-167, April.
  8. Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2004. "Analytical Evaluation Of Volatility Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 45(4), pages 1079-1110, November.
  9. Torben G. Andersen, 2004. "Discussion," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(1), pages 37-48.
  10. Sanjai Bhagat & Bernard Black & Margaret Blair, 2004. "Relational Investing And Firm Performance," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 27(1), pages 1-30.

2003

  1. Korajczyk, Robert A. & Levy, Amnon, 2003. "Capital structure choice: macroeconomic conditions and financial constraints," Journal of Financial Economics, Elsevier, vol. 68(1), pages 75-109, April.
  2. Burstein, Ariel T. & Neves, Joao C. & Rebelo, Sergio, 2003. "Distribution costs and real exchange rate dynamics during exchange-rate-based stabilizations," Journal of Monetary Economics, Elsevier, vol. 50(6), pages 1189-1214, September.
  3. Guiso, Luigi & Sapienza, Paola & Zingales, Luigi, 2003. "People's opium? Religion and economic attitudes," Journal of Monetary Economics, Elsevier, vol. 50(1), pages 225-282, January.
  4. Jagannathan, Ravi & Kaplin, Andrew & Sun, Steve, 2003. "An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 113-146.
  5. Ravi Jagannathan & Tongshu Ma, 2003. "Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps," Journal of Finance, American Finance Association, vol. 58(4), pages 1651-1684, 08.
  6. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2003. "Modeling and Forecasting Realized Volatility," Econometrica, Econometric Society, vol. 71(2), pages 579-625, March.
  7. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2003. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," American Economic Review, American Economic Association, vol. 93(1), pages 38-62, March.

2002

  1. John Heaton & Robert Korajczyk, 2002. "Introduction to Review of Financial Studies Conference on Market Frictions and Behavioral Finance," Review of Financial Studies, Society for Financial Studies, vol. 15(2), pages 353-362, March.
  2. William J. Breen & Laurie Simon Hodrick & Robert A. Korajczyk, 2002. "Predicting Equity Liquidity," Management Science, INFORMS, vol. 48(4), pages 470-483, April.
  3. King, Robert G & Plosser, Charles I & Rebelo, Sergio T, 2002. "Production, Growth and Business Cycles: Technical Appendix," Computational Economics, Society for Computational Economics, vol. 20(1-2), pages 87-116, October.
  4. Paola Sapienza, 2002. "The Effects of Banking Mergers on Loan Contracts," Journal of Finance, American Finance Association, vol. 57(1), pages 329-367, 02.
  5. Eberly, Janice C., 2002. "Comment on: Time-varying risk premia and the cost of capital: an alternative implication of the Q theory of investment," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 67-74, January.
  6. Mitchell A. Petersen & Raghuram G. Rajan, 2002. "Does Distance Still Matter? The Information Revolution in Small Business Lending," Journal of Finance, American Finance Association, vol. 57(6), pages 2533-2570, December.
  7. Basak, Gopal & Jagannathan, Ravi & Sun, Guoqiang, 2002. "A direct test for the mean variance efficiency of a portfolio," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1195-1215, July.
  8. Jagannathan, Ravi & Skoulakis, Georgios & Wang, Zhenyu, 2002. "Generalized Method of Moments: Applications in Finance," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(4), pages 470-81, October.
  9. Ravi Jagannathan & Zhenyu Wang, 2002. "Empirical Evaluation of Asset-Pricing Models: A Comparison of the SDF and Beta Methods," Journal of Finance, American Finance Association, vol. 57(5), pages 2337-2367, October.
  10. Ravi Jagannathan & Iwan Meier, 2002. "Do We Need CAPM for Capital Budgeting?," Financial Management, Financial Management Association, vol. 31(4), Winter.
  11. Torben G. Andersen & Luca Benzoni & Jesper Lund, 2002. "An Empirical Investigation of Continuous-Time Equity Return Models," Journal of Finance, American Finance Association, vol. 57(3), pages 1239-1284, 06.

2001

  1. Kongsamut, Piyabha & Rebelo, Sergio & Xie, Danyang, 2001. "Beyond Balanced Growth," Review of Economic Studies, Wiley Blackwell, vol. 68(4), pages 869-82, October.
  2. Gomes, Joao & Greenwood, Jeremy & Rebelo, Sergio, 2001. "Equilibrium unemployment," Journal of Monetary Economics, Elsevier, vol. 48(1), pages 109-152, August.
  3. Burnside, Craig & Eichenbaum, Martin & Rebelo, Sergio, 2001. "Hedging and financial fragility in fixed exchange rate regimes," European Economic Review, Elsevier, vol. 45(7), pages 1151-1193.
  4. Craig Burnside & Martin Eichenbaum & Sergio Rebelo, 2001. "Prospective Deficits and the Asian Currency Crisis," Journal of Political Economy, University of Chicago Press, vol. 109(6), pages 1155-1197, December.
  5. Paola Sapienza, 2001. "Discussion," Journal of Finance, American Finance Association, vol. 56(4), pages 1528-1531, 08.
  6. Torben G. Andersen, 2001. "Variance-ratio Statistics and High-frequency Data: Testing for Changes in Intraday Volatility Patterns," Journal of Finance, American Finance Association, vol. 56(1), pages 305-327, 02.
  7. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Ebens, Heiko, 2001. "The distribution of realized stock return volatility," Journal of Financial Economics, Elsevier, vol. 61(1), pages 43-76, July.
  8. Andersen T. G & Bollerslev T. & Diebold F. X & Labys P., 2001. "The Distribution of Realized Exchange Rate Volatility," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 42-55, March.
  9. Black, Bernard, 2001. "The corporate governance behavior and market value of Russian firms," Emerging Markets Review, Elsevier, vol. 2(2), pages 89-108, June.

2000

  1. Craig Burnside & Martin Eichenbaum & Sergio Rebelo, 2000. "Understanding the Korean and Thai currency crises," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q III, pages 45-60.
  2. Rebelo, Sergio, 2000. "Interest-rate and borrowing defense against speculative attack a comment," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 53(1), pages 349-359, December.
  3. Albuquerque, Rui & Rebelo, Sergio, 2000. "On the dynamics of trade reform," Journal of International Economics, Elsevier, vol. 51(1), pages 21-47, June.
  4. Mitchell A. Petersen & S. Ramu Thiagarajan, 2000. "Risk Measurement and Hedging: With and Without Derivatives," Financial Management, Financial Management Association, vol. 29(4), Winter.
  5. Ravi Jagannathan & Ellen R. McGrattan & Anna Scherbina., 2000. "The declining U.S. equity premium," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall, pages 3-19.
  6. Andersen, Torben G, 2000. "Some Reflections on Analysis of High-Frequency Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(2), pages 146-53, April.
  7. Andersen, Torben G. & Bollerslev, Tim & Cai, Jun, 2000. "Intraday and interday volatility in the Japanese stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(2), pages 107-130, June.
  8. Andersen, Torben G., 2000. "Simulation-Based Econometric Methods," Econometric Theory, Cambridge University Press, vol. 16(01), pages 131-138, February.

1999

  1. Rebelo, Sergio & Xie, Danyang, 1999. "On the optimality of interest rate smoothing," Journal of Monetary Economics, Elsevier, vol. 43(2), pages 263-282, April.
  2. Abel, Andrew B. & Eberly, Janice C., 1999. "The effects of irreversibility and uncertainty on capital accumulation," Journal of Monetary Economics, Elsevier, vol. 44(3), pages 339-377, December.
  3. Petersen, Mitchell A., 1999. "Comment on Jayaratne and Wolken," Journal of Banking & Finance, Elsevier, vol. 23(2-4), pages 459-462, February.
  4. Jagannathan, Ravi & Srinivasan, Shaker B., 1999. "Does product market competition reduce agency costs?," The North American Journal of Economics and Finance, Elsevier, vol. 10(2), pages 387-399.
  5. Andersen, Torben G. & Bollerslev, Tim & Lange, Steve, 1999. "Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon," Journal of Empirical Finance, Elsevier, vol. 6(5), pages 457-477, December.
  6. Andersen, Torben G. & Chung, Hyung-Jin & Sorensen, Bent E., 1999. "Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study," Journal of Econometrics, Elsevier, vol. 91(1), pages 61-87, July.
  7. Bernard S. Black & Ronald J. Gilson, 1999. "Does Venture Capital Require An Active Stock Market?," Journal of Applied Corporate Finance, Morgan Stanley, vol. 11(4), pages 36-48.

1998

  1. Abel, Andrew B. & Eberly, Janice C., 1998. "The mix and scale of factors with irreversibility and fixed costs of investment," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 48(1), pages 101-135, June.
  2. Frank, Murray & Jagannathan, Ravi, 1998. "Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes," Journal of Financial Economics, Elsevier, vol. 47(2), pages 161-188, February.
  3. Jagannathan, Ravi & Kubota, Keiichi & Takehara, Hitoshi, 1998. "Relationship between Labor-Income Risk and Average Return: Empirical Evidence from the Japanese Stock Market," The Journal of Business, University of Chicago Press, vol. 71(3), pages 319-47, July.
  4. Ravi Jagannathan & Zhenyu Wang, 1998. "An Asymptotic Theory for Estimating Beta-Pricing Models Using Cross-Sectional Regression," Journal of Finance, American Finance Association, vol. 53(4), pages 1285-1309, 08.
  5. Ravi Jagannathan & Zhenyu Wang, 1998. "A Note on the Asymptotic Covariance in Fama-MacBeth Regression," Journal of Finance, American Finance Association, vol. 53(2), pages 799-801, 04.
  6. Andersen, Torben G & Bollerslev, Tim, 1998. "Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 885-905, November.
  7. Torben G. Andersen & Tim Bollerslev, 1998. "Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies," Journal of Finance, American Finance Association, vol. 53(1), pages 219-265, 02.
  8. Andersen, Torben G., 1998. "The Econometrics Of Financial Markets," Econometric Theory, Cambridge University Press, vol. 14(05), pages 671-685, October.
  9. Black, Bernard S. & Gilson, Ronald J., 1998. "Venture capital and the structure of capital markets: banks versus stock markets," Journal of Financial Economics, Elsevier, vol. 47(3), pages 243-277, March.

1997

  1. Rebelo, Sergio, 1997. "Comment on "Money in a Real Business Cycle Model."," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(4), pages 612-15, November.
  2. Abel, Andrew B. & Eberly, Janice C., 1997. "An exact solution for the investment and value of a firm facing uncertainty, adjustment costs, and irreversibility," Journal of Economic Dynamics and Control, Elsevier, vol. 21(4-5), pages 831-852, May.
  3. Eberly, Janice C. & Van Mieghem, Jan A., 1997. "Multi-factor Dynamic Investment under Uncertainty," Journal of Economic Theory, Elsevier, vol. 75(2), pages 345-387, August.
  4. Eberly, Janice C., 1997. "International evidence on investment and fundamentals," European Economic Review, Elsevier, vol. 41(6), pages 1055-1078, June.
  5. Petersen, Mitchell A & Rajan, Raghuram G, 1997. "Trade Credit: Theories and Evidence," Review of Financial Studies, Society for Financial Studies, vol. 10(3), pages 661-91.
  6. Hansen, Lars Peter & Jagannathan, Ravi, 1997. " Assessing Specification Errors in Stochastic Discount Factor Models," Journal of Finance, American Finance Association, vol. 52(2), pages 557-90, June.
  7. Andersen, Torben G. & Sorensen, Bent E., 1997. "GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994)," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 397-403.
  8. Andersen, Torben G & Bollerslev, Tim, 1997. " Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns," Journal of Finance, American Finance Association, vol. 52(3), pages 975-1005, July.
  9. Andersen, Torben G. & Lund, Jesper, 1997. "Estimating continuous-time stochastic volatility models of the short-term interest rate," Journal of Econometrics, Elsevier, vol. 77(2), pages 343-377, April.
  10. Andersen, Torben G. & Bollerslev, Tim, 1997. "Intraday periodicity and volatility persistence in financial markets," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 115-158, June.

1996

  1. Korajczyk, Robert A, 1996. "A Measure of Stock Market Integration for Developed and Emerging Markets," World Bank Economic Review, World Bank Group, vol. 10(2), pages 267-89, May.
  2. Burnside, A. Craig & Eichenbaum, Martin S. & Rebelo, Sergio T., 1996. "Sectoral Solow residuals," European Economic Review, Elsevier, vol. 40(3-5), pages 861-869, April.
  3. Abel, Andrew B & Eberly, Janice C, 1996. "Optimal Investment with Costly Reversibility," Review of Economic Studies, Wiley Blackwell, vol. 63(4), pages 581-93, October.
  4. Andrew B. Abel & Avinash Dixit & Janice C. Eberly & Robert S. Pindyck, 1996. "Options, the Value of Capital, and Investment," The Quarterly Journal of Economics, MIT Press, vol. 111(3), pages 753-77, August.
  5. Jagannathan, Ravi & Wang, Zhenyu, 1996. " The Conditional CAPM and the Cross-Section of Expected Returns," Journal of Finance, American Finance Association, vol. 51(1), pages 3-53, March.
  6. Ravi Jagannathan & Narayana R. Kocherlakota, 1996. "Why should older people invest less in stock than younger people?," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Sum, pages 11-23.
  7. Andersen, Torben G & Sorensen, Bent E, 1996. "GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 328-52, July.
  8. Andersen, Torben G, 1996. " Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility," Journal of Finance, American Finance Association, vol. 51(1), pages 169-204, March.

1995

  1. Ferson, Wayne E & Korajczyk, Robert A, 1995. "Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?," The Journal of Business, University of Chicago Press, vol. 68(3), pages 309-49, July.
  2. Braun, Phillip A & Nelson, Daniel B & Sunier, Alain M, 1995. " Good News, Bad News, Volatility, and Betas," Journal of Finance, American Finance Association, vol. 50(5), pages 1575-1603, December.
  3. Stokey, Nancy L & Rebelo, Sergio, 1995. "Growth Effects of Flat-Rate Taxes," Journal of Political Economy, University of Chicago Press, vol. 103(3), pages 519-50, June.
  4. Correia, Isabel & Neves, Joao C. & Rebelo, Sergio, 1995. "Business cycles in a small open economy," European Economic Review, Elsevier, vol. 39(6), pages 1089-1113, June.
  5. Petersen, Mitchell A & Rajan, Raghuram G, 1995. "The Effect of Credit Market Competition on Lending Relationships," The Quarterly Journal of Economics, MIT Press, vol. 110(2), pages 407-43, May.

1994

  1. Abel, Andrew B & Eberly, Janice C, 1994. "A Unified Model of Investment under Uncertainty," American Economic Review, American Economic Association, vol. 84(5), pages 1369-84, December.
  2. Eberly, Janice C, 1994. "Adjustment of Consumers' Durables Stocks: Evidence from Automobile Purchases," Journal of Political Economy, University of Chicago Press, vol. 102(3), pages 403-36, June.
  3. Petersen, Mitchell A. & Fialkowski, David, 1994. "Posted versus effective spreads *1: Good prices or bad quotes?," Journal of Financial Economics, Elsevier, vol. 35(3), pages 269-292, June.
  4. Petersen, Mitchell A & Rajan, Raghuram G, 1994. " The Benefits of Lending Relationships: Evidence from Small Business Data," Journal of Finance, American Finance Association, vol. 49(1), pages 3-37, March.
  5. Boyd, John H & Jagannathan, Ravi, 1994. "Ex-dividend Price Behavior of Common Stocks," Review of Financial Studies, Society for Financial Studies, vol. 7(4), pages 711-41.
  6. Glosten, L. R. & Jagannathan, R., 1994. "A contingent claim approach to performance evaluation," Journal of Empirical Finance, Elsevier, vol. 1(2), pages 133-160, January.
  7. Andersen, Torben G, 1994. "Bayesian Analysis of Stochastic Volatility Models: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 389-92, October.
  8. Black, Bernard S., 1994. "A proposal for implementing retail competition in the electricity industry," The Electricity Journal, Elsevier, vol. 7(8), pages 58-72, October.

1993

  1. Connor, Gregory & Korajczyk, Robert A, 1993. " A Test for the Number of Factors in an Approximate Factor Model," Journal of Finance, American Finance Association, vol. 48(4), pages 1263-91, September.
  2. Braun, Phillip A. & Mittnik, Stefan, 1993. "Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions," Journal of Econometrics, Elsevier, vol. 59(3), pages 319-341, October.
  3. Braun, Phillip A. & Constantinides, George M. & Ferson, Wayne E., 1993. "Time nonseparability in aggregate consumption : International evidence," European Economic Review, Elsevier, vol. 37(5), pages 897-920, June.
  4. King, Robert G & Rebelo, Sergio T, 1993. "Transitional Dynamics and Economic Growth in the Neoclassical Model," American Economic Review, American Economic Association, vol. 83(4), pages 908-31, September.
  5. Burnside, Craig & Eichenbaum, Martin & Rebelo, Sergio, 1993. "Labor Hoarding and the Business Cycle," Journal of Political Economy, University of Chicago Press, vol. 101(2), pages 245-73, April.
  6. King, Robert G. & Rebelo, Sergio T., 1993. "Low frequency filtering and real business cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 17(1-2), pages 207-231.
  7. Easterly, William & Rebelo, Sergio, 1993. "Fiscal policy and economic growth: An empirical investigation," Journal of Monetary Economics, Elsevier, vol. 32(3), pages 417-458, December.
  8. Easterly, William & Rebelo, Sergio, 1993. "Marginal income tax rates and economic growth in developing countries," European Economic Review, Elsevier, vol. 37(2-3), pages 409-417, April.
  9. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
  10. Bernard Black, 1993. "Next Steps In Corporate Governance Reform: 13(D) Rules And Control Person Liability," Journal of Applied Corporate Finance, Morgan Stanley, vol. 5(4), pages 49-55.

1992

  1. Korajczyk, Robert A. & Viallet, Claude J., 1992. "Equity risk premia and the pricing of foreign exchange risk," Journal of International Economics, Elsevier, vol. 33(3-4), pages 199-219, November.
  2. Korajczyk, Robert A. & Lucas, Deborah J. & McDonald, Robert L., 1992. "Equity Issues with Time-Varying Asymmetric Information," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(03), pages 397-417, September.
  3. Correia, Isabel H. & Neves, Joao L. & Rebelo, Sergio, 1992. "Business cycles from 1850 to 1950 : New facts about old data," European Economic Review, Elsevier, vol. 36(2-3), pages 459-467, April.
  4. Rebelo, Sergio, 1992. "Growth in open economies," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 36(1), pages 5-46, July.
  5. Petersen, Mitchell A, 1992. "Pension Reversions and Worker-Stockholder Wealth Transfers," The Quarterly Journal of Economics, MIT Press, vol. 107(3), pages 1033-56, August.
  6. Bernard S. Black, 1992. "Institutional Investors And Corporate Governance: The Case For Institutional Voice," Journal of Applied Corporate Finance, Morgan Stanley, vol. 5(3), pages 19-32.

1991

  1. Korajczyk, Robert A & Lucas, Deborah J & McDonald, Robert L, 1991. "The Effect of Information Releases on the Pricing and Timing of Equity Issues," Review of Financial Studies, Society for Financial Studies, vol. 4(4), pages 685-708.
  2. Rebelo, Sergio, 1991. "Long-Run Policy Analysis and Long-Run Growth," Journal of Political Economy, University of Chicago Press, vol. 99(3), pages 500-521, June.
  3. Hansen, Lars Peter & Jagannathan, Ravi, 1991. "Implications of Security Market Data for Models of Dynamic Economies," Journal of Political Economy, University of Chicago Press, vol. 99(2), pages 225-62, April.

1990

  1. King, Robert G & Rebelo, Sergio, 1990. "Public Policy and Economic Growth: Developing Neoclassical Implications," Journal of Political Economy, University of Chicago Press, vol. 98(5), pages S126-50, October.
  2. Chari, V V & Jagannathan, Ravi & Jones, Larry, 1990. "Price Stability and Futures Trading in Commodities," The Quarterly Journal of Economics, MIT Press, vol. 105(2), pages 527-34, May.
  3. Hayashi, Fumio & Jagannathan, Ravi, 1990. "Ex-day behavior of japanese stock prices: New insights from new methodology," Journal of the Japanese and International Economies, Elsevier, vol. 4(4), pages 401-427, December.
  4. V. V. Chari & Ravi Jagannathan, 1990. "The simple analytics of commodity futures markets: do they stabilize prices? Do they raise welfare?," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Sum, pages 12-24.

1989

  1. Jagannathan, Ravi & Palfrey, Thomas R, 1989. "Effects of Insider Trading Disclosures on Speculative Activity and Future Prices," Economic Inquiry, Western Economic Association International, vol. 27(3), pages 411-30, July.
  2. Breen, William & Glosten, Lawrence R & Jagannathan, Ravi, 1989. " Economic Significance of Predictable Variations in Stock Index Returns," Journal of Finance, American Finance Association, vol. 44(5), pages 1177-89, December.
  3. Chari, V V & Jagannathan, Ravi, 1989. " Adverse Selection in a Model of Real Estate Lending," Journal of Finance, American Finance Association, vol. 44(2), pages 499-508, June.

1988

  1. Connor, Gregory & Korajczyk, Robert A., 1988. "Risk and return in an equilibrium APT : Application of a new test methodology," Journal of Financial Economics, Elsevier, vol. 21(2), pages 255-289, September.
  2. King, Robert G. & Plosser, Charles I. & Rebelo, Sergio T., 1988. "Production, growth and business cycles : I. The basic neoclassical model," Journal of Monetary Economics, Elsevier, vol. 21(2-3), pages 195-232.
  3. King, Robert G. & Plosser, Charles I. & Rebelo, Sergio T., 1988. "Production, growth and business cycles : II. New directions," Journal of Monetary Economics, Elsevier, vol. 21(2-3), pages 309-341.
  4. Chari, V V & Jagannathan, Ravi, 1988. " Banking Panics, Information, and Rational Expectations Equilibrium," Journal of Finance, American Finance Association, vol. 43(3), pages 749-61, July.

1987

  1. R. Jagannathan, 1987. "Note---Response," Management Science, INFORMS, vol. 33(10), pages 1229-1231, October.

1986

  1. Jagannathan, Ravi & Korajczyk, Robert A, 1986. "Assessing the Market Timing Performance of Managed Portfolios," The Journal of Business, University of Chicago Press, vol. 59(2), pages 217-35, April.
  2. Connor, Gregory & Korajczyk, Robert A., 1986. "Performance measurement with the arbitrage pricing theory : A new framework for analysis," Journal of Financial Economics, Elsevier, vol. 15(3), pages 373-394, March.
  3. Breen, William & Jagannathan, Ravi & Ofer, Aharon R, 1986. "Correcting for Heteroscedasticity in Tests for Market Timing Ability," The Journal of Business, University of Chicago Press, vol. 59(4), pages 585-98, October.

1985

  1. Korajczyk, Robert A, 1985. "The Pricing of Forward Contracts for Foreign Exchange," Journal of Political Economy, University of Chicago Press, vol. 93(2), pages 346-68, April.
  2. Jagannathan, Ravi, 1985. " An Investigation of Commodity Futures Prices Using the Consumption-based Intertemporal Capital Asset Pricing Model," Journal of Finance, American Finance Association, vol. 40(1), pages 175-91, March.
  3. R. Jagannathan, 1985. "Use of Sample Information in Stochastic Recourse and Chance-Constrained Programming Models," Management Science, INFORMS, vol. 31(1), pages 96-108, January.
  4. R. Jagannathan, 1985. "An Algorithm for a Class of Nonconvex Programming Problems with Nonlinear Fractional Objectives," Management Science, INFORMS, vol. 31(7), pages 847-851, July.

1984

  1. Jagannathan, Ravi, 1984. "Call options and the risk of underlying securities," Journal of Financial Economics, Elsevier, vol. 13(3), pages 425-434, September.

1979

  1. R. Jagannathan, 1979. "Erratum to "A Minimax Ordering Policy for the Infinite Stage Dynamic Inventory Problem"," Management Science, INFORMS, vol. 25(3), pages 294-295, March.

1978

  1. R. Jagannathan, 1978. "A Minimax Ordering Policy for the Infinite Stage Dynamic Inventory Problem," Management Science, INFORMS, vol. 24(11), pages 1138-1149, July.

1974

  1. R. Jagannathan, 1974. "A Sequential Algorithm for a Class of Programming Problems with Nonlinear Constraints," Management Science, INFORMS, vol. 21(1), pages 13-21, September.

Chapters

2010

  1. Enrichetta Ravina & Paola Sapienza, 2010. "What Do Independent Directors Know? Evidence from Their Trading," NBER Chapters, in: Corporate Governance National Bureau of Economic Research, Inc.
  2. Janice C. Eberly, 2010. "Comment on "Guaranteed versus Direct Lending: The Case of Student Loans"," NBER Chapters, in: Measuring and Managing Federal Financial Risk, pages 205-211 National Bureau of Economic Research, Inc.
  3. Efraim Benmelech & Jennifer Dlugosz, 2010. "The Credit Rating Crisis," NBER Chapters, in: NBER Macroeconomics Annual 2009, Volume 24, pages 161-207 National Bureau of Economic Research, Inc.

2007

  1. Torben G. Andersen & Tim Bollerslev & Peter Christoffersen & Francis X. Diebold, 2007. "Practical Volatility and Correlation Modeling for Financial Market Risk Management," NBER Chapters, in: The Risks of Financial Institutions, pages 513-548 National Bureau of Economic Research, Inc.

2006

  1. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, Elsevier.

2003

  1. A. Craig Burnside & Martin S. Eichenbaum & Sergio Rebelo, 2003. "On the Fiscal Implications of Twin Crises," NBER Chapters, in: Managing Currency Crises in Emerging Markets, pages 187-224 National Bureau of Economic Research, Inc.

1999

  1. King, Robert G. & Rebelo, Sergio T., 1999. "Resuscitating real business cycles," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 14, pages 927-1007 Elsevier.

1996

  1. Leslie E. Papke & Mitchell A. Petersen & James M. Poterba, 1996. "Do 401(k) Plans Replace Other Employer-Provided Pensions?," NBER Chapters, in: Advances in the Economics of Aging, pages 219-240 National Bureau of Economic Research, Inc.

1995

  1. Sergio Rebelo & Carlos A. Vegh, 1995. "Real Effects of Exchange-Rate-Based Stabilization: An Analysis of Competing Theories," NBER Chapters, in: NBER Macroeconomics Annual 1995, Volume 10, pages 125-188 National Bureau of Economic Research, Inc.
  2. Craig Burnside & Martin Eichenbaum & Sergio Rebelo, 1995. "Capital Utilization and Returns to Scale," NBER Chapters, in: NBER Macroeconomics Annual 1995, Volume 10, pages 67-124 National Bureau of Economic Research, Inc.

1993

  1. Victor Zarnowitz & Phillip Braun, 1993. "Twenty-two Years of the NBER-ASA Quarterly Economic Outlook Surveys: Aspects and Comparisons of Forecasting Performance," NBER Chapters, in: Business Cycles, Indicators and Forecasting, pages 11-94 National Bureau of Economic Research, Inc.

1990

  1. Robert A. Korajczyk & Deborah Lucas & Robert L. McDonald, 1990. "Understanding Stock Price Behavior around the Time of Equity Issues," NBER Chapters, in: Asymmetric Information, Corporate Finance, and Investment, pages 257-278 National Bureau of Economic Research, Inc.

Software components

Undated material is listed at the end

2001

  1. Craig Burnside & Martin Eichenbaum & Sergio Rebelo, 2001. "Matlab code for On the Fiscal Implications of Twin Crises," QM&RBC Codes 78, Quantitative Macroeconomics & Real Business Cycles.

2000

  1. Tom Doan, 2000. "GED: RATS module to draw from Generalized Error Distribution," Statistical Software Components R031702, Boston College Department of Economics.

Undated

  1. Estima, . "Hurst exponent estimation procedure," Rats codes hurst, .
  2. Estima, . "Unit Roots, Cointegration, VAR estimation and more," Rats codes proc0194, .
  3. Tom Doan, . "ABLAGS: RATS procedure to generate Arellano-Bond set of instruments," Statistical Software Components RTS00001, Boston College Department of Economics.
  4. Tom Doan, . "ADFAUTOSELECT: RATS procedure to select optimal lag length to be used for an ADF test," Statistical Software Components RTS00003, Boston College Department of Economics.
  5. Tom Doan, . "ADTEST: RATS procedure to perform Anderson-Darling test for normality," Statistical Software Components RTS00004, Boston College Department of Economics.
  6. Tom Doan, . "AGFRACTD: RATS procedure to compute Andrews-Guggenberger estimate of fractional difference," Statistical Software Components RTS00005, Boston College Department of Economics.
  7. Tom Doan, . "APBREAKTEST: RATS procedure to implement Andrews-Ploberger Structural Break Test," Statistical Software Components RTS00006, Boston College Department of Economics.
  8. Tom Doan, . "APGRADIENTTEST: RATS procedure to perform Andrews-Ploberger Structural Break Test for GARCH/Maximum Likelihood," Statistical Software Components RTS00007, Boston College Department of Economics.
  9. Tom Doan, . "ARAUTOLAGS: RATS procedure to compute information criteria for AR models using Yule-Walker or Burg," Statistical Software Components RTS00008, Boston College Department of Economics.
  10. Tom Doan, . "ARCHTEST: RATS procedure to test a series for ARCH effects," Statistical Software Components RTS00009, Boston College Department of Economics.
  11. Tom Doan, . "ARMADLM: RATS procedure to set up a DLM (state-space model) based upon an ARMA model," Statistical Software Components RTS00010, Boston College Department of Economics.
  12. Tom Doan, . "ARMASPECTRUM: RATS procedure to graph the spectral density for an input ARMA model," Statistical Software Components RTS00011, Boston College Department of Economics.
  13. Tom Doan, . "BAING: RATS procedure to estimate factors in a factor model using Bai-Ng formulas," Statistical Software Components RTS00012, Boston College Department of Economics.
  14. Tom Doan, . "BAIPERRON: RATS procedure to perform Bai-Perron Test for Multiple Structural Changes," Statistical Software Components RTS00013, Boston College Department of Economics.
  15. Tom Doan, . "BAYESTST: RATS procedure to perform Bayesian Unit Root test," Statistical Software Components RTS00014, Boston College Department of Economics.
  16. Tom Doan, . "BDINDTEST: RATS procedure to perform battery of independence tests," Statistical Software Components RTS00015, Boston College Department of Economics.
  17. Tom Doan, . "BETAPARMS: RATS procedure to compute parameters required for beta distribution," Statistical Software Components RTS00017, Boston College Department of Economics.
  18. Tom Doan, . "BICORRTEST: RATS procedure to compute Hinich bi-correlations test for autocorrelation," Statistical Software Components RTS00018, Boston College Department of Economics.
  19. Tom Doan, . "BJAUTOFIT: RATS procedure to implement Automated ARIMA model selection," Statistical Software Components RTS00019, Boston College Department of Economics.
  20. Tom Doan, . "BJTRANS: RATS procedure to aid in selection of preliminary transformation," Statistical Software Components RTS00025, Boston College Department of Economics.
  21. Tom Doan, . "BKFILTER: RATS procedure to implement band pass filter using Baxter-King method," Statistical Software Components RTS00026, Boston College Department of Economics.
  22. Tom Doan, . "BNDECOMP: RATS procedure to perform Beveridge-Nelson decomposition," Statistical Software Components RTS00028, Boston College Department of Economics.
  23. Tom Doan, . "BPPANELTESTS: RATS procedure to perform Breusch-Pagan (and related) tests for random effects," Statistical Software Components RTS00029, Boston College Department of Economics.
  24. Tom Doan, . "BQDODRAWS: RATS procedure to implement Monte Carlo draws from a VAR with Blanchard-Quah factorization," Statistical Software Components RTS00030, Boston College Department of Economics.
  25. Tom Doan, . "BRYBOSCHAN: RATS procedure to implement Bry-Boschan business cycle dating," Statistical Software Components RTS00031, Boston College Department of Economics.
  26. Tom Doan, . "CANCORR: RATS procedure to compute canonical correlations for two sets of series," Statistical Software Components RTS00032, Boston College Department of Economics.
  27. Tom Doan, . "CFEAT: RATS procedure to identify turning points and cyclical phases of a series," Statistical Software Components RTS00033, Boston College Department of Economics.
  28. Tom Doan, . "CFFILTER: RATS procedure to perform band pass filter using Christiano-Fitzgerald method," Statistical Software Components RTS00034, Boston College Department of Economics.
    • Lawrence J. Christiano & Terry J. Fitzgerald, 2003. "The Band Pass Filter," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(2), pages 435-465, 05.
  29. Tom Doan, . "CHOWDENNING: RATS procedure to perform Chow-Denning multiple variance ratio test," Statistical Software Components RTS00035, Boston College Department of Economics.
  30. Tom Doan, . "CHOWLIN: RATS procedure to distribute a series to a higher frequency using related series," Statistical Software Components RTS00036, Boston College Department of Economics.
  31. Tom Doan, . "CLASSICALDECOMP: RATS procedure to decompose a series into trend, seasonal, irregular," Statistical Software Components RTS00037, Boston College Department of Economics.
  32. Tom Doan, . "CONDITION: RATS procedure to implement conditional forecasting," Statistical Software Components RTS00038, Boston College Department of Economics.
  33. Tom Doan, . "CORRADO: RATS procedure to perform Corrado non-parametric event test," Statistical Software Components RTS00039, Boston College Department of Economics.
  34. Tom Doan, . "CORRINTEGRAL: RATS procedure to compute a correlation integral for a series," Statistical Software Components RTS00040, Boston College Department of Economics.
  35. Tom Doan, . "CROSSPEC: RATS procedure to compute and graph phase and coherence," Statistical Software Components RTS00042, Boston College Department of Economics.
  36. Tom Doan, . "CUMPDGM: RATS procedure to perform Durbin's Cumulated Periodogram for serial correlation," Statistical Software Components RTS00044, Boston College Department of Economics.
  37. Tom Doan, . "CVSTABTEST: RATS procedure to perform stability tests on a covariance matrix," Statistical Software Components RTS00046, Boston College Department of Economics.
  38. Tom Doan, . "DENTON: RATS procedure to distribute a series to a higher frequency using proportional Denton method," Statistical Software Components RTS00047, Boston College Department of Economics.
  39. Tom Doan, . "DFUNIT: RATS procedure to perform Dickey-Fuller unit root test," Statistical Software Components RTS00048, Boston College Department of Economics.
  40. Tom Doan, . "DISAGGREGATE: RATS procedure to implement general disaggregation (interpolation/distribution) procedure," Statistical Software Components RTS00050, Boston College Department of Economics.
  41. Tom Doan, . "DISTRIB: RATS procedure to compute distribution from one frequency to a higher frequency," Statistical Software Components RTS00051, Boston College Department of Economics.
  42. Tom Doan, . "DIVISIA: RATS procedure to compute a Divisia index," Statistical Software Components RTS00052, Boston College Department of Economics.
  43. Tom Doan, . "DLMGLS: RATS procedure to perform GLS estimation with state-space model for errors," Statistical Software Components RTS00053, Boston College Department of Economics.
  44. Tom Doan, . "DLMIRF: RATS procedure to compute Impulse Response Function from a State-Space model," Statistical Software Components RTS00054, Boston College Department of Economics.
  45. Tom Doan, . "DMARIANO: RATS procedure to compute Diebold-Mariano Forecast Comparison Test," Statistical Software Components RTS00055, Boston College Department of Economics.
  46. Tom Doan, . "DSGECONTROL: RATS procedure to compute state space model adjustments for optimal control," Statistical Software Components RTS00056, Boston College Department of Economics.
  47. Tom Doan, . "DURBINLEVINSON: RATS procedure to compute autoregressive representations using Durbin-Levinson recursion," Statistical Software Components RTS00058, Boston College Department of Economics.
  48. Tom Doan, . "EBA: RATS procedure to perform Extreme Bounds Analysis," Statistical Software Components RTS00059, Boston College Department of Economics.
  49. Tom Doan, . "EGTEST: RATS procedure to compute Engle-Granger test for Cointegration," Statistical Software Components RTS00061, Boston College Department of Economics.
  50. Tom Doan, . "EGTESTRESIDS: RATS procedure to compute Engle-Granger test for cointegration on 1st stage residuals," Statistical Software Components RTS00062, Boston College Department of Economics.
  51. Tom Doan, . "ELFCALC: RATS procedure to compute empirical likelihood for a set of moment conditions," Statistical Software Components RTS00063, Boston College Department of Economics.
  52. Tom Doan, . "ENDERSIKLOS: RATS procedure to perform Enders-Siklos test for cointegration with threshold effect," Statistical Software Components RTS00064, Boston College Department of Economics.
  53. Tom Doan, . "EQNTOACF: RATS procedure to create an ACF from an ARMA equation," Statistical Software Components RTS00065, Boston College Department of Economics.
  54. Tom Doan, . "ERSTEST: RATS procedure to perform Elliott-Rothenberg-Stock unit root tests," Statistical Software Components RTS00066, Boston College Department of Economics.
  55. Tom Doan, . "EXACTINVERSE: RATS procedure to compute exact (limit) inverse with "infinite" components," Statistical Software Components RTS00067, Boston College Department of Economics.
  56. Tom Doan, . "FLUX: RATS procedure to compute a general Nyblom fluctuations test," Statistical Software Components RTS00068, Boston College Department of Economics.
  57. Tom Doan, . "FM: RATS procedure to estimate cointegrating vectors using Fully Modified Least Squares," Statistical Software Components RTS00069, Boston College Department of Economics.
  58. Tom Doan, . "FORCEDFACTOR: RATS procedure to factor covariance matrix with specific vector column/row," Statistical Software Components RTS00070, Boston College Department of Economics.
  59. Tom Doan, . "GAIN: RATS procedure to compute and graph the gain and phase of a pair of series," Statistical Software Components RTS00071, Boston College Department of Economics.
  60. Tom Doan, . "GAMMAPARMS: RATS procedure to compute parameters required for gamma distribution," Statistical Software Components RTS00072, Boston College Department of Economics.
  61. Tom Doan, . "GARCHFORE: RATS procedure to perform univariate GARCH forecasting," Statistical Software Components RTS00073, Boston College Department of Economics.
  62. Tom Doan, . "GAUSSHERMITE: RATS procedure to generate weights and grid points for Gauss-Hermite numerical integration," Statistical Software Components RTS00074, Boston College Department of Economics.
  63. Tom Doan, . "GLSDETREND: RATS procedure to perform local to unity GLS detrending," Statistical Software Components RTS00077, Boston College Department of Economics.
  64. Tom Doan, . "GMAUTOFIT: RATS procedure to perform automated ARIMA model selection (seasonal models)," Statistical Software Components RTS00078, Boston College Department of Economics.
  65. Tom Doan, . "GNEWBOLD: RATS procedure to perform Granger-Newbold forecast comparison test," Statistical Software Components RTS00079, Boston College Department of Economics.
  66. Tom Doan, . "GPH: RATS procedure to compute Geweke-Porter-Hudak estimate of fractional differencing," Statistical Software Components RTS00080, Boston College Department of Economics.
  67. Tom Doan, . "GREGORYHANSEN: RATS procedure to implement Gregory-Hansen test for Cointegration with breaks," Statistical Software Components RTS00082, Boston College Department of Economics.
  68. Tom Doan, . "HADRI: RATS procedure to implement Hadri test for unit roots in panel data," Statistical Software Components RTS00084, Boston College Department of Economics.
  69. Tom Doan, . "HALTON: RATS procedure to generate Halton sequences," Statistical Software Components RTS00085, Boston College Department of Economics.
  70. Tom Doan, . "HANNARISSANEN: RATS procedure to estimate an ARIMA model using the Hannan-Rissanen algorithm," Statistical Software Components RTS00086, Boston College Department of Economics.
  71. Tom Doan, . "HILLGEV: RATS procedure to estimate tail index for a distribution using Hill's method," Statistical Software Components RTS00087, Boston College Department of Economics.
  72. Tom Doan, . "HINICHTEST: RATS procedure to perform Hinich test for linearity and Gaussianity," Statistical Software Components RTS00088, Boston College Department of Economics.
  73. Tom Doan, . "HJBOUNDS: RATS procedure to compute Hansen-Jagannathan bounds for a set of returns," Statistical Software Components RTS00090, Boston College Department of Economics.
  74. Tom Doan, . "HTUNIT: RATS procedure to implement Harris-Tzavalis unit root test for panel data," Statistical Software Components RTS00092, Boston College Department of Economics.
  75. Tom Doan, . "HURST: RATS procedure to compute a Hurst exponent," Statistical Software Components RTS00093, Boston College Department of Economics.
  76. Tom Doan, . "ICSS: RATS procedure to perform Inclan-Tiao test for breaks in variance," Statistical Software Components RTS00094, Boston College Department of Economics.
  77. Tom Doan, . "INTERPOL: RATS procedure to interpolate from one frequency to a higher one," Statistical Software Components RTS00096, Boston College Department of Economics.
  78. Tom Doan, . "INVGAMMAPARMS: RATS procedure to compute parameters required for inverse gamma distribution," Statistical Software Components RTS00097, Boston College Department of Economics.
  79. Tom Doan, . "IPSHIN: RATS procedure to implement Im, Pesaran and Shin panel unit root test," Statistical Software Components RTS00098, Boston College Department of Economics.
  80. Tom Doan, . "JOHMLE: RATS procedure to perform Johansen ML Cointegration analysis," Statistical Software Components RTS00099, Boston College Department of Economics.
  81. Tom Doan, . "KPSS: RATS procedure to perform KPSS (Kwiatowski, Phillips, Schmidt, and Shin) stationarity test," Statistical Software Components RTS00100, Boston College Department of Economics.
  82. Tom Doan, . "KSCPOSTDRAW: RATS procedure to draw from posterior density needed in stochastic volatility model," Statistical Software Components RTS00101, Boston College Department of Economics.
  83. Tom Doan, . "LIML: RATS procedure to perform limited information maximum likelihood estimation," Statistical Software Components RTS00103, Boston College Department of Economics.
  84. Tom Doan, . "LOGMVSKEWT: RATS procedure to compute function for log density of multivariate skew-t distribution," Statistical Software Components RTS00107, Boston College Department of Economics.
  85. Tom Doan, . "LOGNORMALPARMS: RATS procedure to compute parameters required for log normal distribution," Statistical Software Components RTS00108, Boston College Department of Economics.
  86. Tom Doan, . "LOGSKEWTDENSITY: RATS procedure to compute log density of skew-t distribution," Statistical Software Components RTS00109, Boston College Department of Economics.
  87. Tom Doan, . "LPUNIT: RATS procedure to implement Lumsdaine-Papell unit root test with structural breaks," Statistical Software Components RTS00110, Boston College Department of Economics.
  88. Tom Doan, . "LSDVC: RATS procedure to estimate a dynamic FE model with correction for bias," Statistical Software Components RTS00111, Boston College Department of Economics.
  89. Tom Doan, . "LSUNIT: RATS procedure to implement Lee-Strazicich unit root tests with one or more structural breaks," Statistical Software Components RTS00112, Boston College Department of Economics.
  90. Tom Doan, . "MAAUTOLAGS: RATS procedure to compute Information Criteria for MA models using innovations algorithm," Statistical Software Components RTS00113, Boston College Department of Economics.
  91. Tom Doan, . "MACKINNONCV: RATS procedure to compute Mackinnon's Critical values for DF and EG tests," Statistical Software Components RTS00114, Boston College Department of Economics.
  92. Tom Doan, . "MANNWHITNEY: RATS procedure to perform Mann-Whitney test for comparison of samples," Statistical Software Components RTS00115, Boston College Department of Economics.
  93. Tom Doan, . "MCFEVDTABLE: RATS procedure to organize tables of FEVD's with confidence bands," Statistical Software Components RTS00118, Boston College Department of Economics.
  94. Tom Doan, . "MCLEODLI: RATS procedure to perform a McLeod-Li test for 2nd order dependence," Statistical Software Components RTS00120, Boston College Department of Economics.
  95. Tom Doan, . "MCMCPOSTPROC: RATS procedure to calculate sample statistics from MCMC realizations," Statistical Software Components RTS00121, Boston College Department of Economics.
  96. Tom Doan, . "MCVARDODDRAWS: RATS procedure to perform Monte Carlo draws from a VAR to generate IRF's," Statistical Software Components RTS00123, Boston College Department of Economics.
  97. Tom Doan, . "MEANGROUP: RATS procedure to perform mean group estimator for panel data," Statistical Software Components RTS00124, Boston College Department of Economics.
  98. Tom Doan, . "MESA: RATS procedure to compute and graph a spectrum using Maximum Entropy Method," Statistical Software Components RTS00126, Boston College Department of Economics.
  99. Tom Doan, . "MHEGY: RATS procedure to implement the monthly version of the "HEGY" tests," Statistical Software Components RTS00127, Boston College Department of Economics.
  100. Tom Doan, . "MIXVAR: RATS procedure to compute mixed estimation of an equation with a Bayesian prior," Statistical Software Components RTS00129, Boston College Department of Economics.
  101. Tom Doan, . "MONTEVAR: RATS procedure to perform Monte Carlo Integration of VAR Impulse Response confidence bands," Statistical Software Components RTS00132, Boston College Department of Economics.
  102. Tom Doan, . "MSEMSETUPSTD: RATS procedure to perform Markov switching procedures for EM estimation," Statistical Software Components RTS00133, Boston College Department of Economics.
  103. Tom Doan, . "MSREGRESSION: RATS procedure to perform Markov switching linear regression procedures," Statistical Software Components RTS00134, Boston College Department of Economics.
  104. Tom Doan, . "MSSETUP: RATS procedure to perform Markov switching general support procedures," Statistical Software Components RTS00135, Boston College Department of Economics.
  105. Tom Doan, . "MSSYSREGRESSION: RATS procedure to perform Markov switching linear systems regression procedures," Statistical Software Components RTS00136, Boston College Department of Economics.
  106. Tom Doan, . "MSVARSETUP: RATS procedure to perform Markov switching VAR setup procedures," Statistical Software Components RTS00137, Boston College Department of Economics.
  107. Tom Doan, . "MULTIPLEBREAKS: RATS procedure to perform multiple structural change analysis," Statistical Software Components RTS00138, Boston College Department of Economics.
  108. Tom Doan, . "MVARCHTEST: RATS procedure to perform Multivariate test for ARCH," Statistical Software Components RTS00139, Boston College Department of Economics.
  109. Tom Doan, . "MVBNDECOMP: RATS procedure to compute a multivariate Beveridge-Nelson decomposition via VAR's," Statistical Software Components RTS00140, Boston College Department of Economics.
  110. Tom Doan, . "MVGARCHFORE: RATS procedure to perform Multivariate GARCH forecasting," Statistical Software Components RTS00141, Boston College Department of Economics.
  111. Tom Doan, . "MVIDENT: RATS procedure to create a Tiao-Box cross correlation matrix," Statistical Software Components RTS00142, Boston College Department of Economics.
  112. Tom Doan, . "MVJB: RATS procedure to perform Multivariate Jarque-Bera normality test," Statistical Software Components RTS00143, Boston College Department of Economics.
  113. Tom Doan, . "MVQSTAT: RATS procedure to compute Hosking's Multivariate Q statistic," Statistical Software Components RTS00145, Boston College Department of Economics.
  114. Tom Doan, . "NBERCYCLES: RATS procedure to generate dummies based upon NBER cycle dates," Statistical Software Components RTS00146, Boston College Department of Economics.
  115. Tom Doan, . "OLSHODRICK: RATS procedure to compute Hodrick standard errors," Statistical Software Components RTS00147, Boston College Department of Economics.
  116. Tom Doan, . "PANELDOLS: RATS procedure to perform panel data group mean DOLS," Statistical Software Components RTS00150, Boston College Department of Economics.
  117. Tom Doan, . "PANELFM: RATS procedure to perform panel data group mean FMOLS," Statistical Software Components RTS00151, Boston College Department of Economics.
  118. Tom Doan, . "PANELTHRESH: RATS procedure to analyze up to two threshold breaks in a fixed effects panel model," Statistical Software Components RTS00152, Boston College Department of Economics.
  119. Tom Doan, . "PERRONBREAKS: RATS procedure to compute various unit root tests with breaks," Statistical Software Components RTS00154, Boston College Department of Economics.
  120. Tom Doan, . "PERRONNGMTESTS: RATS procedure to compute various Perron-Ng "M" unit root tests," Statistical Software Components RTS00155, Boston College Department of Economics.
  121. Tom Doan, . "PERRONRODRIGUEZ: RATS procedure to perform Perron-Rodriguez unit root test allowing for break at unknown date," Statistical Software Components RTS00156, Boston College Department of Economics.
  122. Tom Doan, . "PERSIST: RATS procedure to compute sum of coefficients of a MA representation for a series," Statistical Software Components RTS00157, Boston College Department of Economics.
  123. Tom Doan, . "PHILLIPSHANNAN: RATS procedure to compute Phillips-Hannan Efficient estimator for multivariate regressions," Statistical Software Components RTS00158, Boston College Department of Economics.
  124. Tom Doan, . "PPUNIT: RATS procedure to perform Phillips-Perron Unit Root test," Statistical Software Components RTS00160, Boston College Department of Economics.
  125. Tom Doan, . "PRINFACTORS: RATS procedure to perform principal components-based factor analysis," Statistical Software Components RTS00161, Boston College Department of Economics.
  126. Tom Doan, . "PRJCONDITIONAL: RATS procedure to compute predicted probabilities for conditional logit model," Statistical Software Components RTS00162, Boston College Department of Economics.
  127. Tom Doan, . "PRJMULTINOMIAL: RATS procedure to compute predicted probabilities for multinomial logit model," Statistical Software Components RTS00163, Boston College Department of Economics.
  128. Tom Doan, . "QUARTIMAX: RATS procedure to perform factor rotation using quartimax criterion," Statistical Software Components RTS00166, Boston College Department of Economics.
  129. Tom Doan, . "RANMIXTURE: RATS procedure to perform random draws from a mixture of Normals," Statistical Software Components RTS00168, Boston College Department of Economics.
  130. Tom Doan, . "REGEXACTDW: RATS procedure to compute the exact significance level for the Durbin-Watson," Statistical Software Components RTS00175, Boston College Department of Economics.
  131. Tom Doan, . "REGHBREAK: RATS procedure to perform structural break test with bootstrapped p-values," Statistical Software Components RTS00176, Boston College Department of Economics.
  132. Tom Doan, . "REGPCSE: RATS procedure to compute panel-corrected standard error calculation," Statistical Software Components RTS00179, Boston College Department of Economics.
  133. Tom Doan, . "REGRESET: RATS procedure to perform Ramsey RESET test on regression," Statistical Software Components RTS00181, Boston College Department of Economics.
  134. Tom Doan, . "REGTREE: RATS procedure to perform a CART (Classification and Regression Trees) analysis," Statistical Software Components RTS00182, Boston College Department of Economics.
  135. Tom Doan, . "REGWHITENNTEST: RATS procedure to perform White neural network test on regression," Statistical Software Components RTS00183, Boston College Department of Economics.
  136. Tom Doan, . "REGWHITETEST: RATS procedure to perform White heteroscedasticity test on regression," Statistical Software Components RTS00184, Boston College Department of Economics.
  137. Tom Doan, . "REGWUTEST: RATS procedure to perform Wu (or Durbin-Wu-Hausman) specification test on regression," Statistical Software Components RTS00185, Boston College Department of Economics.
  138. Tom Doan, . "RGSE: RATS procedure to compute fractional differencing parameter using semiparametric methods," Statistical Software Components RTS00186, Boston College Department of Economics.
  139. Tom Doan, . "ROBUSTLMTEST: RATS procedure to perform robust LM test for orthogonality of residuals and input series," Statistical Software Components RTS00187, Boston College Department of Economics.
  140. Tom Doan, . "ROLLREG: RATS procedure to compute rolling regressions for least squares," Statistical Software Components RTS00188, Boston College Department of Economics.
  141. Tom Doan, . "RRGQTEST: RATS procedure to compute a Goldfeld-Quandt test on recursive residuals," Statistical Software Components RTS00190, Boston College Department of Economics.
  142. Tom Doan, . "RSSTATISTIC: RATS procedure to compute R/S Statistic (classical or Lo's modified)," Statistical Software Components RTS00191, Boston College Department of Economics.
  143. Tom Doan, . "RUNTEST: RATS procedure to compute a run test for a two-state series," Statistical Software Components RTS00192, Boston College Department of Economics.
  144. Tom Doan, . "SHORTANDLONG: RATS procedure to compute factor covariance matrix with short and long run restrictions," Statistical Software Components RTS00194, Boston College Department of Economics.
  145. Tom Doan, . "SPECFORE: RATS procedure to compute forecasts using spectral techniques," Statistical Software Components RTS00195, Boston College Department of Economics.
  146. Tom Doan, . "SPECTRUM: RATS procedure to compute/graph spectral density," Statistical Software Components RTS00196, Boston College Department of Economics.
  147. Tom Doan, . "SSMSPECTRUM: RATS procedure to compute multivariate spectral density of a state space model," Statistical Software Components RTS00198, Boston College Department of Economics.
  148. Tom Doan, . "STABTEST: RATS procedure to perform Hansen's stability test for OLS," Statistical Software Components RTS00199, Boston College Department of Economics.
  149. Tom Doan, . "STAMPDIAGS: RATS procedure to perform a standard battery of specification tests for a state space model," Statistical Software Components RTS00200, Boston College Department of Economics.
  150. Tom Doan, . "STARTEST: RATS procedure to perform test for linearity vs. LSTAR or ESTAR," Statistical Software Components RTS00201, Boston College Department of Economics.
  151. Tom Doan, . "STEPPROBIT: RATS procedure to perform backwards stepwise reduction of a probit model," Statistical Software Components RTS00202, Boston College Department of Economics.
  152. Tom Doan, . "STOCKWAT: RATS procedure to perform Stock-Watson and Dickey-Fuller Unit Root Tests," Statistical Software Components RTS00203, Boston College Department of Economics.
  153. Tom Doan, . "STRUCTRESIDS: RATS procedure to compute structural residuals from standard residuals," Statistical Software Components RTS00204, Boston College Department of Economics.
  154. Tom Doan, . "SURGIBBSSETUP: RATS procedure to set up Gibbs sampler for SUR model," Statistical Software Components RTS00205, Boston College Department of Economics.
  155. Tom Doan, . "SWAMY: RATS procedure to compute a GLS matrix weighted estimator for a panel data set," Statistical Software Components RTS00206, Boston College Department of Economics.
  156. Tom Doan, . "SWDOLS: RATS procedure to estimate cointegrating vectors using dynamic OLS," Statistical Software Components RTS00207, Boston College Department of Economics.
  157. Tom Doan, . "SWTRENDS: RATS procedure to test cointegration rank using common trends analysis," Statistical Software Components RTS00208, Boston College Department of Economics.
  158. Tom Doan, . "TAR: RATS procedure to estimate a threshold autoregression, tests for threshold effect," Statistical Software Components RTS00209, Boston College Department of Economics.
  159. Tom Doan, . "THRESHTEST: RATS procedure to perform Hansen's Test for Threshold Break," Statistical Software Components RTS00210, Boston College Department of Economics.
  160. Tom Doan, . "TSAYNLTEST: RATS procedure to perform Tsay test for neglected non-linearities," Statistical Software Components RTS00212, Boston College Department of Economics.
  161. Tom Doan, . "TSAYTEST: RATS procedure to perform Tsay arranged regression test for threshold autoregression (TAR)," Statistical Software Components RTS00213, Boston College Department of Economics.
  162. Tom Doan, . "TSECCTEST: RATS procedure to perform Tse test for constant correlation in MV-GARCH model," Statistical Software Components RTS00214, Boston College Department of Economics.
  163. Tom Doan, . "UFOREERRORS: RATS procedure to compute forecast errors for a univariate model," Statistical Software Components RTS00216, Boston College Department of Economics.
  164. Tom Doan, . "UHLIGFUNCS: RATS procedure to compute criteria for Uhlig sign-restricted shocks," Statistical Software Components RTS00217, Boston College Department of Economics.
  165. Tom Doan, . "UNIFORMPARMS: RATS procedure to compute required parameters for uniform distribution," Statistical Software Components RTS00218, Boston College Department of Economics.
  166. Tom Doan, . "UNIQUEVALUES: RATS procedure to extract unique values from a series," Statistical Software Components RTS00219, Boston College Department of Economics.
  167. Tom Doan, . "VARBOOTSETUP: RATS procedure to set up a parallel system for bootstrapping a VAR," Statistical Software Components RTS00220, Boston College Department of Economics.
  168. Tom Doan, . "VARCALC: RATS procedure to perform a direct calculation of a simple OLS VAR," Statistical Software Components RTS00221, Boston College Department of Economics.
  169. Tom Doan, . "VARFPE: RATS procedure to compute minimum FPE representation for the equations in a VAR," Statistical Software Components RTS00222, Boston College Department of Economics.
  170. Tom Doan, . "VARFROMDLM: RATS procedure to translate a state space representation to its implied VAR," Statistical Software Components RTS00223, Boston College Department of Economics.
  171. Tom Doan, . "VARIMAX: RATS procedure to perform factor rotation using varimax criterion," Statistical Software Components RTS00224, Boston College Department of Economics.
  172. Tom Doan, . "VARIRF: RATS procedure to organize graphs of Impulse responses for an estimated VAR," Statistical Software Components RTS00225, Boston College Department of Economics.
  173. Tom Doan, . "VARIRFDELTA: RATS procedure to compute the covariance matrix of an IRF using the delta method," Statistical Software Components RTS00226, Boston College Department of Economics.
  174. Tom Doan, . "VARLAGSELECT: RATS procedure to select lag length for a VAR model," Statistical Software Components RTS00228, Boston College Department of Economics.
  175. Tom Doan, . "VARMADLM: RATS procedure to analyze a VARMA using state-space techniques," Statistical Software Components RTS00229, Boston College Department of Economics.
  176. Tom Doan, . "VARSPECTRUM: RATS procedure to compute multivariate spectral density of a Vector Autoregression," Statistical Software Components RTS00230, Boston College Department of Economics.
  177. Tom Doan, . "VRATIO: RATS procedure to implement variance ratio unit root test procedure," Statistical Software Components RTS00231, Boston College Department of Economics.
  178. Tom Doan, . "ZIVOT: RATS procedure to perform Zivot-Andrews Unit Root Test," Statistical Software Components RTS00236, Boston College Department of Economics.
  179. Tom Doan, . "RATS program to estimate a linear regression using an adaptive kernel estimator," Statistical Software Components RTZ00001, Boston College Department of Economics.
  180. Tom Doan, . "RATS programs to replicate Aruoba, Diebold and Scotti JBES 2009," Statistical Software Components RTZ00002, Boston College Department of Economics.
  181. Tom Doan, . "RATS program to demonstrate Arellano-Bond estimator for dynamic panel model," Statistical Software Components RTZ00005, Boston College Department of Economics.
  182. Tom Doan, . "RATS program to demonstrate estimation of an ARMAX model," Statistical Software Components RTZ00007, Boston College Department of Economics.
  183. Tom Doan, . "RATS programs to replicate examples of Bai-Perron procedure," Statistical Software Components RTZ00008, Boston College Department of Economics.
  184. Tom Doan, . "RATS programs to replicate Baillie, Bollerslev, Mikkelson FIGARCH results," Statistical Software Components RTZ00009, Boston College Department of Economics.
  185. Tom Doan, . "RATS programs to replicate Balke-Fomby threshold cointegration," Statistical Software Components RTZ00010, Boston College Department of Economics.
    • Balke, Nathan S & Fomby, Thomas B, 1997. "Threshold Cointegration," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(3), pages 627-45, August.
  186. Tom Doan, . "RATS programs to replicate Bernanke, Boivin, Eliasz FAVAR paper," Statistical Software Components RTZ00012, Boston College Department of Economics.
  187. Tom Doan, . "RATS programs to replicate Bernanke and Mihov QJE 1998," Statistical Software Components RTZ00013, Boston College Department of Economics.
  188. Tom Doan, . "RATS programs to replicate Bjornland-Leitemo(2009) SVAR with short- and long-run restrictions," Statistical Software Components RTZ00016, Boston College Department of Economics.
  189. Tom Doan, . "RATS programs to replicate Blanchard and Quah AER 1989," Statistical Software Components RTZ00017, Boston College Department of Economics.
  190. Tom Doan, . "RATS program to estimate term structure using non-linear methods," Statistical Software Components RTZ00018, Boston College Department of Economics.
  191. Tom Doan, . "RATS program to estimate term structure with cubic splines," Statistical Software Components RTZ00019, Boston College Department of Economics.
  192. Tom Doan, . "RATS program to demonstrate bootstrapping with an ARMA model," Statistical Software Components RTZ00020, Boston College Department of Economics.
  193. Tom Doan, . "RATS program to demonstrate bootstrapping with cointegration," Statistical Software Components RTZ00021, Boston College Department of Economics.
  194. Tom Doan, . "RATS program to demonstrate bootstrapping spectral density estimates," Statistical Software Components RTZ00023, Boston College Department of Economics.
  195. Tom Doan, . "RATS program to demonstrate bootstrapping with a VAR," Statistical Software Components RTZ00024, Boston College Department of Economics.
  196. Tom Doan, . "RATS program to demonstrate bootstrapping with a VECM," Statistical Software Components RTZ00025, Boston College Department of Economics.
  197. Tom Doan, . "RATS programs to replicate Burnside's JBES 1994 paper on asset pricing," Statistical Software Components RTZ00027, Boston College Department of Economics.
  198. Tom Doan, . "RATS program to estimate DSGE model," Statistical Software Components RTZ00028, Boston College Department of Economics.
  199. Tom Doan, . "RATS programs to replicate Campbell and Ammer's JOF 1993 paper," Statistical Software Components RTZ00029, Boston College Department of Economics.
  200. Tom Doan, . "RATS program to demonstrate Bayesian VAR estimation," Statistical Software Components RTZ00030, Boston College Department of Economics.
  201. Tom Doan, . "RATS program to solve Cass-Koopmans growth model," Statistical Software Components RTZ00031, Boston College Department of Economics.
  202. Tom Doan, . "RATS programs to replicate CKLS(1992) estimation of interest rate models," Statistical Software Components RTZ00035, Boston College Department of Economics.
  203. Tom Doan, . "RATS program to demonstrate conditional forecasting with a VAR," Statistical Software Components RTZ00037, Boston College Department of Economics.
  204. Tom Doan, . "RATS program to demonstrate various stability tests," Statistical Software Components RTZ00038, Boston College Department of Economics.
  205. Tom Doan, . "RATS program to demonstrate Durbin's Cumulated Periodogram test for serial correlation," Statistical Software Components RTZ00040, Boston College Department of Economics.
  206. Tom Doan, . "RATS program to demonstrate estimation of structural VAR's," Statistical Software Components RTZ00041, Boston College Department of Economics.
  207. Tom Doan, . "RATS programs to replicate Den Haan JME(2000) correlation of comovements," Statistical Software Components RTZ00042, Boston College Department of Economics.
  208. Tom Doan, . "RATS programs to replicate Dennis Macroeconomic Dynamics 2007 optimal control," Statistical Software Components RTZ00043, Boston College Department of Economics.
  209. Tom Doan, . "RATS programs to replicate Diebold and Yilmaz EJ 2009 spillover calculations," Statistical Software Components RTZ00044, Boston College Department of Economics.
  210. Tom Doan, . "RATS programs to replicate Diebold,Rudebusch,Aruoba 2006 factor model," Statistical Software Components RTZ00047, Boston College Department of Economics.
  211. Tom Doan, . "RATS programs to replicate Dueker(1997) Markov switching GARCH models," Statistical Software Components RTZ00048, Boston College Department of Economics.
  212. Tom Doan, . "RATS programs to replicate Dueker(2005) JBES dynamic probit model," Statistical Software Components RTZ00049, Boston College Department of Economics.
  213. Tom Doan, . "RATS program to solve Erceg-Henderson-Levin model," Statistical Software Components RTZ00051, Boston College Department of Economics.
  214. Tom Doan, . "RATS programs to estimate structural VAR-GARCH-M model," Statistical Software Components RTZ00052, Boston College Department of Economics.
  215. Tom Doan, . "RATS programs to replicate Enders-Siklos(2001) JBES paper on threshold cointegration," Statistical Software Components RTZ00053, Boston College Department of Economics.
  216. Tom Doan, . "RATS programs to replicate Enders/Granger JBES(1998)on threshold unit roots," Statistical Software Components RTZ00054, Boston College Department of Economics.
  217. Tom Doan, . "RATS programs to replicate Fabiani-Mestre 2004 NAIRU model results," Statistical Software Components RTZ00057, Boston College Department of Economics.
  218. Tom Doan, . "RATS programs to replicate Faust and Leeper JBES 1997 paper," Statistical Software Components RTZ00058, Boston College Department of Economics.
  219. Tom Doan, . "RATS programs to replicate Filardo JBES 1994 paper with time-varying Markov switching," Statistical Software Components RTZ00059, Boston College Department of Economics.
  220. Tom Doan, . "RATS program to estimate a model with fractional differencing," Statistical Software Components RTZ00060, Boston College Department of Economics.
  221. Tom Doan, . "RATS program to demonstrate frequency domain deseasonalization," Statistical Software Components RTZ00061, Boston College Department of Economics.
  222. Tom Doan, . "RATS programs to replicates Gali's AEA 1999 VAR results," Statistical Software Components RTZ00062, Boston College Department of Economics.
  223. Tom Doan, . "RATS programs to replicate Gali's QJE 1992 results," Statistical Software Components RTZ00063, Boston College Department of Economics.
  224. Tom Doan, . "RATS program to demonstrate bootstrapping with a GARCH model," Statistical Software Components RTZ00064, Boston College Department of Economics.
  225. Tom Doan, . "RATS program to demonstrate Gibbs sampling with GARCH model," Statistical Software Components RTZ00065, Boston College Department of Economics.
  226. Tom Doan, . "RATS program to demonstrate importance sampling with GARCH model," Statistical Software Components RTZ00066, Boston College Department of Economics.
  227. Tom Doan, . "RATS program to demonstrate multivariate GARCH models," Statistical Software Components RTZ00067, Boston College Department of Economics.
  228. Tom Doan, . "RATS program to demonstrate multivariate GARCH using 2-stage DCC," Statistical Software Components RTZ00068, Boston College Department of Economics.
  229. Tom Doan, . "RATS program to demonstrate univariate GARCH estimation," Statistical Software Components RTZ00069, Boston College Department of Economics.
  230. Tom Doan, . "RATS program to demonstrate contour graph," Statistical Software Components RTZ00070, Boston College Department of Economics.
  231. Tom Doan, . "RATS program to demonstrate Gibbs sampling with a linear regression," Statistical Software Components RTZ00071, Boston College Department of Economics.
  232. Tom Doan, . "RATS program to demonstrate Gibbs Sampling applied to a Bayesian VAR," Statistical Software Components RTZ00072, Boston College Department of Economics.
  233. Tom Doan, . "RATS programs to replicate Gonzalo and Granger JBES 1995 paper," Statistical Software Components RTZ00074, Boston College Department of Economics.
  234. Tom Doan, . "RATS program to demonstrate bootstrapping applied to Granger causality test," Statistical Software Components RTZ00075, Boston College Department of Economics.
  235. Tom Doan, . "RATS programs to replicate Gray's 1996 Regime Switching GARCH paper," Statistical Software Components RTZ00080, Boston College Department of Economics.
  236. Tom Doan, . "RATS programs to replicate results from Gregory and Hansen(1996) JOE article," Statistical Software Components RTZ00081, Boston College Department of Economics.
  237. Tom Doan, . "RATS programs to estimate Hamilton-Susmel Markov Switching ARCH model," Statistical Software Components RTZ00083, Boston College Department of Economics.
  238. Tom Doan, . "RATS program to estimate Hamilton switching model," Statistical Software Components RTZ00084, Boston College Department of Economics.
  239. Tom Doan, . "RATS program to demonstrate Hannan efficient estimation," Statistical Software Components RTZ00085, Boston College Department of Economics.
  240. Tom Doan, . "RATS programs to replicate Hansen's GARCH models with time-varying t-densities," Statistical Software Components RTZ00086, Boston College Department of Economics.
  241. Tom Doan, . "RATS programs to replicate Hansen's examples of Andrews-Ploberger test," Statistical Software Components RTZ00087, Boston College Department of Economics.
  242. Tom Doan, . "RATS programs to replicate Hansen's example of threshold break in panel data," Statistical Software Components RTZ00088, Boston College Department of Economics.
  243. Tom Doan, . "RATS programs to replicate structural break test with Hansen's fixed regressor bootstrap," Statistical Software Components RTZ00089, Boston College Department of Economics.
  244. Tom Doan, . "RATS programs to replicate Hansen's threshold estimation and testing results," Statistical Software Components RTZ00091, Boston College Department of Economics.
  245. Tom Doan, . "RATS programs to replicate Hansen/Seo paper on threshold cointegration," Statistical Software Components RTZ00092, Boston College Department of Economics.
  246. Tom Doan, . "RATS programs to estimate multivariate stochastic volatility models," Statistical Software Components RTZ00093, Boston College Department of Economics.
  247. Tom Doan, . "RATS program to demonstrate Inclan-Tiao test for breaks in variance," Statistical Software Components RTZ00100, Boston College Department of Economics.
  248. Tom Doan, . "RATS programs to replicate Ireland's JEDC 2004 estimation of DSGE model," Statistical Software Components RTZ00104, Boston College Department of Economics.
  249. Tom Doan, . "RATS programs to replicate Jacquier, Polson, Rossi (1994) stochastic volatility," Statistical Software Components RTZ00105, Boston College Department of Economics.
  250. Tom Doan, . "RATS programs to replicate King, Plosser, Stock, Watson AER 1991 results," Statistical Software Components RTZ00107, Boston College Department of Economics.
  251. Tom Doan, . "RATS programs to replicate Krolzig MS-VAR's for six country models," Statistical Software Components RTZ00108, Boston College Department of Economics.
  252. Tom Doan, . "RATS programs to replicate Lanne-Lutkepohl JMCB 2008 structural VAR with volatility shifts," Statistical Software Components RTZ00109, Boston College Department of Economics.
  253. Tom Doan, . "RATS program to solve Lubik-Schorfheide JME 2007 DSGE model," Statistical Software Components RTZ00111, Boston College Department of Economics.
  254. Tom Doan, . "RATS programs to replicate Mark-Sul(2003) panel DOLS," Statistical Software Components RTZ00112, Boston College Department of Economics.
  255. Tom Doan, . "RATS programs to replicate Michael-Nobay-Peel ESTAR models," Statistical Software Components RTZ00113, Boston College Department of Economics.
  256. Tom Doan, . "RATS programs to replicate Morley-Nelson-Zivot state space decomposition," Statistical Software Components RTZ00115, Boston College Department of Economics.
  257. Tom Doan, . "RATS program to demonstrate Monte Carlo Impulse Response to exogenous variable," Statistical Software Components RTZ00117, Boston College Department of Economics.
  258. Tom Doan, . "RATS program to demonstrate Monte Carlo Impulse Responses for a Near-VAR," Statistical Software Components RTZ00118, Boston College Department of Economics.
  259. Tom Doan, . "RATS program to demonstrate Monte Carlo Impulse Responses for overidentified SVARs," Statistical Software Components RTZ00119, Boston College Department of Economics.
  260. Tom Doan, . "RATS program to demonstrate Monte Carlo Impulse Responses for a standard VAR," Statistical Software Components RTZ00120, Boston College Department of Economics.
  261. Tom Doan, . "RATS programs to replicate Mountford and Uhlig JAE 2009 sign-constrained VAR," Statistical Software Components RTZ00121, Boston College Department of Economics.
  262. Tom Doan, . "RATS program to demonstrate use of neural networks," Statistical Software Components RTZ00122, Boston College Department of Economics.
  263. Tom Doan, . "RATS program to demonstrate non-parametric regression," Statistical Software Components RTZ00125, Boston College Department of Economics.
  264. Tom Doan, . "RATS program to estimate observable index model from Sargent-Sims(1977)," Statistical Software Components RTZ00126, Boston College Department of Economics.
  265. Tom Doan, . "RATS programs to replicate Ozbek and Ozlale state space model with time-varying coefficients," Statistical Software Components RTZ00128, Boston College Department of Economics.
  266. Tom Doan, . "RATS programs to replicate Papell and Prodan one and two break unit root tests," Statistical Software Components RTZ00130, Boston College Department of Economics.
  267. Tom Doan, . "RATS programs to replicate Pedroni PPP tests on panel data," Statistical Software Components RTZ00132, Boston College Department of Economics.
  268. Tom Doan, . "RATS programs to replicate Perron-Wada state space model," Statistical Software Components RTZ00133, Boston College Department of Economics.
  269. Tom Doan, . "RATS programs to replicate Pesaran, Shin and Smith, pooled mean group panel data," Statistical Software Components RTZ00134, Boston College Department of Economics.
  270. Tom Doan, . "RATS program to calculate optimal portfolios," Statistical Software Components RTZ00135, Boston College Department of Economics.
  271. Tom Doan, . "RATS program to demonstrate quadratic programming," Statistical Software Components RTZ00137, Boston College Department of Economics.
  272. Tom Doan, . "RATS programs to replicate Quah and Vahey core inflation estimation," Statistical Software Components RTZ00139, Boston College Department of Economics.
  273. Tom Doan, . "RATS program to estimate probit model with random effects," Statistical Software Components RTZ00141, Boston College Department of Economics.
  274. Tom Doan, . "RATS program to demonstrate calculation of an arranged autoregression," Statistical Software Components RTZ00142, Boston College Department of Economics.
  275. Tom Doan, . "RATS program to demonstate robust estimation techniques in a linear model," Statistical Software Components RTZ00143, Boston College Department of Economics.
  276. Tom Doan, . "RATS program to demonstrate Shiller smoothness prior for distributed lag," Statistical Software Components RTZ00144, Boston College Department of Economics.
  277. Tom Doan, . "RATS programs to replicate Sims and Zha(1999) "Error Bands for Impulse Responses"," Statistical Software Components RTZ00145, Boston College Department of Economics.
  278. Tom Doan, . "RATS programs to replicate Sinclair(2009) bivariate state-space model," Statistical Software Components RTZ00151, Boston College Department of Economics.
  279. Tom Doan, . "RATS program to demonstrate forecasting using spectral techniques," Statistical Software Components RTZ00152, Boston College Department of Economics.
  280. Tom Doan, . "RATS program to demonstrate estimation of a stochastic volatility model," Statistical Software Components RTZ00155, Boston College Department of Economics.
  281. Tom Doan, . "RATS program to demonstrate Swamy GLS matrix weighted estimator," Statistical Software Components RTZ00156, Boston College Department of Economics.
  282. Tom Doan, . "RATS program to demonstrate Markov Switching ARCH," Statistical Software Components RTZ00157, Boston College Department of Economics.
  283. Tom Doan, . "RATS programs to replicate Terasvirta's 1994 STAR model results," Statistical Software Components RTZ00158, Boston College Department of Economics.
  284. Tom Doan, . "RATS programs to replicate Tsay's 1998 multivariate threshold results," Statistical Software Components RTZ00160, Boston College Department of Economics.
  285. Tom Doan, . "RATS programs to replicate Tse's constant correlation GARCH test results," Statistical Software Components RTZ00161, Boston College Department of Economics.
  286. Tom Doan, . "RATS program to demonstrate time-varying coefficient estimation in a VAR," Statistical Software Components RTZ00162, Boston College Department of Economics.
  287. Tom Doan, . "RATS programs to replicate Uhlig's VAR identification technique," Statistical Software Components RTZ00163, Boston College Department of Economics.
  288. Tom Doan, . "RATS program to demonstrate block causality tests in a VAR," Statistical Software Components RTZ00165, Boston College Department of Economics.
  289. Tom Doan, . "RATS program to demonstrate lag length selection techniques in a VAR," Statistical Software Components RTZ00166, Boston College Department of Economics.
  290. Tom Doan, . "RATS programs to replicate Willinger, Taqqu, Teverovsky(1999)," Statistical Software Components RTZ00167, Boston College Department of Economics.
  291. Tom Doan, . "RATS programs to replicate Wright's Alternative Variance Ratio test results," Statistical Software Components RTZ00168, Boston College Department of Economics.
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