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Model-Based Clustering of Multiple Time Series

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Author Info
Fruhwirth-Schnatter, Sylvia
Kaufmann, Sylvia

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Abstract

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File URL: http://www.ingentaconnect.com/content/asa/jbes/2008/00000026/00000001/art00008
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Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

Volume (Year): 26 (2008)
Issue (Month): (January)
Pages: 78-89
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Handle: RePEc:bes:jnlbes:v:26:y:2008:p:78-89

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  1. Crowley, Patrick, 2008. "One Money, Several Cycles? Evaluation of European business cycles using model-based cluster analysis," Research Discussion Papers 3/2008, Bank of Finland. [Downloadable!]
  2. Juarez, Miguel A. & Steel, Mark F. J., 2006. "Non-Gaussian dynamic Bayesian modelling for panel data," MPRA Paper 450, University Library of Munich, Germany. [Downloadable!]
  3. Sylvia Kaufmann & Sylvia Frühwirth-Schnatter, 2006. "How do changes in monetary policy affect bank lending? An analysis of Austrian bank data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(3), pages 275-305. [Downloadable!]
  4. Juarez, Miguel A. & Steel, Mark F. J., 2006. "Model-based Clustering of non-Gaussian Panel Data," MPRA Paper 880, University Library of Munich, Germany. [Downloadable!]
  5. Sylvia Kaufmann, 2008. "Dating and forecasting turning points by Bayesian clustering with dynamic structure: A suggestion with an application to Austrian data," Working Papers 144, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
  6. Mohammed Bouaddi & Jeroen V.K. Rombouts, 2007. "Mixed Exponential Power Asymmetric Conditional Heteroskedasticity," Cahiers de recherche 0749, CIRPEE. [Downloadable!]
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