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Economics and Finance

D-Index
52
Citations
14383
World Ranking
1246
National Ranking
752

Overview

Todd E. Clark is affiliated with the Federal Reserve Bank of Cleveland in the United States. Their research contributions primarily span the domains of economics, econometrics, and finance, with a total of 114 publications across these broader fields.

The subfields of study that Clark extensively covers include economics and econometrics, general economics, econometrics and finance, finance, management science and operations research, and statistics and probability.

Clark's main topics of work focus on monetary policy and economic impact, market dynamics and volatility, financial risk and volatility modeling, forecasting techniques and applications, stochastic processes and financial applications, insurance, mortality, demography, risk management, as well as energy, environment, and economic growth.

Frequent coauthors collaborating with Clark include Massimiliano Marcellino, Andrea Carriero, Elmar Mertens, Florian Huber, and Gergely Ganics.

The scientist's publications appear mainly in working papers and journals specializing in applied econometrics and economic statistics. Key publication venues with multiple works are:

  • Working paper
  • SSRN Electronic Journal
  • Journal of Applied Econometrics
  • The Review of Economics and Statistics
  • Journal of Econometrics

Recent papers authored by Clark include:

  • TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES, 2022, International Economic Review
  • Addressing COVID-19 Outliers in BVARs with Stochastic Volatility, 2022, The Review of Economics and Statistics
  • Addressing COVID-19 Outliers in BVARs with Stochastic Volatility, 2021, Working paper
  • Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions, 2020, Working paper
  • Corrigendum to "Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors" [J. Econometrics 212 (1) (2019) 137-154], 2021, Journal of Econometrics

The range of subjects in Clark's work demonstrates engagement with advanced econometric modeling techniques, particularly Bayesian vector autoregressions and stochastic volatility. The work related to COVID-19 highlights an interest in the economic impacts of significant global events and associated volatility in macroeconomic data.

Best Publications

  • Approximately normal tests for equal predictive accuracy in nested models

    Todd E. Clark;Kenneth D. West

  • Tests of equal forecast accuracy and encompassing for nested models

    Todd E Clark;Michael W McCracken

  • Borders and business cycles

    Todd E. Clark;Eric van Wincoop

  • Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis

    Todd E. Clark;Kenneth D. West

  • Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility

    Todd E. Clark

  • Approximately Normal Tests for Equal Predictive Accuracy in Nested Models

    Todd E. Clark;Kenneth D. West;Kenneth D. West

  • Macroeconomic Forecasting Performance under Alternative Specifications of Time-Varying Volatility

    Todd E. Clark;Francesco Ravazzolo;Francesco Ravazzolo

  • Advances in forecast evaluation

    Todd E. Clark;Michael W. McCracken

  • Bayesian VARs : specification choices and forecast accuracy

    Andrea Carriero;Todd E. Clark;Massimiliano Marcellino;Massimiliano Marcellino;Massimiliano Marcellino

  • Evaluating Direct Multistep Forecasts

    Todd E. Clark;Michael W. McCracken

  • Common drifting volatility in large Bayesian VARs

    Andrea Carriero;Todd E. Clark;Massimiliano Marcellino

  • IMPROVING FORECAST ACCURACY BY COMBINING RECURSIVE AND ROLLING FORECASTS

    Todd E. Clark;Michael W. McCracken

  • Comparing Measures of Core Inflation

    Todd E. Clark

  • Measuring Uncertainty and Its Impact on the Economy

    Andrea Carriero;Todd E. Clark;Massimiliano Marcellino

  • Advances in Forecast Evaluation

    Todd Clark;Michael McCracken

  • Disaggregate evidence on the persistence of consumer price inflation

    Todd E. Clark

  • Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors

    Andrea Carriero;Todd E. Clark;Massimiliano Marcellino

  • Nested forecast model comparisons: A new approach to testing equal accuracy

    Todd E. Clark;Michael W. McCracken

  • CROSS‐COUNTRY EVIDENCE ON LONG‐RUN GROWTH AND INFLATION

    Todd E. Clark

  • The Predictive Content of the Output Gap for Inflation: Resolving In-Sample and Out-of-Sample Evidence

    Todd E. Clark;Michael W. McCracken

  • Time Variation in the Inflation Passthrough of Energy Prices

    Todd E. Clark;Stephen J. Terry

  • Estimating equilibrium real interest rates in real time

    Todd E. Clark;Sharon Kozicki

  • Averaging forecasts from VARs with uncertain instabilities

    Todd E. Clark;Michael W. McCracken

  • Using out-of-sample mean squared prediction errors to test the Martingale difference hypothesis

    Todd E. Clark;Kenneth D. West

Frequent Co-Authors

Massimiliano Marcellino
Massimiliano Marcellino Bocconi University
Gary Koop
Gary Koop University of Strathclyde
Eric van Wincoop
Eric van Wincoop University of Virginia
Kwanho Shin
Kwanho Shin Korea University

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