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Citations for "Business Cycle Asymmetries: Characterization and Testing Based on Markov-Switching Autoregressions"

by Clements, Michael P & Krolzig, Hans-Martin

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  1. Monica Billio & Jacques Anas & Laurent Ferrara & Marco Lo Duca, 2007. "Business Cycle Analysis with Multivariate Markov Switching Models," Working Papers 2007_32, Department of Economics, University of Venice "Ca' Foscari".
  2. Alisdair McKay & Ricardo Reis, 2006. "The Brevity and Violence of Contractions and Expansions," NBER Working Papers 12400, National Bureau of Economic Research, Inc.
  3. Marie Bessec & Othman Bouabdallah, 2005. "What causes the forecasting failure of Markov-Switching models? A Monte Carlo study," Econometrics 0503018, EconWPA.
  4. Michael P. Clements & Philip Hans Franses & Norman R. Swanson, 2003. "Forecasting economic and financial time-series with non-linear models," Departmental Working Papers 200309, Rutgers University, Department of Economics.
  5. Darné, Olivier & Ferrara, Laurent, 2009. "Identification of slowdowns and accelerations for the euro area economy," CEPR Discussion Papers 7376, C.E.P.R. Discussion Papers.
  6. Laurent Ferrara & Dominique Guegan, 2006. "Real-time detection of the business cycle using SETAR models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00185372, HAL.
  7. McCAUSLAND, William, 2004. "Time Reversibility of Stationary Regular Finite State Markov Chains," Cahiers de recherche 2004-07, Universite de Montreal, Departement de sciences economiques.
  8. Monica Billio & Jacques Anas & Laurent Ferrara & Marco Lo Duca, 2007. "A turning point chronology for the Euro-zone," Working Papers 2007_33, Department of Economics, University of Venice "Ca' Foscari".
  9. Milas, Costas & Rothman, Philip, 2008. "Out-of-sample forecasting of unemployment rates with pooled STVECM forecasts," International Journal of Forecasting, Elsevier, vol. 24(1), pages 101-121.
  10. Moritz Cruz, 2005. "The business cycle in a financially deregulated context: Theory and evidence," International Review of Applied Economics, Taylor & Francis Journals, vol. 19(3), pages 271-287.
  11. Marcelo Savino Portugal & Igor Alexandre Clemente de Morais, 2004. "Business Cycle In The Industrial Production Of Brazilian States," Econometric Society 2004 Latin American Meetings 23, Econometric Society.
  12. Almeida, Pedro Cameira de & Fuinhas, José Alberto & Marques, António Cardoso, 2011. "A assimetria dos ciclos económicos: Evidência internacional usando o teste triples
    [The asymmetry of business cycles: International evidence using triples test]
    ," MPRA Paper 35208, University Library of Munich, Germany.
  13. Cem Cakmakli & Richard Paap & Dick J.C. van Dijk, 2011. "Modeling and Estimation of Synchronization in Multistate Markov-Switching Models," Tinbergen Institute Discussion Papers 11-002/4, Tinbergen Institute.
  14. Laurent Ferrara & Dominique Guégan, 2005. "Detection of the Industrial Business Cycle using SETAR Models," Journal of Business Cycle Measurement and Analysis, OECD Publishing,CIRET, vol. 2005(3), pages 353-371.
  15. Jorge Andrés Tamayo Castaño, 2012. "Asimetrías en la demanda por trabajo en Colombia: el papel del ciclo económico," Borradores de Economia 689, Banco de la Republica de Colombia.
  16. Dufrénot, G. & Malik, S., 2010. "The changing role of house price dynamics over the business cycle," Working papers 309, Banque de France.
  17. Harding, Don, 2008. "Detecting and forecasting business cycle turning points," MPRA Paper 33583, University Library of Munich, Germany.
  18. Dovern, Jonas & Gern, Klaus-Jürgen & Meier, Carsten-Patrick & Oskamp, Frank & Sander, Birgit & Scheide, Joachim, 2007. "Weltkonjunktur verliert an Fahrt," Open Access Publications from Kiel Institute for the World Economy 4093, Kiel Institute for the World Economy (IfW).
  19. Chen, Bin & Hong, Yongmiao, 2014. "A unified approach to validating univariate and multivariate conditional distribution models in time series," Journal of Econometrics, Elsevier, vol. 178(P1), pages 22-44.
  20. Hwa-Taek Lee & Gawon Yoon, 2013. "Does purchasing power parity hold sometimes? Regime switching in real exchange rates," Applied Economics, Taylor & Francis Journals, vol. 45(16), pages 2279-2294, June.
  21. Paap, Richard & Segers, Rene & van Dijk, Dick, 2009. "Do Leading Indicators Lead Peaks More Than Troughs?," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 528-543.
  22. Coakley, Jerry & Fuertes, Ana-Maria, 2006. "Testing for sign and amplitude asymmetries using threshold autoregressions," Journal of Economic Dynamics and Control, Elsevier, vol. 30(4), pages 623-654, April.
  23. AKA, Bédia F., 2009. "Business Cycle And Sectoral Fluctuations: A Nonlinear Model For Côte D’Ivoire," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 9(1), pages 111-126.
  24. Michael J. Dueker, 2006. "Using cyclical regimes of output growth to predict jobless recoveries," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 145-154.
  25. Ferrara, Laurent, 2006. "A real-time recession indicator for the Euro area," MPRA Paper 4042, University Library of Munich, Germany.
  26. Cem Cakmakli & Richard Paap & Dick van Dijk, 2011. "Measuring and Predicting Heterogeneous Recessions," Tinbergen Institute Discussion Papers 11-154/4, Tinbergen Institute, revised 15 Nov 2011.
  27. Laurent Ferrara & Olivier Darné & Marie Adanero-Donderis, 2009. "Un indicateur probabiliste du cycle d’accélération pour l’économie française," Économie et Prévision, Programme National Persée, vol. 189(3), pages 95-114.
  28. Frédérick Demers & Ryan Macdonald, 2007. "The Canadian Business Cycle: A Comparison of Models," Working Papers 07-38, Bank of Canada.
  29. Chen, Shiu-Sheng, 2011. "Lack of consumer confidence and stock returns," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 225-236, March.
  30. Lee, Hwa-Taek & Yoon, Gawon, 2007. "Does Purchasing Power Parity Hold Sometimes? Regime Switching in Real Exchange Rates," Economics Working Papers 2007,24, Christian-Albrechts-University of Kiel, Department of Economics.
  31. Bouabdallah, Othman & Bessec, Marie, 2005. "What causes the forecasting failure of Markov-switching models ? A Monte Carlo study," Economics Papers from University Paris Dauphine 123456789/6064, Paris Dauphine University.
  32. Siem Jan Koopman & Kai Ming Lee, 2005. "Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time Series," Tinbergen Institute Discussion Papers 05-081/4, Tinbergen Institute.
  33. Iiboshi, Hirokuni, 2007. "Duration dependence of the business cycle in Japan: A Bayesian analysis of extended Markov switching model," Japan and the World Economy, Elsevier, vol. 19(1), pages 86-111, January.
  34. James Morley & Jeremy M. Piger, 2005. "The importance of nonlinearity in reproducing business cycle features," Working Papers 2004-032, Federal Reserve Bank of St. Louis.
  35. Zhiqiang HU & Yizhu WANG, 2013. "The IPO Cycles in China's A-share IPO Market: Detection Based on a Three Regimes Markov Switching Model," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 115-131, October.
  36. M. Portugal & I.A. de Morais, 2004. "STRUCTURAL CHANGE IN THE BRAZILIAN DEMAND FOR IMPORTS: A regime switching approach," Econometric Society 2004 Latin American Meetings 346, Econometric Society.
  37. McAdam, Peter, 2003. "US, Japan and the euro area: comparing business-cycle features," Working Paper Series 0283, European Central Bank.
  38. Knüppel, Malte, 2004. "Testing for business cycle asymmetries based on autoregressions with a Markov-switching intercept," Discussion Paper Series 1: Economic Studies 2004,41, Deutsche Bundesbank, Research Centre.
  39. Ullrich Heilemann & Herman Stekler, 2010. "Perspectives on Evaluating Macroeconomic Forecasts," Working Papers 2010-002, The George Washington University, Department of Economics, Research Program on Forecasting.
  40. Adanero-Donderis , M. & Darné, O. & Ferrara, L., 2007. "Deux indicateurs probabilistes de retournement cyclique pour l’économie française," Working papers 187, Banque de France.
  41. Aka, B.F., 2004. "Do WAEMU Countries Exhibit a Regional Business Cycle?. A Simulated Markov Switching Model for a Western Africa area," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 4(4).
  42. Cruz-Rodríguez, Alexis, 2004. "Un análisis del ciclo económico de la República Dominicana bajo cambios de régimen
    [Analysis of business cycle of the Dominican Republic using Markov Switching model]
    ," MPRA Paper 54352, University Library of Munich, Germany.
  43. repec:hal:journl:halshs-00185372 is not listed on IDEAS
  44. Harding, Don & Pagan, Adrian, 2001. "Extracting, Using and Analysing Cyclical Information," MPRA Paper 15, University Library of Munich, Germany.
  45. Eric Girardin, 2005. "Growth-cycle features of East Asian countries: are they similar?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(2), pages 143-156.