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Measuring Uncertainty
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Measuring Uncertainty (2013)Measuring UncertaintySurprise and uncertainty indexes: Real-time aggregation of real-activity macro-surprises (2016)Surprise and uncertainty inde…The common factor in idiosyncratic volatility: Quantitative asset pricing implications (2015)The common factor in idiosync…Uncertainty, Financial Frictions, and Investment Dynamics (2014)Uncertainty, Financial Fricti…Uncertainty and Economic Activity: Evidence from Business Survey Data (2013)Uncertainty and Economic Acti…Measuring Economic Policy Uncertainty (2013)Measuring Economic Policy Unc…Does Uncertainty Reduce Growth? Using Disasters as Natural Experiments (2013)Does Uncertainty Reduce Growt…Really Uncertain Business Cycles (2012)Really Uncertain Business Cyc…Uncertainty and Economic Activity: Evidence from Business Survey Data (2010)Uncertainty and Economic Acti…Measuring forecast uncertainty by disagreement: The missing link (2010)Measuring forecast uncertaint…The Impact of Uncertainty Shocks (2009)The Impact of Uncertainty Sho…The empirical risk–return relation: A factor analysis approach☆ (2006)The empirical risk–return rel…Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)Drifts and volatilities: mone…Forecasting Using Principal Components From a Large Number of Predictors (2002)Forecasting Using Principal C…Determining the Number of Factors in Approximate Factor Models (2002)Determining the Number of Fac…Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Stochastic Volatility: Likeli…The Great Crash and the Onset of the Great Depression (1990)The Great Crash and the Onset…The Cross-Section of Expected Stock Returns (1992)Another look at the instrumental variable estimation of error-components models (1995)On Persistence in Mutual Fund Performance (1997)The VIX, the variance premium and stock market volatility (2014)What Explains the 2007-2009 Drop in Employment? (2014)Uncertainty shocks are aggregate demand shocks (2016)Tests for Unit Roots: A Monte Carlo Investigation (1989)Forecasting inflation (1999)Inferential Theory for Factor Models of Large Dimensions (2003)A PANIC Attack on Unit Roots and Cointegration (2004)Panel Data Models With Interactive Fixed Effects (2009)Macroeconomic Forecasting Using Diffusion Indexes (2002)Measuring Uncertainty (2015)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Stochastic Simulation (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Irreversibility, Uncertainty, and Cyclical Investment (1980)Investment Under Uncertainty. (1994)Economic policy uncertainty and firm-level investment (2013)The Asset Redeployability Channel: How Uncertainty Affects Corporate Investment (2016)The Price of Political Uncertainty: Theory and Evidence from the Option Market (2016)Tobin's Marginal q and Average q: A Neoclassical Interpretation (1982)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)The Impact of Uncertainty Shocks (2007)Measuring Economic Policy Uncertainty* (2016)Measuring Geopolitical Risk (2022)Econometric policy evaluation: A critique (1976)Discretion versus policy rules in practice (1993)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Were There Regime Switches in U.S. Monetary Policy? (2006)Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference (2009)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Common risk factors in the returns on stocks and bonds (1993)Estimating the Intertemporal Risk–Return Tradeoff Using the Implied Cost of Capital (2008)Forecasting economic time series using targeted predictors (2008)Forecasting Stock Returns (2013)Inference in Linear Time Series Models with some Unit Roots (1990)Credit Spreads and Business Cycle Fluctuations (2012)Fiscal Volatility Shocks and Economic Activity (2015)The Great Depression and the Friedman-Schwartz Hypothesis (2003)The new financial order: risk in the 21st century (2003)
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References

  • 2009The Impact of Uncertainty Shocks5,941 cited
  • 2002Determining the Number of Factors in Approximate Factor Models4,110 cited
  • 2002Forecasting Using Principal Components From a Large Number of Predictors2,990 cited
  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
  • 2005Drifts and volatilities: monetary policies and outcomes in the post WWII US1,955 cited
  • 2013Uncertainty and Economic Activity: Evidence from Business Survey Data1,005 cited
  • 2014Uncertainty, Financial Frictions, and Investment Dynamics879 cited
  • 2013Measuring Economic Policy Uncertainty858 cited
  • 2006The empirical risk–return relation: A factor analysis approach☆666 cited
  • 1990The Great Crash and the Onset of the Great Depression652 cited
  • 2012Really Uncertain Business Cycles613 cited
  • 2015The common factor in idiosyncratic volatility: Quantitative asset pricing implications401 cited
  • 2010Uncertainty and Economic Activity: Evidence from Business Survey Data379 cited
  • 2010Measuring forecast uncertainty by disagreement: The missing link362 cited
  • 2013Does Uncertainty Reduce Growth? Using Disasters as Natural Experiments

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355 cited
  • 2016Surprise and uncertainty indexes: Real-time aggregation of real-activity macro-surprises339 cited
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