| . |
Neely, Christopher J.'s
Scholarly Papers
Click on the title of any column to sort the table by that
column. |
|
|
| |
|
|
Aggregate Statistics |
|
Total
Downloads
10,466 |
Total
Citations
403 |
|
|
|
|
|
1.
|
|
|
Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division
|
|
1,097
(7,978)
|
|
|
| |
|
| |
|
|
|
2.
|
|
|
Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division Weller, Paul A.
University of Iowa - Department of Finance
|
| Posted: |
|
05 Jan 11
|
|
Last Revised:
|
|
26 Jul 11
|
|
838
(12,272)
|
73
|
|
| |
|
| |
Exchange Rate, Technical Analysis, Technical Trading, Intervention, Efficient Markets Hypothesis, Adaptive Markets Hypothesis
|
|
|
3.
|
|
|
Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division
|
|
748
(14,527)
|
1
|
|
| |
|
| |
gold, futures, option, implied volatility, GARCH, long-memory, ARIMA, high frequency
|
|
|
4.
|
|
|
Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division Weller, Paul A.
University of Iowa - Department of Finance
|
|
682
(16,642)
|
24
|
|
| |
|
| |
|
|
|
5.
|
|
|
Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division Rapach, David E.
Seattle University, Albers School of Business and Economics Tu, Jun
Singapore Management University Zhou, Guofu
Washington University in St. Louis - Olin School of Business
|
| Posted: |
|
11 Mar 10
|
|
Last Revised:
|
|
15 May 13
|
|
600
(19,982)
|
6
|
|
| |
|
| |
equity risk premium predictability, macroeconomic variables, moving-average rules, momentum, volume, out-of-sample forecasts, asset allocation, business cycle
|
|
|
6.
|
|
The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
|
Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division Weller, Paul A.
University of Iowa - Department of Finance Ulrich, Joshua
affiliation not provided to SSRN
|
|
Posted:
|
|
08 Aug 06
|
|
Last Revised:
|
|
18 May 09
|
|
528
(23,776)
|
24
|
|
|
|
|
Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division Weller, Paul A.
University of Iowa - Department of Finance Ulrich, Joshua
affiliation not provided to SSRN
|
|
0
|
|
|
| |
|
| |
technical analysis, foreign exchange, structural break, market efficiency, adaptive markets hypothesis
|
|
|
|
|
|
|
Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division Weller, Paul A.
University of Iowa - Department of Finance Ulrich, Joshua
affiliation not provided to SSRN
|
|
528
|
24
|
|
| |
|
| |
technical analysis, foreign exchange, structural break, market efficiency, adaptive markets hypothesis
|
|
|
|
|
|
7.
|
|
|
Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division
|
|
493
(25,959)
|
45
|
|
| |
|
| |
foreign exchange, intervention, exchange rates, monetary authority, central bank
|
|
|
8.
|
|
Technical Analysis and Central Bank Intervention
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
|
Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division Weller, Paul A.
University of Iowa - Department of Finance
|
|
Posted:
|
|
25 Sep 00
|
|
Last Revised:
|
|
08 Feb 01
|
|
455
(28,910)
|
23
|
|
|
|
|
Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division Weller, Paul A.
University of Iowa - Department of Finance
|
|
0
|
|
|
| |
|
| |
Technical trading rules, genetic programming, exchange rates, central bank intervention
|
|
|
|
|
|
|
Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division Weller, Paul A.
University of Iowa - Department of Finance
|
|
455
|
23
|
|
| |
|
| |
Technical trading rules, genetic programming, exchange rates, central bank intervention
|
|
|
|
|
|
9.
|
|
|
Mizrach, Bruce
Rutgers University, Department of Economics Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division
|
|
418
(32,260)
|
5
|
|
| |
|
| |
Treasury, microstructure, spreads, order book, announcement
|
|
|
10.
|
|
|
Dueker, Michael
Russell Investments Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division
|
|
400
(34,091)
|
16
|
|
| |
|
| |
Technical trading rules, Markov switching, exchange rates, excess returns
|
|
|
11.
|
|
|
Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division Rapach, David
Saint Louis University - John Cook School of Business Tu, Jun
Singapore Management University Zhou, Guofu
Washington University in St. Louis - Olin School of Business
|
| Posted: |
|
21 Mar 11
|
|
Last Revised:
|
|
16 Oct 12
|
|
364
(38,277)
|
2
|
|
| |
|
| |
Equity Risk Premium Predictability, Macroeconomic Variables, Moving-Average Rules, Momentum, Volume, Out-of-Sample Forecasts, Asset Allocation
|
|
|
12.
|
|
Lessons from the Evolution of Foreign Exchange Trading Strategies
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
|
Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division Weller, Paul A.
University of Iowa - Department of Finance
|
|
Posted:
|
|
15 Sep 11
|
|
Last Revised:
|
|
11 Apr 13
|
|
347
(40,615)
|
1
|
|
|
|
|
Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division Weller, Paul A.
University of Iowa - Department of Finance
|
| Posted: |
|
24 Sep 11
|
|
Last Revised:
|
|
11 Apr 13
|
|
91
|
1
|
|
| |
|
| |
Exchange rate, Technical analysis, Technical trading, Carry trade, Efficient markets hypothesis, Adaptive markets hypothesis
|
|
|
|
|
|
|
Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division Weller, Paul A.
University of Iowa - Department of Finance
|
|
256
|
1
|
|
| |
|
| |
exchange rate, technical analysis, technical trading, efficient markets hypothesis, adaptive markets hypothesis
|
|
|
|
|
|
13.
|
|
Technical Trading Rules in the European Monetary System
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
|
Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division Weller, Paul A.
University of Iowa - Department of Finance
|
|
Posted:
|
|
21 Dec 98
|
|
Last Revised:
|
|
25 Sep 00
|
|
337
(42,104)
|
21
|
|
|
|
|
Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division Weller, Paul A.
University of Iowa - Department of Finance
|
|
0
|
|
|
| |
|
| |
|
|
|
|
|
|
|
Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division Weller, Paul A.
University of Iowa - Department of Finance
|
|
337
|
21
|
|
| |
|
| |
|
|
|
|
|
|
14.
|
|
|
Lahaye, Jerome
Facultés Universitaires Notre-Dame de la Paix (FUNDP) Laurent, Sébastien
Maastricht University - Department of Quantitative Economics Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division
|
| Posted: |
|
13 Oct 08
|
|
Last Revised:
|
|
26 Aug 09
|
|
302
(47,869)
|
16
|
|
| |
|
| |
exchange rate, futures, bonds, realized volatility, bipower variation, jumps, macroeconomic announcement.
|
|
|
15.
|
|
|
Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division
|
|
270
(54,425)
|
32
|
|
| |
|
| |
Foreign exchange, intervention, identification, event study
|
|
|
16.
|
|
|
Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division
|
|
226
(66,056)
|
38
|
|
| |
|
| |
Technical analysis, trading rules, intervention, exchange rates
|
|
|
17.
|
|
Predictability in International Asset Returns: A Reexamination
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
|
Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division Weller, Paul A.
University of Iowa - Department of Finance
|
|
Posted:
|
|
25 Sep 00
|
|
Last Revised:
|
|
14 Jan 01
|
|
223
(66,979)
|
10
|
|
|
|
|
Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division Weller, Paul A.
University of Iowa - Department of Finance
|
|
0
|
|
|
| |
|
| |
Vector autoregression, asset price, exchange rate, forecasting
|
|
|
|
|
|
|
Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division Weller, Paul A.
University of Iowa - Department of Finance
|
|
223
|
10
|
|
| |
|
| |
Vector autoregression, asset price, exchange rate, forecasting
|
|
|
|
|
|
18.
|
|
|
Guo, Hui
University of Cincinnati - Department of Finance - Real Estate Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division
|
|
196
(76,386)
|
3
|
|
| |
|
| |
Exchange rate, option, implied volatility, realized volatility, asset pricing
|
|
|
19.
|
|
|
Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division Winters, Drew B.
Texas Tech University
|
|
170
(87,545)
|
1
|
|
| |
|
| |
|
|
|
20.
|
|
|
Guo, Hui
University of Cincinnati - Department of Finance - Real Estate Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division Higbee, Jason
Federal Reserve Bank of St. Louis - Research Division
|
|
164
(90,426)
|
2
|
|
| |
|
| |
exchange rate, option, implied volatility, realized volatility, asset pricing
|
|
|
21.
|
|
|
Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division
|
| Posted: |
|
07 Jul 10
|
|
Last Revised:
|
|
14 Jun 12
|
|
154
(95,767)
|
11
|
|
| |
|
| |
Large scale asset purchase, quantitative easing, event study, announcement, monetary policy, zero bound
|
|
|
22.
|
|
|
Mizrach, Bruce
Rutgers University, Department of Economics Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division
|
|
153
(96,298)
|
3
|
|
| |
|
| |
price discovery, Treasury market, microstructure, GovPX, futures, information shares
|
|
|
23.
|
|
|
Guo, Hui
University of Cincinnati - Department of Finance - Real Estate Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division
|
|
152
(96,888)
|
3
|
|
| |
|
| |
GARCH-in-mean, Component GARCH, Risk-return relation, International stock market returns
|
|
|
24.
|
|
|
Mizrach, Bruce
Rutgers University, Department of Economics Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division
|
|
134
(108,007)
|
7
|
|
| |
|
| |
information shares, Treasury market, microstructure, GovPX, futures, price discovery
|
|
|
25.
|
|
|
Guo, Hui
University of Cincinnati - Department of Finance - Real Estate Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division Higbee, Jason
Federal Reserve Bank of St. Louis - Research Division
|
|
124
(115,133)
|
2
|
|
| |
|
| |
exchange rate, option, implied volatility, realized volatility, asset pricing
|
|
|
26.
|
|
|
Beine, Michel A. R.
University of Luxemburg Lahaye, Jerome
Facultés Universitaires Notre-Dame de la Paix (FUNDP) Laurent, Sébastien
Maastricht University - Department of Quantitative Economics Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division Palm, Franz C.
University of Maastricht - Department of Economics
|
|
114
(123,034)
|
9
|
|
| |
|
| |
intervention, exchange rate, jumps, bi-power variation, volatility, central bank
|
|
|
27.
|
|
|
Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division Rapach, David
Saint Louis University - John Cook School of Business
|
| Posted: |
|
03 Aug 08
|
|
Last Revised:
|
|
17 Jun 11
|
|
109
(127,295)
|
2
|
|
| |
|
| |
Inflation, Dynamic latent factor model, Bayesian estimation
|
|
|
28.
|
|
|
Gradojevic, Nikola
Lakehead University - Faculty of Business Administration Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division
|
|
106
(129,884)
|
2
|
|
| |
|
| |
Foreign exchange, Order flow, Market microstructure, Macroeconomic announcements
|
|
|
29.
|
|
|
Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division
|
|
87
(148,567)
|
2
|
|
| |
|
| |
Intervention, exchange rate, sterilize, central bank
|
|
|
30.
|
|
|
Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division
|
|
82
(154,163)
|
7
|
|
| |
|
| |
Foreign exchange, intervention, identification, Tobit, friction model
|
|
|
31.
|
|
|
Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division
|
|
66
(175,051)
|
9
|
|
| |
|
| |
Intervention, foreign exchange, survey, central bank
|
|
|
32.
|
|
|
Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division Weller, Paul A.
University of Iowa - Department of Finance
|
|
65
(176,486)
|
|
|
| |
|
| |
Intervention, foreign exchange, limits to arbitrage, arbitrage, noise trader
|
|
|
33.
|
|
|
Erdemlioglu, Deniz
University of Namur - FUNDP Laurent, Sébastien
Maastricht University - Department of Quantitative Economics Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division
|
|
58
(187,189)
|
|
|
| |
|
| |
Foreign exchange volatility, ARCH models, realized volatility, intraday periodicity, jumps, macroeconomic announcements, central bank interventions
|
|
|
34.
|
|
|
Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division
|
|
54
(193,811)
|
3
|
|
| |
|
| |
intervention, exchange rate, central bank, friction model, identification
|
|
|
35.
|
|
|
Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division
|
|
49
(202,481)
|
|
|
| |
|
| |
Intervention, foreign exchange, survey, central bank
|
|
|
36.
|
|
|
Gradojevic, Nikola
Lakehead University - Faculty of Business Administration Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division
|
| Posted: |
|
02 May 09
|
|
Last Revised:
|
|
19 Aug 09
|
|
38
(224,307)
|
1
|
|
| |
|
| |
Foreign exchange, Order flow, Market microstructure, Macroeconomic announcements
|
|
|
37.
|
|
International Channels of the Fed’s Unconventional Monetary Policy
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
|
Bauer, Michael D.
Federal Reserve Banks - Federal Reserve Bank of San Francisco Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division
|
|
Posted:
|
|
29 Aug 12
|
|
Last Revised:
|
|
11 Feb 13
|
|
37
(226,523)
|
|
|
|
|
|
Bauer, Michael D.
Federal Reserve Banks - Federal Reserve Bank of San Francisco Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division
|
| Posted: |
|
29 Aug 12
|
|
Last Revised:
|
|
11 Feb 13
|
|
24
|
|
|
| |
|
| |
monetary policy, zero lower bound, QE, LSAP, signaling, portfolio balance, no arbitrage
|
|
|
|
|
|
|
Bauer, Michael D.
Federal Reserve Banks - Federal Reserve Bank of San Francisco Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division
|
| Posted: |
|
06 Sep 12
|
|
Last Revised:
|
|
23 Jan 13
|
|
13
|
|
|
| |
|
| |
monetary policy, zero lower bound, QE, LSAP, signaling, portfolio balance, no arbitrage
|
|
|
|
|
|
38.
|
|
Capital Flows and Japanese Asset Volatility
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
|
Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division Fawley, Brett W.
Federal Reserve Bank of Saint Louis
|
|
Posted:
|
|
12 Apr 12
|
|
Last Revised:
|
|
23 Aug 12
|
|
13
(300,451)
|
|
|
|
|
|
Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division Fawley, Brett W.
Federal Reserve Bank of Saint Louis
|
|
0
|
|
|
| |
|
| |
|
|
|
|
|
|
|
Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division Fawley, Brett W.
Federal Reserve Bank of Saint Louis
|
|
13
|
|
|
| |
|
| |
volatility, capital flows, GARCH, exchange rates
|
|
|
|
|
|
39.
|
|
|
Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division Rapach, David E.
Seattle University, Albers School of Business and Economics
|
|
13
(300,451)
|
|
|
| |
|
| |
Net lending, Primary balance, Dynamic latent factor model, Business cycle, Equity valuation ratio, Military spending
|
|
|
40.
|
|
|
Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division Rapach, David
Saint Louis University - John Cook School of Business
|
|
|
|
|
| |
|
| |
Real interest rate, Consumption-based asset pricing model, Neoclassical growth model
|
|
|
41.
|
|
|
Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division Roy, Amlan
Queen Mary, University of London - Department of Economics Whiteman , Charles H.
University of Iowa - Henry B. Tippie College of Business - Department of Economics
|
|
|
|
|
| |
|
| |
|
|
|
42.
|
|
|
Neely, Christopher J.
Federal Reserve Bank of St. Louis - Research Division Weller, Paul A.
University of Iowa - Department of Finance Dittmar, Robert
Citigroup, Inc. - CitiMortgage
|
|
|
|
|
| |
|
| |
|
|
