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Details about Robert Litterman

Access statistics for papers by Robert Litterman.

Last updated 2018-09-05. Update your information in the RePEc Author Service.

Short-id: pli374


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Working Papers

2016

  1. Applying Asset Pricing Theory to Calibrate the Price of Climate Risk
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (16)

1986

  1. Forecasting and conditional projection using realistic prior distribution
    Staff Report, Federal Reserve Bank of Minneapolis Downloads View citations (127)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1983) Downloads View citations (342)
  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 Downloads View citations (2)
    See also Journal Article in Annals of Economics and Statistics (1987)

1985

  1. Forecasting with Bayesian vector autoregressions five years of experience
    Working Papers, Federal Reserve Bank of Minneapolis Downloads View citations (154)
    See also Journal Article in Journal of Business & Economic Statistics (1986)

1984

  1. Forecasting with Bayesian vector autoregressions four years of experience
    Staff Report, Federal Reserve Bank of Minneapolis Downloads View citations (6)
  2. Money, real interest rates, and output: a reinterpretation of postwar U.S. data
    Staff Report, Federal Reserve Bank of Minneapolis Downloads View citations (22)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1983) Downloads View citations (1)

    See also Journal Article in Econometrica (1985)
  3. Specifying vector autoregressions for macroeconomic forecasting
    Staff Report, Federal Reserve Bank of Minneapolis Downloads View citations (13)
  4. The costs of intermediate targeting
    Working Papers, Federal Reserve Bank of Minneapolis Downloads View citations (7)

1983

  1. A random walk, Markov model for the distribution of time series
    Staff Report, Federal Reserve Bank of Minneapolis Downloads View citations (115)
    See also Journal Article in Journal of Business & Economic Statistics (1983)
  2. Optimal control of the money supply
    Staff Report, Federal Reserve Bank of Minneapolis Downloads View citations (1)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1982) Downloads View citations (4)

    See also Journal Article in Quarterly Review (1982)

1982

  1. A use of index models in macroeconomic forecasting
    Staff Report, Federal Reserve Bank of Minneapolis Downloads View citations (1)

1979

  1. Techniques of forecasting using vector autoregressions
    Working Papers, Federal Reserve Bank of Minneapolis Downloads View citations (85)

Journal Articles

1998

  1. Building a coherent risk measurement and capital optimisation model for financial firms
    Economic Policy Review, 1998, (oct), 171-182 Downloads View citations (3)

1994

  1. Explorations into Factors Explaining Money Market Returns
    Journal of Finance, 1994, 49, (5), 1861-82 Downloads View citations (124)

1987

  1. The Limits of Counter-Cyclical Monetary Policy: an Analysis Based on Optimal Control Theory and Vector Autoregressions
    Annals of Economics and Statistics, 1987, (6-7), 125-160 Downloads
    See also Working Paper (1986)

1986

  1. A Statistical Approach to Economic Forecasting
    Journal of Business & Economic Statistics, 1986, 4, (1), 1-4 View citations (25)
  2. 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 Downloads View citations (1)
  3. Forecasting Accuracy of Alternative Techniques: A Comparison of U.S. Macroeconomic Forecasts: Comment
    Journal of Business & Economic Statistics, 1986, 4, (1), 17-19 View citations (2)
  4. Forecasting with Bayesian Vector Autoregressions-Five Years of Experience
    Journal of Business & Economic Statistics, 1986, 4, (1), 25-38 View citations (513)
    See also Working Paper (1985)
  5. 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 Downloads View citations (11)

1985

  1. How monetary policy in 1985 affects the outlook
    Quarterly Review, 1985, (fall) Downloads View citations (3)
  2. Money, Real Interest Rates, and Output: A Reinterpretation of Postwar U.S. Data
    Econometrica, 1985, 53, (1), 129-56 Downloads View citations (76)
    See also Working Paper (1984)

1984

  1. Above-average national growth in 1985 and 1986
    Quarterly Review, 1984, (fall) Downloads View citations (25)
  2. Forecasting and policy analysis with Bayesian vector autoregression models
    Quarterly Review, 1984, (fall) Downloads View citations (27)

1983

  1. A Random Walk, Markov Model for the Distribution of Time Series
    Journal of Business & Economic Statistics, 1983, 1, (2), 169-73 View citations (102)
    See also Working Paper (1983)
  2. District conditions / a midyear report
    Quarterly Review, 1983, (spr) Downloads
  3. Using vector autoregressions to measure the uncertainty in Minnesota's revenue forecasts
    Quarterly Review, 1983, (spr) Downloads View citations (7)

1982

  1. Optimal control of the money supply
    Quarterly Review, 1982, (fall) Downloads View citations (5)
    See also Working Paper (1983)

Software Items

 
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