Faculty

Institution

Unit

Venue

Charles Nelson

Professor Emeritus

University of Washington

Affiliations

College of Arts & Sciences

Department of Economics

Charles Nelson is currently serving as a College Of Arts & Sciences Professor Emeritus at University of Washington.

Honors

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Experiences

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Education

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Charles Nelson

University of Washington

Professor Emeritus

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economics econometrics statistics finance financial economics macroeconomics empirical finance economic research economic analysis monetary economics asset pricing time series business business cycles financial econometrics forecasting theoretical economics economic modelling economic fluctuation econometric models mean reversion economic dynamics term structure finance research term structure model global finance bayesian analysis machine learning research statistical methodology market trends macroeconomic forecasting econodynamics business cycle analysis dynamic economic model econometric methods regression analysis market microstructure financial structure estimation theory stock market prediction financial time series analysis financial modeling transitory components stock prices gibbs-sampling-augmented randomization equity premium stock market volatility spurious inference great depression mathematical optimization economic literature economic behavior keynesian economics air quality economic systems stochastic dynamical systems temporal complexity bayesian econometrics gibbs measure markov chain monte carlo predictability economic forecasting bibliometrics timing analysis forward rate bayesian inference statistical averaging stochastic calculus model comparison random walks macroeconmic time series economic time series markov-switching model state-space models predictable stock returns small sample bias weak instruments econometric methodology

Notable Scholarly Works

Notable Federal Grants

Collaborators

The Superiority of the Lm Test in a Class of Models Where the Wald Test Performs Poorly; Including Nonlinear Regression, Arma, Garch, and Unobserved Components. (2012)

Jun MaCharles R. Nelson

model selectionforecastingperformance evaluationlm testunobserved componentsmodel testnonlinear regressionstatistics

Pricing Stock Market Volatility: Does It Matter Whether the Volatility is Related to the Business Cycle?. RePEc: Research Papers in Economics (2008)

Chang-Jin KimYunmi KimCharles R. Nelson

financefinancial economicsbusiness cyclesempirical financestock market volatilityasset pricingfinancial econometrics

The Beveridge–Nelson Decomposition in Retrospect and Prospect. Journal of Econometrics (2008)

Charles R. Nelson

beveridge-nelson decompositionfinancial econometricseconometricseconomics

Earnings Growth and the Bull Market of the 1990S: Is There a Case for Rational Exuberance?. Journal of Macroeconomics (2007)

Jinho BaeCharles R. Nelson

financebull marketfinancial economicsrational exuberancemacroeconomicsearnings growth

Expectation Horizon and the Phillips Curve: The Solution to an Empirical Puzzle. Journal of Applied Econometrics (2007)

Jaejoon LeeCharles R. Nelson

econometricsapplied economicsapplied mathematicsphillips curveexpectation horizonempirical puzzle

Spurious Inference in the Garch (1,1) Model When It is Weakly Identified. Studies in Nonlinear Dynamics and Econometrics (2007)

Jun MaCharles R NelsonRichard Startz

econometricsapplied mathematicsinferencespurious inferenceeconometric models

Business-Cycle Filtering of Macroeconomic Data via a Latent Business-Cycle Index. Macroeconomic Dynamics (2006)

MICHAEL DUEKERCHARLES R. NELSON

economicseconomic analysismacroeconomic datamacroeconomicseconomic fluctuationbusiness cyclesbusiness-cycle filteringlatent business-cycle index

Estimation of a Forward-Looking Monetary Policy Rule: A Time-Varying Parameter Model Using Ex Post Data. Journal of Monetary Economics (2006)

Chang-Jin KimCharles R. Nelson

time-varying parameter modelmonetary policyex post datadata sciencemonetary economics

Improved Inference in Weakly Identified Instrumental Variables Regression. Cambridge University Press eBooks (2006)

Eric ZivotRichard StartzCharles R. Nelson

inferenceinstrumental variables regressionmachine learningstatistical inferenceregression analysisstatistics

New Measures of the Output Gap Based on the Forward-Looking New Keynesian Phillips Curve. Journal of Monetary Economics (2006)

Arabinda BasisthaCharles R. Nelson

keynesian economicseconometricseconomicsoutput gapmacroeconomicsmonetary economics

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Charles Nelson

Professor Emeritus

University of Washington

Affiliations

College of Arts & Sciences

Department of Economics

Charles Nelson is currently serving as a College Of Arts & Sciences Professor Emeritus at University of Washington.

Honors

Create free account to unlock more features

Experiences

Create free account to unlock more features

Education

Create free account to unlock more features

Charles Nelson

University of Washington

Professor Emeritus

You can click a keyword to filter the displayed items

Notable Scholarly Works

Notable Federal Grants

Collaborators

The Superiority of the Lm Test in a Class of Models Where the Wald Test Performs Poorly; Including Nonlinear Regression, Arma, Garch, and Unobserved Components. (2012)

Jun MaCharles R. Nelson

model selectionforecastingperformance evaluationlm testunobserved componentsmodel testnonlinear regressionstatistics

Pricing Stock Market Volatility: Does It Matter Whether the Volatility is Related to the Business Cycle?. RePEc: Research Papers in Economics (2008)

Chang-Jin KimYunmi KimCharles R. Nelson

financefinancial economicsbusiness cyclesempirical financestock market volatilityasset pricingfinancial econometrics

The Beveridge–Nelson Decomposition in Retrospect and Prospect. Journal of Econometrics (2008)

Charles R. Nelson

beveridge-nelson decompositionfinancial econometricseconometricseconomics

Earnings Growth and the Bull Market of the 1990S: Is There a Case for Rational Exuberance?. Journal of Macroeconomics (2007)

Jinho BaeCharles R. Nelson

financebull marketfinancial economicsrational exuberancemacroeconomicsearnings growth

Expectation Horizon and the Phillips Curve: The Solution to an Empirical Puzzle. Journal of Applied Econometrics (2007)

Jaejoon LeeCharles R. Nelson

econometricsapplied economicsapplied mathematicsphillips curveexpectation horizonempirical puzzle

Spurious Inference in the Garch (1,1) Model When It is Weakly Identified. Studies in Nonlinear Dynamics and Econometrics (2007)

Jun MaCharles R NelsonRichard Startz

econometricsapplied mathematicsinferencespurious inferenceeconometric models

Business-Cycle Filtering of Macroeconomic Data via a Latent Business-Cycle Index. Macroeconomic Dynamics (2006)

MICHAEL DUEKERCHARLES R. NELSON

economicseconomic analysismacroeconomic datamacroeconomicseconomic fluctuationbusiness cyclesbusiness-cycle filteringlatent business-cycle index

Estimation of a Forward-Looking Monetary Policy Rule: A Time-Varying Parameter Model Using Ex Post Data. Journal of Monetary Economics (2006)

Chang-Jin KimCharles R. Nelson

time-varying parameter modelmonetary policyex post datadata sciencemonetary economics

Improved Inference in Weakly Identified Instrumental Variables Regression. Cambridge University Press eBooks (2006)

Eric ZivotRichard StartzCharles R. Nelson

inferenceinstrumental variables regressionmachine learningstatistical inferenceregression analysisstatistics

New Measures of the Output Gap Based on the Forward-Looking New Keynesian Phillips Curve. Journal of Monetary Economics (2006)

Arabinda BasisthaCharles R. Nelson

keynesian economicseconometricseconomicsoutput gapmacroeconomicsmonetary economics

1
2
3
4
5
6
7
10 / page

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econometric theory

finance

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financial time series analysis

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Institution

Duke University

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financial time series analysis

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adaptive learning

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financial time series analysis

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econophysics

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economic analysis

volatility modeling

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macroeconomics

econometrics