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Details about J. Huston McCulloch

Homepage:http://www.econ.ohio-state.edu/jhm/jhm.html
Workplace:Department of Economics, Ohio State University, (more information at EDIRC)

Access statistics for papers by J. Huston McCulloch.

Last updated 2016-03-06. Update your information in the RePEc Author Service.

Short-id: pmc199


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Working Papers

2006

  1. Learning about Stock Volatility: The Local Scale Model with Homoskedastic Innovations
    Computing in Economics and Finance 2006, Society for Computational Economics Downloads

2005

  1. The Kalman Foundations of Adaptive Least Squares: Applications to Unemployment and Inflation
    Computing in Economics and Finance 2005, Society for Computational Economics Downloads View citations (1)

2004

  1. The Risk-Neutral Measure and Option Pricing under Log-Stable Uncertainty
    Econometric Society 2004 North American Winter Meetings, Econometric Society Downloads View citations (1)
    Also in Working Papers, Ohio State University, Department of Economics (2003) Downloads View citations (5)
  2. 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 Downloads View citations (1)

2003

  1. Signal Extraction can Generate Volatility Clusters
    Computing in Economics and Finance 2003, Society for Computational Economics Downloads

2002

  1. A Spline LR Test for Goodness-of-Fit
    Computing in Economics and Finance 2002, Society for Computational Economics Downloads
  2. Signal Extraction Can Generate Volatility Clusters From IID Shocks
    Working Papers, Ohio State University, Department of Economics Downloads

2001

  1. 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 Downloads
  2. The Inflation Premium implicit in the US Real and Nominal
    Computing in Economics and Finance 2001, Society for Computational Economics Downloads View citations (10)

2000

  1. 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 Downloads View citations (3)
  2. PROXYING INFLATION FORECASTS WITH FULLER/ROY-TYPE MEDIAN UNBIASED NEAR UNIT ROOT COEFFICIENT ESTIMATES
    Computing in Economics and Finance 2000, Society for Computational Economics
  3. State-Space Times Series Modeling of Structural Breaks
    Working Papers, Ohio State University, Department of Economics Downloads View citations (2)

1998

  1. The Inflation Premium Implicit in the US Real and Nominal Term Structures of Interest Rates
    Working Papers, Ohio State University, Department of Economics Downloads View citations (2)

1987

  1. The Ohio S&L crisis in retrospect: implications for the current federal deposit insurance crisis
    Proceedings, Federal Reserve Bank of Chicago View citations (1)
  2. The Term Structure of Interest Rates. U.S. Government Term Structure Data
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (6)

1978

  1. Interest Rate Risk and Capital Adequacy For Traditional Banks and Financial Intermediaries
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
    Also in Boston College Working Papers in Economics, Boston College Department of Economics (1978) Downloads
  2. The Pricing of Short-Lived Options When Price Uncertainty
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads
  3. The Pricing of Short-Lived Options When Price Uncertainty Is Log-Symmetric Stable
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)

1977

  1. Misintermediation and Business Fluctuation
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
  2. The Austrian Theory of the Marginal Use And of Ordinal Marginal Utility
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (7)
  3. The Cumulative Unanticipated Change in Interest Rates: Evidence on the Misintermediation Hypothesis
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
  4. The Effect of Minimum Wage Legislation on Income Equality: A TheoreticalAnalysis
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads

1975

  1. An Austrian Proof of Quasi-Concave Preferences
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads
  2. Immigration Barriers and The Classic Interests Of Labor
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads
  3. Regulation and The U.S. Financial System
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads

1974

  1. The Markoff Cycle in Business Activity
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads

Undated

  1. Optimal Univariate Inflation Forecasting with Symmetric Stable Shocks
    Computing in Economics and Finance 1997, Society for Computational Economics Downloads
    See also Journal Article in Journal of Applied Econometrics (1998)

Journal Articles

2013

  1. Extended Neyman smooth goodness-of-fit tests, applied to competing heavy-tailed distributions
    Journal of Econometrics, 2013, 172, (2), 275-282 Downloads View citations (3)

2009

  1. Asset pricing with incomplete information and fat tails
    Journal of Economic Dynamics and Control, 2009, 33, (6), 1314-1331 Downloads View citations (10)

2004

  1. Testing for persistence in stock returns with GARCH-stable shocks
    Quantitative Finance, 2004, 4, (3), 256-265 Downloads View citations (10)

2003

  1. 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 Downloads View citations (9)

2000

  1. Estimation of the Bivariate Stable Spectral Representation by the Projection Method
    Computational Economics, 2000, 16, (1/2), 47-62 Downloads View citations (2)

1998

  1. Government Deposit Insurance and the Diamond-Dybvig Model
    The Geneva Risk and Insurance Review, 1998, 23, (2), 139-149 Downloads View citations (5)
  2. Optimal univariate inflation forecasting with symmetric stable shocks
    Journal of Applied Econometrics, 1998, 13, (6), 659-670 Downloads View citations (16)
    See also Working Paper

1997

  1. Erratum
    Computational Statistics & Data Analysis, 1997, 26, (1), 101-99 Downloads
  2. Measuring Tail Thickness to Estimate the Stable Index Alpha: A Critique
    Journal of Business & Economic Statistics, 1997, 15, (1), 74-81 View citations (50)
  3. Precise tabulation of the maximally-skewed stable distributions and densities
    Computational Statistics & Data Analysis, 1997, 23, (3), 307-320 Downloads View citations (4)
  4. The value of european currency options and log-stable uncertainty
    International Advances in Economic Research, 1997, 3, (4), 425-425 Downloads

1993

  1. A Reexamination of Traditional Hypotheses about the Term Structure: A Comment
    Journal of Finance, 1993, 48, (2), 779-89 Downloads View citations (15)

1991

  1. An Error-Correction Mechanism for Long-Run Price Stability: Panel Discussion
    Journal of Money, Credit and Banking, 1991, 23, (3), 619-24 Downloads
  2. Panel discussion: price stability; An error-correction mechanism for long-run price stability
    Proceedings, 1991, 619-624

1990

  1. Comments on "Developments in monetary aggregation theory"
    Journal of Policy Modeling, 1990, 12, (2), 259-263 Downloads

1987

  1. The monotonicity of the term premium: A closer look
    Journal of Financial Economics, 1987, 18, (1), 185-192 Downloads View citations (15)

1986

  1. Bank Regulation and Deposit Insurance
    The Journal of Business, 1986, 59, (1), 79-85 Downloads View citations (14)

1985

  1. Interest-risk sensitive deposit insurance premia: Stable ACH estimates
    Journal of Banking & Finance, 1985, 9, (1), 137-156 Downloads View citations (37)
  2. On Heteros*edasticity
    Econometrica, 1985, 53, (2), 403 View citations (1)

1982

  1. Incentives and Proxies for Indexed Bond Issues: Reply
    American Economic Review, 1982, 72, (3), 566-68 Downloads

1981

  1. Misintermediation and macroeconomic fluctuations
    Journal of Monetary Economics, 1981, 8, (1), 103-115 Downloads View citations (6)

1980

  1. The Ban on Indexed Bonds, 1933-77
    American Economic Review, 1980, 70, (5), 1018-21 Downloads View citations (3)

1978

  1. Continuous Time Processes with Stable Increments
    The Journal of Business, 1978, 51, (4), 601-19 Downloads View citations (10)
  2. Spline Estimation of the Liquidity Trap: A Comment
    The Review of Economics and Statistics, 1978, 60, (2), 318-20 Downloads

1977

  1. The Monte Carlo Hypothesis: Reply
    Economic Inquiry, 1977, 15, (4), 618 View citations (1)

1975

  1. An Estimate of the Liquidity Premium
    Journal of Political Economy, 1975, 83, (1), 95-119 Downloads View citations (30)
  2. Operational Aspects of the Siegel Paradox
    The Quarterly Journal of Economics, 1975, 89, (1), 170-172 Downloads View citations (19)
  3. The Monte Carlo Cycle in Business Activity
    Economic Inquiry, 1975, 13, (3), 303-21 View citations (12)
  4. The Tax-Adjusted Yield Curve
    Journal of Finance, 1975, 30, (3), 811-30 Downloads View citations (136)

1974

  1. 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

  1. Measuring the Term Structure of Interest Rates
    The Journal of Business, 1971, 44, (1), 19-31 Downloads View citations (165)

Chapters

1990

  1. The term structure of interest rates
    Chapter 13 in Handbook of Monetary Economics, 1990, vol. 1, pp 627-722 Downloads View citations (126)

Software Items

 
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