Carlos Capistrán

Banco de México

Research Economist

Av. 5 de Mayo No. 1

Col. Centro

Mexico City, 06059

Mexico

http://carloscapistran.com

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 48,652

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Top 48,652

in Total Papers Downloads

833

SSRN CITATIONS
Rank 6,747

SSRN RANKINGS

Top 6,747

in Total Papers Citations

29

CROSSREF CITATIONS

120

Scholarly Papers (6)

1.
Downloads 354 ( 71,357)
Citation 136

Forecast Combinations

CREATES Research Paper No. 2010-21
Number of pages: 35 Posted: 19 May 2010
Marco Aiolfi, Carlos Capistrán and Allan Timmermann
QMA, Banco de México and UCSD
Downloads 354 (83,956)
Citation 20

Abstract:

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Time-series forecasts, survey forecasts, model instability

2.

Forecasting Exchange Rate Volatility: The Superior Performance of Conditional Combinations of Time Series and Option Implied Forecasts

Number of pages: 34 Posted: 29 Aug 2008 Last Revised: 20 Jan 2009
Guillermo Benavides and Carlos Capistrán
Banco de Mexico and Banco de México
Downloads 182 (166,911)
Citation 2

Abstract:

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Composite Forecasts, Forecast Evaluation, GARCH, Implied volatility, Mexican Peso - U.S. Dollar Exchange Rate, Regime-Switching

3.

Bias in Federal Reserve Inflation Forecasts: Is the Federal Reserve Irrational or Just Cautious?

Number of pages: 57 Posted: 02 Feb 2005
Carlos Capistrán
Banco de México
Downloads 131 (219,994)
Citation 2

Abstract:

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Inflation Forecasts, Inflation Targeting, Asymmetric Loss Function

4.

Disagreement and Biases in Inflation Expectations

CREATES Research Paper 2008-56
Number of pages: 55 Posted: 21 Sep 2008
Carlos Capistrán and Allan Timmermann
Banco de México and UCSD
Downloads 68 (337,343)
Citation 5

Abstract:

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asymmetric loss, real-time data, survey expectations

5.

Forecast Combination with Entry and Exit of Experts

CREATES Research Paper No. 2008-55
Number of pages: 27 Posted: 21 Sep 2008
Carlos Capistrán and Allan Timmermann
Banco de México and UCSD
Downloads 53 (381,703)
Citation 4

Abstract:

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Real-time Data, Survey of Professional Forecasters, Bias-adjustment, EM Algorithm

6.

A Note on the Volatilities of the Interest Rate and the Exchange Rate Under Different Monetary Policy Instruments: Mexico 1998-2008

Banco de Mexico Research Document No. 2009-10
Number of pages: 25 Posted: 02 May 2010 Last Revised: 09 May 2010
Guillermo Benavides and Carlos Capistrán
Banco de Mexico and Banco de México
Downloads 45 (409,123)

Abstract:

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Corto, Granger causality, Multiple structural breaks, Multivariate volatility