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A re-evaluation of the term spread as a leading indicator
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A re-evaluation of the term spread as a leading indicator (2019)A re-evaluation of the term spread as a l…Predicting poverty and wealth from mobile phone metadata (2015)Predicting poverty and wealth…Pricing the term structure with linear regressions (2013)Pricing the term structure wi…A Unit Root Test Using a Fourier Series to Approximate Smooth Breaks* (2011)A Unit Root Test Using a Four…A New Perspective on Gaussian Dynamic Term Structure Models (2010)A New Perspective on Gaussian…Macro Factors in Bond Risk Premia (2009)Macro Factors in Bond Risk Pr…The U.S. Treasury yield curve: 1961 to the present (2007)The U.S. Treasury yield curve…Asymptotics for out of sample tests of Granger causality (2006)Asymptotics for out of sample…Approximately normal tests for equal predictive accuracy in nested models (2006)Approximately normal tests fo…What does the yield curve tell us about GDP growth? (2005)What does the yield curve tel…Bond Risk Premia (2005)Bond Risk PremiaIs All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Is All That Talk Just Noise? …Critical values for multiple structural change tests (2003)Critical values for multiple …Term Premia and Interest Rate Forecasts in Affine Models (2002)Term Premia and Interest Rate…The predictive power of the term structure of interest rates in Europe and the United States: Implications for the European Central Bank (1997)The predictive power of the t…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyComparing Predictive Accuracy (1994)Comparing Predictive AccuracyParsimonious Modeling of Yield Curves (1987)The Information in Long-Maturity Forward Rates (1987)A Preferred-Habitat Model of the Term Structure of Interest Rates (2009)The Econometrics of Financial Markets (2012)Intermediary asset pricing: New evidence from many asset classes (2017)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Common risk factors in the returns on stocks and bonds (1993)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Modelling structural breaks, long memory and stock market volatility: an overview (2004)Dealing with Structural Breaks (2005)Inequality and Unsustainable Growth: Two Sides of the Same Coin? (2017)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Discretion versus policy rules in practice (1993)A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series (2005)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Credit Spreads and Business Cycle Fluctuations (2012)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Determining the Number of Factors in Approximate Factor Models (2002)Common Risk Factors in Currency Markets (2011)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)An Intertemporal Capital Asset Pricing Model (1973)Expected Stock Returns and Variance Risk Premia (2009)How Sovereign Is Sovereign Credit Risk? (2011)Macroeconomic Forecasting Using Diffusion Indexes (2002)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Policy Uncertainty and Corporate Investment (2015)Expected stock returns and volatility (1987)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)Media Coverage and the Cross‐section of Stock Returns (2009)Textual Analysis in Accounting and Finance: A Survey (2016)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Testing the equality of prediction mean squared errors (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)
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References

  • 1994Comparing Predictive Accuracy5,495 cited
  • 1995Comparing Predictive Accuracy5,214 cited
  • 2006Approximately normal tests for equal predictive accuracy in nested models2,513 cited
  • 2004Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards2,369 cited
  • 2002Term Premia and Interest Rate Forecasts in Affine Models1,581 cited
  • 2005Bond Risk Premia1,546 cited
  • 2007The U.S. Treasury yield curve: 1961 to the present1,337 cited
  • 2009Macro Factors in Bond Risk Premia1,043 cited
  • 2003Critical values for multiple structural change tests860 cited
  • 2005What does the yield curve tell us about GDP growth?815 cited
  • 2011A Unit Root Test Using a Fourier Series to Approximate Smooth Breaks*747 cited
  • 2013Pricing the term structure with linear regressions703 cited
  • 2015Predicting poverty and wealth from mobile phone metadata700 cited
  • 2006Asymptotics for out of sample tests of Granger causality697 cited
  • 2010A New Perspective on Gaussian Dynamic Term Structure Models544 cited
  • 1997The predictive power of the term structure of interest rates in Europe and the United States: Implications for the European Central Bank

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