Charles R. Nelson

Dept of Economics

Professor of Economics

Box 353330

Seattle, WA 98195-3330

United States

SCHOLARLY PAPERS

25

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3,772

SSRN CITATIONS
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SSRN RANKINGS

Top 1,084

in Total Papers Citations

321

CROSSREF CITATIONS

731

Scholarly Papers (25)

1.

Why are Stock Returns and Volatility Negatively Correlated?

Number of pages: 42 Posted: 23 Sep 2004
Jinho Bae, Chang-Jin Kim and Charles R. Nelson
Konkuk University, Korea University and Dept of Economics
Downloads 596 (50,715)
Citation 7

Abstract:

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Asymmetric volatility, volatility reedback, leverage effect, regime switching, GARCH

2.

Testing for Mean Reversion in Heteroskedastic Data Ii: Autoregression Tests Based on Gibbs-Sampling-Augmented Randomization

Number of pages: 16 Posted: 12 Mar 1999
Chang-Jin Kim and Charles R. Nelson
Korea University and Dept of Economics
Downloads 344 (98,458)
Citation 7

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3.

A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models

Number of pages: 40 Posted: 12 Mar 1999
Chang-Jin Kim and Charles R. Nelson
Korea University and Dept of Economics
Downloads 298 (115,326)
Citation 174

Abstract:

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4.

Friedman's Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components

Number of pages: 28 Posted: 28 Apr 1999
Chang-Jin Kim and Charles R. Nelson
Korea University and Dept of Economics
Downloads 291 (118,218)
Citation 13

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5.

Markov Regime-Switching and Unit Root Tests

Number of pages: 33 Posted: 12 Dec 2000
Charles R. Nelson, Jeremy Piger and Eric Zivot
Dept of Economics, University of Oregon - Department of Economics and University of Washington - Department of Economics
Downloads 264 (130,971)
Citation 2

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stochastic trends, deterministic trends, structural change, heteroskedasticity, unit root tests, and markov switching

6.

The Uncertain Trend in U.S. GDP

Number of pages: 28 Posted: 03 Jun 1997
Charles R. Nelson and Christian J. Murray
Dept of Economics and University of Houston - Department of Economics
Downloads 253 (137,878)
Citation 5

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7.

A Test for Structural Change in Markov-Switching Models: Has the U.S. Economy Become More Stable?

Number of pages: 34 Posted: 12 Mar 1999
Chang-Jin Kim and Charles R. Nelson
Korea University and Dept of Economics
Downloads 244 (141,789)
Citation 2

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8.

Spurious Inference in the Garch(1,1) Model When it is Weakly Identified

Studies in Nonlinear Dynamics and Econometrics, Vol. 11, No. 1, 2007
Number of pages: 28 Posted: 07 Jun 2006
Jun Ma, Charles R. Nelson and Richard Startz
Northeastern University - Department of Economics, Dept of Economics and UCSB
Downloads 225 (153,329)

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weak identification, GARCH, conditional heteroskedasticity

9.

Estimation of a Forward-Looking Monetary Policy Rule: A Time-Varying Parameter Model Using Ex-Post Data

Number of pages: 22 Posted: 22 Oct 2004
Chang-Jin Kim and Charles R. Nelson
Korea University and Dept of Economics
Downloads 188 (181,271)
Citation 25

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Endogeneity, Forward-Looking Monetary Policy, Heteroscedasticity, Nonlinearity, Time-Varying Parameter Model

10.

Mean Reversion in Stock Prices? a Reappraisal of the Empirical Evidence

NBER Working Paper No. w2795
Number of pages: 39 Posted: 16 Jun 2004 Last Revised: 23 Aug 2010
Myung Jig Kim, Charles R. Nelson and Richard Startz
Hanyang University, Dept of Economics and UCSB
Downloads 179 (189,331)
Citation 7

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11.

Earnings Growth and the Bull Market of the 1990s: Is There a Case for Rational Exuberance?

Number of pages: 39 Posted: 21 Oct 2004
Jinho Bae and Charles R. Nelson
Konkuk University and Dept of Economics
Downloads 160 (208,427)
Citation 1

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Irrational exuberance, New Economy, Earnings growth, Bull market

12.

The Less Volatile U.S. Economy: A Bayesian Investigation of Timing, Breadth and Potential Explanations

Number of pages: 48 Posted: 27 Aug 2001
Chang-Jin Kim, Charles R. Nelson and Jeremy Piger
Korea University, Dept of Economics and University of Oregon - Department of Economics
Downloads 103 (291,638)
Citation 20

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volatility reduction, stabilization, structural break, Bayesian

13.

A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market

NBER Working Paper No. w2818
Number of pages: 31 Posted: 09 Mar 2004 Last Revised: 15 Sep 2010
Christopher M. Turner, Richard Startz and Charles R. Nelson
Black Rock Financial Management, Inc., UCSB and Dept of Economics
Downloads 92 (313,824)
Citation 8

Abstract:

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14.

Valid Inference for a Class of Models Where Standard Inference Performs Poorly; Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components

Number of pages: 35 Posted: 23 Sep 2008
Jun Ma and Charles R. Nelson
Northeastern University - Department of Economics and Dept of Economics
Downloads 84 (332,199)
Citation 5

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ARMA, Unobserved Components, State Space, GARCH, Zero-Information-Limit-Condition

15.

Parsimoneous Modeling of Yield Curves for U.S. Treasury Bills

NBER Working Paper No. w1594
Number of pages: 44 Posted: 22 Jun 2004 Last Revised: 09 Aug 2005
Charles R. Nelson and Andrew F. Siegel
Dept of Economics and University of Washington - Department of Finance and Business Economics
Downloads 84 (332,199)
Citation 67

Abstract:

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16.

The Zero-Information-Limit Condition and Spurious Inference in Weakly Identified Models

Number of pages: 19 Posted: 09 Feb 2004
Charles R. Nelson and Richard Startz
Dept of Economics and UCSB
Downloads 67 (377,397)
Citation 12

Abstract:

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Weak identification, hypothesis testing

17.

Long-Term Behavior of Yield Curves

NBER Working Paper No. w1789
Number of pages: 10 Posted: 18 Jun 2004 Last Revised: 28 Mar 2010
Charles R. Nelson and Andrew F. Siegel
Dept of Economics and University of Washington - Department of Finance and Business Economics
Downloads 54 (419,688)

Abstract:

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18.

Pitfalls in the Use of Time as an Explanatory Variable in Regression

NBER Working Paper No. t0030
Number of pages: 41 Posted: 21 Jun 2001 Last Revised: 03 Aug 2010
Charles R. Nelson and Heejoon Kang
Dept of Economics and Indiana University - Kelley School of Business - Department of Business Economics & Public Policy
Downloads 47 (445,693)

Abstract:

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19.

Predictable Stock Returns: Reality or Statistical Illusion?

NBER Working Paper No. w3297
Number of pages: 33 Posted: 31 May 2001 Last Revised: 14 Jul 2010
Charles R. Nelson and Myung Jig Kim
Dept of Economics and Hanyang University
Downloads 40 (474,712)

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20.

The Time-Varying-Parameter Model as an Alternative to Arch for Modeling Changing Conditional Variance: the Case of Lucas Hypothesis

NBER Working Paper No. t0070
Number of pages: 34 Posted: 27 Jun 2007 Last Revised: 12 Sep 2010
Charles R. Nelson and Chang-Jin Kim
Dept of Economics and Korea University
Downloads 39 (479,050)

Abstract:

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21.

Spurious Trend and Cycle in the State Space Decomposition of a Time Series with a Unit Root

NBER Working Paper No. t0063
Number of pages: 22 Posted: 04 Jul 2004 Last Revised: 05 Sep 2010
Charles R. Nelson
Dept of Economics
Downloads 32 (512,238)

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22.

A Reappraisal of Recent Tests of the Permanent Income Hypothesis

NBER Working Paper No. w1687
Number of pages: 18 Posted: 09 Mar 2004 Last Revised: 13 Aug 2010
Charles R. Nelson
Dept of Economics
Downloads 26 (545,239)

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23.

Implicit Estimates of Natural, Trend, and Cyclical Components of Real Gnp

NBER Working Paper No. w2253
Number of pages: 30 Posted: 26 Jan 2007 Last Revised: 30 Aug 2010
Charles R. Nelson
Dept of Economics
Downloads 25 (551,406)

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24.

The Distribution of the Instrumental Variables Estimator and its T-Ratiowhen the Instrument is a Poor One

NBER Working Paper No. t0069
Number of pages: 24 Posted: 27 Jun 2007 Last Revised: 11 Sep 2010
Charles R. Nelson and Richard Startz
Dept of Economics and UCSB
Downloads 24 (557,706)
Citation 2

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25.

Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator

NBER Working Paper No. t0068
Number of pages: 18 Posted: 27 Jun 2007 Last Revised: 10 Sep 2010
Charles R. Nelson and Richard Startz
Dept of Economics and UCSB
Downloads 13 (630,628)
Citation 3

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