Details about Robert Litterman

Access statistics for papers by Robert Litterman.

Last updated 2009-07-26. Update your information in the RePEc Author Service.

Short-id: pli374

Working Papers

1986

1. Forecasting and conditional projection using realistic prior distribution
   Staff Report, Federal Reserve Bank of Minneapolis View citations
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (1983) View citations
   See also Journal Article in Econometric Reviews (1984)
2. The limits of counter-cyclical monetary policy: an analysis based on optimal control theory and vector autoregressions
   Working Papers, Federal Reserve Bank of Minneapolis
   See also Journal Article in Annales d'Economie et de Statistique (1987)

1985

3. Forecasting with Bayesian vector autoregressions five years of experience
   Working Papers, Federal Reserve Bank of Minneapolis View citations
   See also Journal Article in Journal of Business & Economic Statistics (1986)

1984

4. Forecasting with Bayesian vector autoregressions four years of experience
   Staff Report, Federal Reserve Bank of Minneapolis View citations
5. Money, real interest rates, and output: a reinterpretation of postwar U.S. data
   Staff Report, Federal Reserve Bank of Minneapolis View citations
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (1983)
   See also Journal Article in Econometrica (1985)
6. Specifying vector autoregressions for macroeconomic forecasting
   Staff Report, Federal Reserve Bank of Minneapolis View citations
7. The costs of intermediate targeting
   Working Papers, Federal Reserve Bank of Minneapolis View citations

1983

8. A random walk, Markov model for the distribution of time series
   Staff Report, Federal Reserve Bank of Minneapolis View citations
   See also Journal Article in Journal of Business & Economic Statistics (1983)
9. Optimal control of the money supply
   Staff Report, Federal Reserve Bank of Minneapolis
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (1982) View citations
   See also Journal Article in Quarterly Review (1982)

1982

10. A use of index models in macroeconomic forecasting
    Staff Report, Federal Reserve Bank of Minneapolis View citations

1979

11. Techniques of forecasting using vector autoregressions
    Working Papers, Federal Reserve Bank of Minneapolis View citations

Journal Articles

1998

1. Building a coherent risk measurement and capital optimisation model for financial firms
   Economic Policy Review, 1998, (Oct), 171-182

1994

2. Explorations into Factors Explaining Money Market Returns
   Journal of Finance, 1994, 49, (5), 1861-82 View citations

1987

3. The Limits of Counter-Cyclical Monetary Policy: an Analysis Based on Optimal Control Theory and Vector Autoregressions
   Annales d'Economie et de Statistique, 1987, (6-7), 06
   See also Working Paper (1986)

1986

4. A Statistical Approach to Economic Forecasting
   Journal of Business & Economic Statistics, 1986, 4, (1), 1-4 View citations
5. A statistical approach to economic forecasting: Robert B. Litterman, Journal of Business and Economic Statistics 4 (1986) 1-4
   International Journal of Forecasting, 1986, 2, (4), 497-498
6. Forecasting Accuracy of Alternative Techniques: A Comparison of U.S. Macroeconomic Forecasts: Comment
   Journal of Business & Economic Statistics, 1986, 4, (1), 17-19
7. Forecasting with Bayesian Vector Autoregressions-Five Years of Experience
   Journal of Business & Economic Statistics, 1986, 4, (1), 25-38 View citations
   See also Working Paper (1985)
8. Forecasting with Bayesian vector autoregressions -- Five years of experience: Robert B. Litterman, Journal of Business and Economic Statistics 4 (1986) 25-38
   International Journal of Forecasting, 1986, 2, (4), 497-498

1985

9. How monetary policy in 1985 affects the outlook
   Quarterly Review, 1985, (Fall) View citations
10. Money, Real Interest Rates, and Output: A Reinterpretation of Postwar U.S. Data
    Econometrica, 1985, 53, (1), 129-56 View citations
    See also Working Paper (1984)

1984

11. Above-average national growth in 1985 and 1986
    Quarterly Review, 1984, (Fall) View citations
12. Forecasting and conditional projection using realistic prior distributions
    Econometric Reviews, 1984, 3, (1), 1-100 View citations
    See also Working Paper (1986)
13. Forecasting and policy analysis with Bayesian vector autoregression models
    Quarterly Review, 1984, (Fall) View citations

1983

14. A Random Walk, Markov Model for the Distribution of Time Series
    Journal of Business & Economic Statistics, 1983, 1, (2), 169-73 View citations
    See also Working Paper (1983)
15. District conditions / a midyear report
    Quarterly Review, 1983, (Spr)
16. Using vector autoregressions to measure the uncertainty in Minnesota's revenue forecasts
    Quarterly Review, 1983, (Spr) View citations

1982

17. As the nation's economy goes, so goes Minnesota's
    Quarterly Review, 1982, (Spr / Sum) View citations
18. Optimal control of the money supply
    Quarterly Review, 1982, (Fall) View citations
    See also Working Paper (1983)