Details about J. Huston McCulloch
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Short-id: pmc199
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Working Papers
2006
- Learning about Stock Volatility: The Local Scale Model with Homoskedastic Innovations
Computing in Economics and Finance 2006, Society for Computational Economics
2005
- The Kalman Foundations of Adaptive Least Squares: Applications to Unemployment and Inflation
Computing in Economics and Finance 2005, Society for Computational Economics View citations (5)
2004
- The Risk-Neutral Measure and Option Pricing under Log-Stable Uncertainty
Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (2)
Also in Working Papers, Ohio State University, Department of Economics (2003) View citations (5)
- The Risk-Neutral Measure and Option Pricing under Log-Stable Uncertainty using Romberg Fourier Inversion
Computing in Economics and Finance 2004, Society for Computational Economics View citations (1)
2003
- Signal Extraction can Generate Volatility Clusters
Computing in Economics and Finance 2003, Society for Computational Economics
2002
- A Spline LR Test for Goodness-of-Fit
Computing in Economics and Finance 2002, Society for Computational Economics
- Signal Extraction Can Generate Volatility Clusters From IID Shocks
Working Papers, Ohio State University, Department of Economics
2001
- Consumption Asset Pricing with Stable Shocks: Exploring a Solution and Its Implications for the Equity Premium Puzzle
Computing in Economics and Finance 2001, Society for Computational Economics
- The Inflation Premium implicit in the US Real and Nominal
Computing in Economics and Finance 2001, Society for Computational Economics View citations (10)
2000
- Long Forward and Zero-Coupon Rates Indeed Can Never Fall, but Are Indeterminate: A Comment on Dybvig, Ingersoll and Ross
Working Papers, Ohio State University, Department of Economics View citations (3)
- PROXYING INFLATION FORECASTS WITH FULLER/ROY-TYPE MEDIAN UNBIASED NEAR UNIT ROOT COEFFICIENT ESTIMATES
Computing in Economics and Finance 2000, Society for Computational Economics
- State-Space Times Series Modeling of Structural Breaks
Working Papers, Ohio State University, Department of Economics View citations (2)
1998
- The Inflation Premium Implicit in the US Real and Nominal Term Structures of Interest Rates
Working Papers, Ohio State University, Department of Economics View citations (2)
1987
- The Ohio S&L crisis in retrospect: implications for the current federal deposit insurance crisis
Proceedings, Federal Reserve Bank of Chicago View citations (1)
- The Term Structure of Interest Rates. U.S. Government Term Structure Data
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (6)
1978
- Interest Rate Risk and Capital Adequacy For Traditional Banks and Financial Intermediaries
NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
Also in Boston College Working Papers in Economics, Boston College Department of Economics (1978) View citations (1)
- The Pricing of Short-Lived Options When Price Uncertainty
Boston College Working Papers in Economics, Boston College Department of Economics View citations (2)
- The Pricing of Short-Lived Options When Price Uncertainty Is Log-Symmetric Stable
NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
1977
- Misintermediation and Business Fluctuation
NBER Working Papers, National Bureau of Economic Research, Inc
- The Austrian Theory of the Marginal Use And of Ordinal Marginal Utility
NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)
- The Cumulative Unanticipated Change in Interest Rates: Evidence on the Misintermediation Hypothesis
NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
- The Effect of Minimum Wage Legislation on Income Equality: A TheoreticalAnalysis
NBER Working Papers, National Bureau of Economic Research, Inc
1975
- An Austrian Proof of Quasi-Concave Preferences
Boston College Working Papers in Economics, Boston College Department of Economics View citations (1)
- Immigration Barriers and The Classic Interests Of Labor
Boston College Working Papers in Economics, Boston College Department of Economics
- Regulation and The U.S. Financial System
Boston College Working Papers in Economics, Boston College Department of Economics
1974
- The Markoff Cycle in Business Activity
Boston College Working Papers in Economics, Boston College Department of Economics
Undated
- Optimal Univariate Inflation Forecasting with Symmetric Stable Shocks
Computing in Economics and Finance 1997, Society for Computational Economics View citations (17)
See also Journal Article Optimal univariate inflation forecasting with symmetric stable shocks, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1998) View citations (18) (1998)
Journal Articles
2013
- Extended Neyman smooth goodness-of-fit tests, applied to competing heavy-tailed distributions
Journal of Econometrics, 2013, 172, (2), 275-282 View citations (3)
2009
- Asset pricing with incomplete information and fat tails
Journal of Economic Dynamics and Control, 2009, 33, (6), 1314-1331 View citations (11)
2004
- Testing for persistence in stock returns with GARCH-stable shocks
Quantitative Finance, 2004, 4, (3), 256-265 View citations (10)
2003
- Consumption asset pricing with stable shocks--exploring a solution and its implications for mean equity returns
Journal of Economic Dynamics and Control, 2003, 27, (3), 399-421 View citations (13)
2000
- Estimation of the Bivariate Stable Spectral Representation by the Projection Method
Computational Economics, 2000, 16, (1/2), 47-62 View citations (2)
1998
- Government Deposit Insurance and the Diamond-Dybvig Model
The Geneva Risk and Insurance Review, 1998, 23, (2), 139-149 View citations (6)
- Optimal univariate inflation forecasting with symmetric stable shocks
Journal of Applied Econometrics, 1998, 13, (6), 659-670 View citations (18)
See also Working Paper Optimal Univariate Inflation Forecasting with Symmetric Stable Shocks, Computing in Economics and Finance 1997 View citations (17)
1997
- Erratum
Computational Statistics & Data Analysis, 1997, 26, (1), 101-99
- Measuring Tail Thickness to Estimate the Stable Index Alpha: A Critique
Journal of Business & Economic Statistics, 1997, 15, (1), 74-81 View citations (59)
- Precise tabulation of the maximally-skewed stable distributions and densities
Computational Statistics & Data Analysis, 1997, 23, (3), 307-320 View citations (4)
- The value of european currency options and log-stable uncertainty
International Advances in Economic Research, 1997, 3, (4), 425-425
1993
- A Reexamination of Traditional Hypotheses about the Term Structure: A Comment
Journal of Finance, 1993, 48, (2), 779-89 View citations (22)
1991
- An Error-Correction Mechanism for Long-Run Price Stability: Panel Discussion
Journal of Money, Credit and Banking, 1991, 23, (3), 619-24
- Panel discussion: price stability; An error-correction mechanism for long-run price stability
Proceedings, 1991, 619-624
1990
- Comments on "Developments in monetary aggregation theory"
Journal of Policy Modeling, 1990, 12, (2), 259-263
1987
- The monotonicity of the term premium: A closer look
Journal of Financial Economics, 1987, 18, (1), 185-192 View citations (16)
1986
- Bank Regulation and Deposit Insurance
The Journal of Business, 1986, 59, (1), 79-85 View citations (14)
1985
- Interest-risk sensitive deposit insurance premia: Stable ACH estimates
Journal of Banking & Finance, 1985, 9, (1), 137-156 View citations (41)
- On Heteros*edasticity
Econometrica, 1985, 53, (2), 403 View citations (1)
1982
- Incentives and Proxies for Indexed Bond Issues: Reply
American Economic Review, 1982, 72, (3), 566-68
1981
- Misintermediation and macroeconomic fluctuations
Journal of Monetary Economics, 1981, 8, (1), 103-115 View citations (6)
1980
- The Ban on Indexed Bonds, 1933-77
American Economic Review, 1980, 70, (5), 1018-21 View citations (3)
1978
- Continuous Time Processes with Stable Increments
The Journal of Business, 1978, 51, (4), 601-19 View citations (11)
- Spline Estimation of the Liquidity Trap: A Comment
The Review of Economics and Statistics, 1978, 60, (2), 318-20
1977
- The Monte Carlo Hypothesis: Reply
Economic Inquiry, 1977, 15, (4), 618 View citations (1)
1975
- An Estimate of the Liquidity Premium
Journal of Political Economy, 1975, 83, (1), 95-119 View citations (32)
- Operational Aspects of the Siegel Paradox
The Quarterly Journal of Economics, 1975, 89, (1), 170-172 View citations (20)
- The Monte Carlo Cycle in Business Activity
Economic Inquiry, 1975, 13, (3), 303-21 View citations (15)
- The Tax-Adjusted Yield Curve
Journal of Finance, 1975, 30, (3), 811-30 View citations (179)
1974
- The Effect of a Minimum Wage Law in the Labour-Intensive Sector
Canadian Journal of Economics, 1974, 7, (2), 317-19 View citations (2)
1971
- Measuring the Term Structure of Interest Rates
The Journal of Business, 1971, 44, (1), 19-31 View citations (177)
Chapters
1990
- The term structure of interest rates
Chapter 13 in Handbook of Monetary Economics, 1990, vol. 1, pp 627-722 View citations (173)
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