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Citations for "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle"

by Hamilton, James D

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  1. Gilles Dufrénot & Valérie Mignon & Anne Péguin-Feissolle, 2010. "The Effects of the Subprime Crisis on the Latin American Financial Markets: an Empirical Assessment," Working Papers 2010-11, CEPII research center.
  2. Eric Ghysels, 1993. "A time series model with periodic stochastic regime switching," Discussion Paper / Institute for Empirical Macroeconomics 84, Federal Reserve Bank of Minneapolis.
  3. Sharon Kozicki & P.A. Tinsley, 1996. "Moving endpoints and the internal consistency of agents' ex ante forecasts," Finance and Economics Discussion Series 96-47, Board of Governors of the Federal Reserve System (U.S.).
  4. Clarida, Richard & Sarno, Lucio & Taylor, Mark P & Valente, Giorgio, 2002. "The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond," CEPR Discussion Papers 3281, C.E.P.R. Discussion Papers.
  5. Michael Frömmel, 2010. "Volatility Regimes in Central and Eastern European Countries’ Exchange Rates," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 60(1), pages 2-21, February.
  6. Francis X. Diebold & Robert S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc.
  7. Prasad Bidarkota & Khurshid M. Kiani, 2003. "On Business Cycle Asymmetries in G7 Countries," Working Papers 0308, Florida International University, Department of Economics.
  8. Dominique Guegan & Laurent Ferrara, 2005. "Detection of the Industrial Business Cycle using SETAR models," Post-Print halshs-00201309, HAL.
  9. Dengta CHEN & Yinggang ZHOU, 2004. "Rational Panics, Absorbing Regime Switching and Stock Market," Econometric Society 2004 Far Eastern Meetings 680, Econometric Society.
  10. Kozicki, Sharon & Tinsley, P. A., 2001. "Shifting endpoints in the term structure of interest rates," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 613-652, June.
  11. De Arce Borda, R., 2004. "20 años de modelos ARCH: una visión de conjunto de las distintas variantes de la familia/20 Years of Arch Modelling: a Survey of Different Models in the Family," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 22, pages 27, Abril.
  12. Pallage, Stephane & Robe, Michel A, 2001. "Foreign Aid and the Business Cycle," Review of International Economics, Wiley Blackwell, vol. 9(4), pages 641-72, November.
  13. Rossi, Alessandro & Gallo, Giampiero M., 2006. "Volatility estimation via hidden Markov models," Journal of Empirical Finance, Elsevier, vol. 13(2), pages 203-230, March.
  14. Thomas J. Flavin & Ekaterini Panopoulou & Deren Unalmis, 2008. "On the Stability of Domestic Financial Market Linkages in the Presence of time-varying Volatility," Working Papers 0810, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  15. Issler, João Victor & Vahid, Farshid, 2003. "The missing link: Using the NBER recession indicator to construct coincident and leading indices of economic activity," Economics Working Papers (Ensaios Economicos da EPGE) 492, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  16. Ulph, A. & Valentini, L., 1998. "Is environmental dumping greater when firms are footloose?," Discussion Paper Series In Economics And Econometrics 9819, Economics Division, School of Social Sciences, University of Southampton.
  17. Lopes, José Mário & Nunes, Luis C., 2012. "A Markov regime switching model of crises and contagion: The case of the Iberian countries in the EMS," Journal of Macroeconomics, Elsevier, vol. 34(4), pages 1141-1153.
  18. Pataracchia, Beatrice, 2011. "The spectral representation of Markov switching ARMA models," Economics Letters, Elsevier, vol. 112(1), pages 11-15, July.
  19. Maria Simona Andreano & Giovanni Savio, 2002. "Further evidence on business cycle asymmetries in G7 countries," Applied Economics, Taylor & Francis Journals, vol. 34(7), pages 895-904.
  20. Floros, Christos & Salvador, Enrique, 2014. "Calendar anomalies in cash and stock index futures: International evidence," Economic Modelling, Elsevier, vol. 37(C), pages 216-223.
  21. Oscar Jorda & Massimiliano Marcellino, . "Stochastic Processes Subject To Time Scale Transformations: An Application To High-Frequency Fx Data," Department of Economics 00-02, California Davis - Department of Economics.
  22. Charles Engel & Craig S. Hakkio, 1994. "The distribution of exchange rates in the EMS," Research Working Paper 94-03, Federal Reserve Bank of Kansas City.
  23. Psaradakis, Zacharias, 2002. "On the asymptotic behaviour of unit-root tests in the presence of a Markov trend," Statistics & Probability Letters, Elsevier, vol. 57(1), pages 101-109, March.
  24. Heping Pan, 2012. "Yin-yang volatility in scale space of price-time: a core structure of financial market risk," China Finance Review International, Emerald Group Publishing, vol. 2(2), pages 377-405, August.
  25. Trojan, Sebastian, 2013. "Regime Switching Stochastic Volatility with Skew, Fat Tails and Leverage using Returns and Realized Volatility Contemporaneously," Economics Working Paper Series 1341, University of St. Gallen, School of Economics and Political Science.
  26. Mª Ángeles Caraballo Pou & Carlos Dabús & Diego Caramuta, 2006. "A Non-linear "Inflation-Relative Prices Variability" Relationship: Evidence from Latin America," Economic Working Papers at Centro de Estudios Andaluces E2006/09, Centro de Estudios Andaluces.
  27. Brent Bundick, 2007. "Do federal funds futures need adjustment for excess returns? a state-dependent approach," Research Working Paper RWP 07-08, Federal Reserve Bank of Kansas City.
  28. Jinho Bae & Chang-Jin Kim & Dong Kim, 2012. "The evolution of the monetary policy regimes in the U.S," Empirical Economics, Springer, vol. 43(2), pages 617-649, October.
  29. Chang, Kuang-Liang & Chen, Nan-Kuang & Leung, Charles Ka Yui, 2009. "Monetary Policy, Term Structure and Asset Return: Comparing REIT, Housing and Stock," MPRA Paper 23514, University Library of Munich, Germany.
  30. Maria Rosa Nieto & Esther Ruiz, 2008. "Measuring financial risk : comparison of alternative procedures to estimate VaR and ES," Statistics and Econometrics Working Papers ws087326, Universidad Carlos III, Departamento de Estadística y Econometría.
  31. Andrea Carriero & Massimiliano Marcellino, 2007. "Sectoral Survey-based Confidence Indicators for Europe," Working Papers 320, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  32. Lahiri, Kajal & Yao, Wenxiong, 2004. "A dynamic factor model of the coincident indicators for the US transportation sector," MPRA Paper 22360, University Library of Munich, Germany.
  33. Rodrigo F. Aranda L. & Patricio Jaramillo G., 2010. "Non-linear Dynamics in the Chilean Stock Market: Evidence on Traded Volumes and Returns," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 13(3), pages 67-94, December.
  34. Zakoïan, Jean-Michel & Regnard, Nazim, 2011. "A Conditionally Heteroskedastic Model with Time-varying Coefficients for Daily Gas Spot Prices," Economics Papers from University Paris Dauphine 123456789/2603, Paris Dauphine University.
  35. Leipus, Remigijus & Viano, Marie-Claude, 2003. "Long memory and stochastic trend," Statistics & Probability Letters, Elsevier, vol. 61(2), pages 177-190, January.
  36. Ravn, Morten O. & Sola, Martin, 1995. "Stylized facts and regime changes: Are prices procyclical?," Journal of Monetary Economics, Elsevier, vol. 36(3), pages 497-526, December.
  37. Khaled Guesmi & Frédéric Teulon & Zied Ftiti, 2013. "Sudden Changes in Volatility in European Stock Markets," Working Papers 2013-032, Department of Research, Ipag Business School.
  38. Koop, Gary & Potter, Simon M, 2003. "Bayesian Analysis of Endogenous Delay Threshold Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(1), pages 93-103, January.
  39. Elvio Accinelli & Juan Gabriel Brida, 2007. "Modelos Económicos con Múltiples Regímenes," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 1(2), pages 96-115.
  40. 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.
  41. Chang-Jin Kim & Jeremy Piger & Richard Startz, 2005. "The dynamic relationship between permanent and transitory components of U.S. business cycles," Working Papers 2001-017, Federal Reserve Bank of St. Louis.
  42. Joscha Beckmann & Robert Czudaj, 2013. "Is there a Homogeneous Causality Pattern between Oil Prices and Currencies of Oil Importers and Exporters?," Ruhr Economic Papers 0431, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  43. Andrew J. Patton & Allan Timmermann, 2005. "Testable implications of forecast optimality," LSE Research Online Documents on Economics 6834, London School of Economics and Political Science, LSE Library.
  44. Kleijn, R.H. & van Dijk, H.K., 2003. "Bayes model averaging of cyclical decompositions in economic time series," Econometric Institute Research Papers EI 2003-48, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  45. Lawrence J. Christiano & Sharon G. Harrison, 1996. "Chaos, sunspots, and automatic stabilizers," Staff Report 214, Federal Reserve Bank of Minneapolis.
  46. Spencer Krane, 2006. "How professional forecasters view shocks to GDP," Working Paper Series WP-06-19, Federal Reserve Bank of Chicago.
  47. Hutchison, Michael M. & Sengupta, Rajeswari & Singh, Nirvikar, 2013. "Dove or Hawk? Characterizing monetary policy regime switches in India," Emerging Markets Review, Elsevier, vol. 16(C), pages 183-202.
  48. Chen, Yu-Fu & Funke, Michael, 2009. "Booms, Recessions and Financial Turmoil: A Fresh Look at Investment Decisions under Cyclical Uncertainty," SIRE Discussion Papers 2009-31, Scottish Institute for Research in Economics (SIRE).
  49. Planas, C. & Roeger, W. & Rossi, A., 2013. "The information content of capacity utilization for detrending total factor productivity," Journal of Economic Dynamics and Control, Elsevier, vol. 37(3), pages 577-590.
  50. Clements, M.P. & Krolzig, H-M., 1999. "Business Cycle Asymmetries: Characterisationand Testing Based on Markov-Switching Autoregression," The Warwick Economics Research Paper Series (TWERPS) 522, University of Warwick, Department of Economics.
  51. Eo, Yunjong, 2008. "Bayesian Analysis of DSGE Models with Regime Switching," MPRA Paper 13910, University Library of Munich, Germany, revised 11 Feb 2009.
  52. Francesco Ravazzolo & Philip Rothman, 2013. "Oil and U.S. GDP: A Real‐Time Out‐of‐Sample Examination," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(2-3), pages 449-463, 03.
  53. Ludmila Fadejeva & Aleksejs Melihovs, 2008. "The Baltic states and Europe: common factors of economic activity," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 8(1), pages 75-96, October.
  54. René Garcia & Richard Luger & Éric Renault, 2001. "Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : New version February 2002) / Empirical Assessment of an Intertemporal Option Pricing Model with Latent Varia," CIRANO Working Papers 2001s-02, CIRANO.
  55. Zorica Mladenović & Aleksandra Nojković, 2012. "Inflation Persistence in Central and Southeastern Europe: Evidence from Univariate and Structural Time Series Approaches," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 59(2), pages 235-266, May.
  56. Aarti Singh & James Bullard, 2007. "Learning and the Great Moderation," 2007 Meeting Papers 523, Society for Economic Dynamics.
  57. Joseph P. Romano & Michael Wolf, 2006. "Improved Nonparametric Confidence Intervals in Time Series Regressions," IEW - Working Papers 273, Institute for Empirical Research in Economics - University of Zurich.
  58. Paap, R. & Segers, R. & van Dijk, D.J.C., 2007. "Do leading indicators lead peaks more than troughs?," Econometric Institute Research Papers EI 2007-08, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  59. Diego Escobari, 2013. "Asymmetric Price Adjustments in Airlines," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 34(2), pages 74-85, 03.
  60. Clarida, Richard H. & Mark P. Taylor, 2002. "Nonlinear Permanent -Temporary Decompositions in Macroeconomics and Finance," Royal Economic Society Annual Conference 2002 51, Royal Economic Society.
  61. Gencay, Ramazan & Selcuk, Faruk & Whitcher, Brandon, 2004. "Information flow between volatilities across time scales," MPRA Paper 10355, University Library of Munich, Germany.
  62. Lee, Hsiang-Tai, 2009. "Optimal futures hedging under jump switching dynamics," Journal of Empirical Finance, Elsevier, vol. 16(3), pages 446-456, June.
  63. Cavicchioli, Maddalena, 2013. "Spectral density of Markov-switching VARMA models," Economics Letters, Elsevier, vol. 121(2), pages 218-220.
  64. Huisman, R. & Mahieu, R.J., 2003. "Regime jumps in electricity prices," Open Access publications from Tilburg University urn:nbn:nl:ui:12-3131736, Tilburg University.
  65. Marcucci, Juri & Quagliariello, Mario, 2009. "Asymmetric effects of the business cycle on bank credit risk," Journal of Banking & Finance, Elsevier, vol. 33(9), pages 1624-1635, September.
  66. Pagan, Adrian R. & Schwert, G. William, 1990. "Alternative models for conditional stock volatility," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 267-290.
  67. John Driffill & Turalay Kenc & Martin Sola, 2013. "Real Options With Priced Regime-Switching Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(05), pages 1350028-1-1.
  68. 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.
  69. Terence Mills, 2001. "Business cycle asymmetry and duration dependence: An international perspective," Journal of Applied Statistics, Taylor & Francis Journals, vol. 28(6), pages 713-724.
  70. Piero Ferri & Anna Maria Variato, 2007. "Endogenous Cycles, Debt and Monetary Policy," Working Papers 0703, University of Bergamo, Department of Economics.
  71. Kuswanto, Heri & Sibbertsen, Philipp, 2008. "A Study on "Spurious Long Memory in Nonlinear Time Series Models"," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Leibniz Universität Hannover dp-410, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  72. Oscar Jorda, 2004. "Model-Free Impulse Responses," Macroeconomics 0403016, EconWPA.
  73. S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti, 2007. "Real-Time Measurement of Business Conditions, Second Version," PIER Working Paper Archive 08-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 04 Apr 2008.
  74. Andros Gregoriou & Niloy Bose & M. Emranul Haque, 2010. "Modeling the non-linear behaviour of option price deviations from the Black Scholes model," Journal of Economic Studies, Emerald Group Publishing, vol. 37(1), pages 26-35, January.
  75. Cecchetti, Stephen G & Lam, Pok-sang & Mark, Nelson C, 1990. "Mean Reversion in Equilibrium Asset Prices," American Economic Review, American Economic Association, vol. 80(3), pages 398-418, June.
  76. Potter, Simon M, 1999. " Nonlinear Time Series Modelling: An Introduction," Journal of Economic Surveys, Wiley Blackwell, vol. 13(5), pages 505-28, December.
  77. Engsted, Tom, 2002. " Measures of Fit for Rational Expectations Models," Journal of Economic Surveys, Wiley Blackwell, vol. 16(3), pages 301-55, July.
  78. Krolzig, H.-M. & Toro, J., 2001. "Classical And Modern Business Cycle Measurement: The European Case," Economics Series Working Papers 9960, University of Oxford, Department of Economics.
  79. Vincent, BODART & Konstantin A., KHOLODILIN & Fati, SHADMAN-MEHTA, 2003. "Dating and Forecasting the Belgian Business Cycle," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2003018, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  80. Christopher J. Neely & David E. Rapach, 2008. "Real interest rate persistence: evidence and implications," Working Papers 2008-018, Federal Reserve Bank of St. Louis.
  81. Mittnik, Stefan & Semmler, Willi, 2013. "The real consequences of financial stress," Journal of Economic Dynamics and Control, Elsevier, vol. 37(8), pages 1479-1499.
  82. Ana Beatriz Galv�o & Michael Artis & Massimiliano Marcellino, 2007. "The transmission mechanism in a changing world," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 39-61.
  83. Sascha Mergner & Jan Bulla, 2005. "Time-varying Beta Risk of Pan-European Industry Portfolios: A Comparison of Alternative Modeling Techniques," Finance 0510029, EconWPA.
  84. Angang Hu & Jie Lu & Zhengyan Xiao, 2011. "Has China's Economy Become More Stable and Inertial? Nonlinear Investigations Based on Structural Break and Duration Dependent Regime Switching Models," Annals of Economics and Finance, Society for AEF, vol. 12(1), pages 157-181, May.
  85. Ahmed, Ehsan & Barkley Rosser, J. Jr. & Uppal, Jamshed Y., 1999. "Evidence of nonlinear speculative bubbles in pacific-rim stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 39(1), pages 21-36.
  86. Kristina Kittelmann & Marcel Tirpak & Rainer Schweickert & L�cio Vinhas De Souza, 2006. "From Transition Crises to Macroeconomic Stability? Lessons from a Crises Early Warning System for Eastern European and CIS Countries," Comparative Economic Studies, Palgrave Macmillan, vol. 48(3), pages 410-434, September.
  87. MacDonald, Ronald & Nagayasu, Jun, 2013. "Currency Forecast Errors at Times of Low Interest Rates: Evidence from Survey Data on the Yen/Dollar Exchange Rate," SIRE Discussion Papers 2013-100, Scottish Institute for Research in Economics (SIRE).
  88. Bonomo, Marco Antônio Cesar & Terra, Maria Cristina T., 1999. "The Political Economy of Exchange Rate Policy in Brazil: 1964-1997," Economics Working Papers (Ensaios Economicos da EPGE) 341, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  89. Guidolin, Massimo & Timmermann, Allan, 2009. "Forecasts of US short-term interest rates: A flexible forecast combination approach," Journal of Econometrics, Elsevier, vol. 150(2), pages 297-311, June.
  90. James D. Hamilton, 2010. "Calling Recessions in Real Time," NBER Working Papers 16162, National Bureau of Economic Research, Inc.
  91. Owyang, Michael T. & Piger, Jeremy & Wall, Howard J., 2008. "A state-level analysis of the Great Moderation," Regional Science and Urban Economics, Elsevier, vol. 38(6), pages 578-589, November.
  92. Fei Chen & Francis X. Diebold & Frank Schorfheide, 2012. "A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities," NBER Working Papers 18078, National Bureau of Economic Research, Inc.
  93. Sen, Rituparna & Hsieh, Fushing, 2009. "A note on testing regime switching assumption based on recurrence times," Statistics & Probability Letters, Elsevier, vol. 79(24), pages 2443-2450, December.
  94. Chollete, Lorán & Heinen, Andréas & Valdesogo, Alfonso, 2008. "Modeling International Financial Returns with a Multivariate Regime Switching Copula," Discussion Papers 2008/3, Department of Business and Management Science, Norwegian School of Economics.
  95. Cowan, Adrian M. & Joutz, Frederick L., 2006. "An unobserved component model of asset pricing across financial markets," International Review of Financial Analysis, Elsevier, vol. 15(1), pages 86-107.
  96. Ang, Andrew & Bekaert, Geert, 2004. "The Term Structure of Real Rates and Expected Inflation," CEPR Discussion Papers 4518, C.E.P.R. Discussion Papers.
  97. Kim Chung-Han, 2000. "Balassa-Samuelson Theory and Predictability of the US/UK Real Exchange Rate," International Economic Journal, Taylor & Francis Journals, vol. 14(3), pages 101-121.
  98. Castro, Vítor, 2010. "The duration of economic expansions and recessions: More than duration dependence," Journal of Macroeconomics, Elsevier, vol. 32(1), pages 347-365, March.
  99. Chang-Jin Kim & Charles Nelson, 1999. "A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models," Discussion Papers in Economics at the University of Washington 0035, Department of Economics at the University of Washington.
  100. Kyle Bagwell & Robert W. Staiger, 1995. "Protection and the Business Cycle," NBER Working Papers 5168, National Bureau of Economic Research, Inc.
  101. Engel, C. & Kim, C.J., 1996. "The Long-Run U.S./U.K. real Exchange Rate," Discussion Papers in Economics at the University of Washington 96-14, Department of Economics at the University of Washington.
  102. Camacho, Maximo & Pérez Quirós, Gabriel, 2000. "This is what the US leading indicators lead," Working Paper Series 0027, European Central Bank.
  103. Benoît Mojon, 2007. "Monetary policy, output composition and the Great Moderation," Working Paper Series WP-07-07, Federal Reserve Bank of Chicago.
  104. Van Norden, S. & Schaller, H., 1996. "Speculative Behaviour, Regime-Switching and Stock Market Crashes," Working Papers 96-13, Bank of Canada.
  105. Pesaran, H.M. & Timmermann, A., 2003. "How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?," Cambridge Working Papers in Economics 0306, Faculty of Economics, University of Cambridge.
  106. Siregar, Reza Yamora & Goo, Siwei, 2010. "Effectiveness and commitment to inflation targeting policy: Evidence from Indonesia and Thailand," Journal of Asian Economics, Elsevier, vol. 21(2), pages 113-128, April.
  107. Kyriakos Chourdakis, 2000. "Stochastic Volatility and Jumps Driven by Continuous Time Markov Chains," Working Papers 430, Queen Mary, University of London, School of Economics and Finance.
  108. Marcel Aloy & Gilles De Truchis & Gilles Dufrénot & Benjamin Keddad, 2013. "Shift-Volatility Transmission in East Asian Equity Markets," Working Papers halshs-00935364, HAL.
  109. John C. Williams, 2006. "Robust estimation and monetary policy with unobserved structural change," Economic Review, Federal Reserve Bank of San Francisco, pages 1-16.
  110. Allan Timmermann, 1999. "Moments of Markov Switching Models," FMG Discussion Papers dp323, Financial Markets Group.
  111. Paul Romer & George Evans & Seppo Hokapohja, . "Growth Cycles," Home Pages _001, Stanford University.
  112. Ippei Fujiwara, 2004. "Evaluating Monetary Policy When Nominal Interest Rates Are Almost Zero," Econometric Society 2004 Far Eastern Meetings 620, Econometric Society.
  113. Stock, James H. & Watson, Mark W., 2014. "Estimating turning points using large data sets," Journal of Econometrics, Elsevier, vol. 178(P2), pages 368-381.
  114. Thomas J. flavin & Ekaterini Panopoulou, 2008. "Detecting shift and pure contagion in East Asian equity markets: A Unified Approach," Economics, Finance and Accounting Department Working Paper Series n1890208.pdf, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  115. Keith Sill & Jeff Wrase, 1999. "Exchange rates, monetary policy regimes, and beliefs," Working Papers 99-6, Federal Reserve Bank of Philadelphia.
  116. Allan Timmermann & Andrew Patton, 2004. "Properties of Optimal Forecasts under Asymmetric Loss and Nonlinearity," Working Papers wp04-05, Warwick Business School, Finance Group.
  117. Liu, Wen-Hsien & Chyi, Yih-Luan, 2006. "A Markov regime-switching model for the semiconductor industry cycles," Economic Modelling, Elsevier, vol. 23(4), pages 569-578, July.
  118. Vipin Arora & Pedro Gomis-Porqueras & Shuping Shi, 2011. "Testing for Explosive Behaviour in Relative Inflation Measures: Implications for Monetary Policy," Monash Economics Working Papers 37-11, Monash University, Department of Economics.
  119. Adrian pagan & Don Harding, 2006. "The Econometric Analysis of Constructed Binary Time Series. Working paper #1," NCER Working Paper Series 1, National Centre for Econometric Research.
  120. Patricia Alvarez-Plata & Mechthild Schrooten, 2006. "The Argentinean Currency Crisis: A Markov-Switching Model Estimation," The Developing Economies, Institute of Developing Economies, vol. 44(1), pages 79-91.
  121. Laurent E. Calvet & Veronika Czellar, 2011. "State-Observation Sampling and the Econometrics of Learning Models," Papers 1105.4519, arXiv.org.
  122. Ramón María-Dolores, 2001. "Asimetrías en los efectos de la política monetaria en España (1977-1996)," Investigaciones Economicas, Fundación SEPI, vol. 25(2), pages 391-415, May.
  123. Eran Guse, 2004. "Expectational Business Cycles," Money Macro and Finance (MMF) Research Group Conference 2004 97, Money Macro and Finance Research Group.
  124. Francis X. Diebold & Glenn D. Rudebusch, 1994. "Measuring Business Cycles: A Modern Perspective," NBER Working Papers 4643, National Bureau of Economic Research, Inc.
  125. Francis Y. Kumah, 2007. "A Markov-Switching Approach to Measuring Exchange Market Pressure," IMF Working Papers 07/242, International Monetary Fund.
  126. Guérin, Pierre & Maurin, Laurent & Mohr, Matthias, 2011. "Trend-cycle decomposition of output and euro area inflation forecasts: a real-time approach based on model combination," Working Paper Series 1384, European Central Bank.
  127. repec:dgr:uvatin:2003052 is not listed on IDEAS
  128. Chang-Jin Kim & Jeremy M. Piger & Richard Startz, 2004. "Estimation of Markov regime-switching regression models with endogenous switching," Working Papers 2003-015, Federal Reserve Bank of St. Louis.
  129. Wall, Howard J., 2011. "The Employment Cycles of Neighboring Cities," MPRA Paper 29410, University Library of Munich, Germany.
  130. Georgios Kouretas & Eleni Constantinou & Robert Georgiades & Avo Kazandjian, 2005. "Regime Switching and Artificial Neural Network Forecasting of the Cyprus Stock Exchange Daily Returns," Money Macro and Finance (MMF) Research Group Conference 2005 46, Money Macro and Finance Research Group.
  131. Niels Haldrup & Morten O. Nielsen, 2004. "A Regime Switching Long Memory Model for Electricity Prices," Economics Working Papers 2004-2, School of Economics and Management, University of Aarhus.
  132. Fard, Farzad Alavi & Siu, Tak Kuen, 2013. "Pricing participating products with Markov-modulated jump–diffusion process: An efficient numerical PIDE approach," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 712-721.
  133. Joanna Janczura & Rafał Weron, 2012. "Efficient estimation of Markov regime-switching models: An application to electricity spot prices," AStA Advances in Statistical Analysis, Springer, vol. 96(3), pages 385-407, July.
  134. Stephen Polasky & Aart de Zeeuw & Florian Wagener, 2010. "Optimal Management with Potential Regime Shifts," CESifo Working Paper Series 3237, CESifo Group Munich.
  135. Graflund, Andreas, 2000. "A Bayesian Inference Approach to Testing Mean Reversion in the Swedish Stock Market," Working Papers 2000:8, Lund University, Department of Economics, revised 09 Nov 2000.
  136. Dias, José G. & Ramos, Sofia B., 2013. "A core–periphery framework in stock markets of the euro zone," Economic Modelling, Elsevier, vol. 35(C), pages 320-329.
  137. Mark W. French, 2001. "Estimating changes in trend growth of total factor productivity: Kalman and H-P filters versus a Markov-switching framework," Finance and Economics Discussion Series 2001-44, Board of Governors of the Federal Reserve System (U.S.).
  138. repec:dgr:uvatin:2010111 is not listed on IDEAS
  139. Luis Fernando Melo Velandia & Martha MisasA., 2005. "Analisis Delcomportamiento De La Inflacíon Trimestral En Colombia Bajo Cambios De Regimen: Una Evidencia A Traves Del Modelo," BORRADORES DE ECONOMIA 001993, BANCO DE LA REPÚBLICA.
  140. Owyang, Michael T. & Piger, Jeremy & Wall, Howard J., 2012. "Forecasting national recessions using state-level data," MPRA Paper 39168, University Library of Munich, Germany.
  141. Cogley, Timothy, 2005. "How fast can the new economy grow? A Bayesian analysis of the evolution of trend growth," Journal of Macroeconomics, Elsevier, vol. 27(2), pages 179-207, June.
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