Author Page for Charles R. Nelson

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, Dept. of Economics, University of Washington and Dept of Economics

Downloads 754 (54,328)

Citation 7

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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

Dept. of Economics, University of Washington and Dept of Economics

Downloads 384 (124,990)

Citation 7

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3.

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

Dept. of Economics, University of Washington and Dept of Economics

Downloads 333 (146,224)

Citation 23

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4.

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

Dept. of Economics, University of Washington and Dept of Economics

Downloads 324 (150,538)

Citation 198

Abstract:

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 290 (169,754)

Citation 4

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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 283 (173,544)

Citation 7

Abstract:

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

Dept. of Economics, University of Washington and Dept of Economics

Downloads 276 (178,089)

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 245 (200,483)

Abstract:

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

Dept. of Economics, University of Washington and Dept of Economics

Downloads 224 (218,634)

Citation 33

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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: 22 Aug 2022

Myung Jig Kim, Charles R. Nelson and Richard Startz

Hanyang University, Dept of Economics and UCSB

Downloads 202 (240,565)

Citation 15

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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 173 (276,164)

Citation 1

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12.

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 2022

Christopher M. Turner, Richard Startz and Charles R. Nelson

Black Rock Financial Management, Inc., UCSB and Dept of Economics

Downloads 118 (374,102)

Citation 15

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13.

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

Dept. of Economics, University of Washington, Dept of Economics and University of Oregon - Department of Economics

Downloads 115 (381,050)

Citation 20

Abstract:

14.

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: 11 Nov 2022

Charles R. Nelson and Andrew F. Siegel

Dept of Economics and University of Washington - Department of Finance and Business Economics

Downloads 109 (395,877)

Citation 128

Abstract:

15.

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 104 (409,244)

Citation 5

Abstract:

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 80 (483,584)

Citation 12

Abstract:

17.

Long-Term Behavior of Yield Curves

NBER Working Paper No. w1789

Number of pages: 10 Posted: 18 Jun 2004 Last Revised: 23 Nov 2022

Charles R. Nelson and Andrew F. Siegel

Dept of Economics and University of Washington - Department of Finance and Business Economics

Downloads 73 (509,325)

Abstract:

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: 01 Feb 2023

Charles R. Nelson and Heejoon Kang

Dept of Economics and Indiana University - Kelley School of Business - Department of Business Economics & Public Policy

Downloads 69 (525,226)

Abstract:

19.

Predictable Stock Returns: Reality or Statistical Illusion?

NBER Working Paper No. w3297

Number of pages: 33 Posted: 31 May 2001 Last Revised: 07 Jul 2022

Charles R. Nelson and Myung Jig Kim

Dept of Economics and Hanyang University

Downloads 52 (602,893)

Citation 1

Abstract:

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: 30 Mar 2022

Charles R. Nelson and Chang-Jin Kim

Dept of Economics and Dept. of Economics, University of Washington

Downloads 51 (608,086)

Citation 1

Abstract:

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: 06 Mar 2022

Charles R. Nelson

Dept of Economics

Downloads 45 (640,498)

Abstract:

22.

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: 12 Mar 2023

Charles R. Nelson and Richard Startz

Dept of Economics and UCSB

Downloads 44 (646,362)

Citation 1

Abstract:

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: 29 Aug 2022

Charles R. Nelson

Dept of Economics

Downloads 33 (715,519)

Abstract:

24.

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 2022

Charles R. Nelson

Dept of Economics

Downloads 31 (729,593)

Abstract:

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: 11 Mar 2023

Charles R. Nelson and Richard Startz

Dept of Economics and UCSB

Downloads 28 (751,489)

Citation 7

Charles R. Nelson

Dept of Economics

Professor of Economics

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Scholarly Papers (25)

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