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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. Thomas Flavin & Ekaterini Panopoulou, 2007. "International Portfolio Diversification and Market Linkages in the presence of regime-switching volatility," Money Macro and Finance (MMF) Research Group Conference 2006 150, Money Macro and Finance Research Group.
  2. Amato, Amedeo & Tronzano, Marco, 2000. "Fiscal policy, debt management and exchange rate credibility: Lessons from the recent Italian experience," Journal of Banking & Finance, Elsevier, vol. 24(6), pages 921-943, June.
  3. Li, Shuyun May & Dressler, Scott, 2011. "Business cycle asymmetry via occasionally binding international borrowing constraints," Journal of Macroeconomics, Elsevier, vol. 33(1), pages 33-41, March.
  4. Afonso, António & Toffano, Priscilla, 2013. "Fiscal regimes in the EU," Working Paper Series 1529, European Central Bank.
  5. Owyang, Michael T. & Rapach, David E. & Wall, Howard J., 2009. "States and the business cycle," Journal of Urban Economics, Elsevier, vol. 65(2), pages 181-194, March.
  6. Koopman, S.J. & Franses, Ph.H.B.F., 2001. "Constructing seasonally adjusted data with time-varying confidence intervals," Econometric Institute Research Papers EI 2001-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  7. Nilsson, Birger, 2002. "Financial Liberalization and the Changing Characteristics of Nordic Stock Returns," Working Papers 2002:4, Lund University, Department of Economics.
  8. Mark J.Holmes, 2002. "Are there non linearities in US: Latin American real exchange behavior," Estudios de Economia, University of Chile, Department of Economics, vol. 29(2 Year 20), pages 177-190, December.
  9. Djuric, Ivan & Gotz, Linde & Glauben, Thomas, 2012. "Global commodity price peaks and governmental interventions: The case of the wheat-to-bread supply chain in Serbia – Did consumers really benefit?," 52nd Annual Conference, Stuttgart, Germany, September 26-28, 2012 133023, German Association of Agricultural Economists (GEWISOLA).
  10. Bauwens, Luc & Rombouts, Jeroen V.K., 2012. "On marginal likelihood computation in change-point models," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3415-3429.
  11. Anindya Banerjee & Robin L. Lumsdaine & James H. Stock, 1990. "Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence," NBER Working Papers 3510, National Bureau of Economic Research, Inc.
  12. Assenmacher-Wesche, Katrin, 2006. "Estimating Central Banks' preferences from a time-varying empirical reaction function," European Economic Review, Elsevier, vol. 50(8), pages 1951-1974, November.
  13. Kanas, Angelos, 2008. "On real interest rate dynamics and regime switching," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2089-2098, October.
  14. Issler, João Victor & Vahid, Farshid, 2002. "The Missing Link: Using the NBER Recession Indicator to Construct Coincident and Leading Indices of Economic Activity," Economics Working Papers (Ensaios Economicos da EPGE) 450, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  15. Alessandro Rossi & Giampiero M. Gallo, 2002. "Volatility Estimation via Hidden Markov Models," Econometrics Working Papers Archive wp2002_14, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  16. Jacob Boudoukh & Matthew Richardson & Tom Smith & Robert Whitelaw, 1999. "Regime Shifts and Bond Returns," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-010, New York University, Leonard N. Stern School of Business-.
  17. Mike Artis & Hans-Martin Krolzig & Juan Toro, 2002. "The European Business Cycle," Economic Working Papers at Centro de Estudios Andaluces E2002/19, Centro de Estudios Andaluces.
  18. Michael T. Owyang & Jeremy Piger & Howard J. Wall & Federal Reserve Bank of St. Louis, 2006. "A State-Level Analysis of the Great Moderation," Computing in Economics and Finance 2006 131, Society for Computational Economics.
  19. 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.
  20. Bulla, Jan, 2009. "Hidden Markov models with t components. Increased persistence and other aspects," MPRA Paper 21830, University Library of Munich, Germany.
  21. Kim, Chang-Jin & Piger, Jeremy, 2002. "Common stochastic trends, common cycles, and asymmetry in economic fluctuations," Journal of Monetary Economics, Elsevier, vol. 49(6), pages 1189-1211, September.
  22. Christian Jochum, 2001. "Is the covariance of international stock market returns regime dependent?," The European Journal of Finance, Taylor & Francis Journals, vol. 7(3), pages 247-268.
  23. Chen, Shyh-Wei, 2007. "Measuring business cycle turning points in Japan with the Markov Switching Panel model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 76(4), pages 263-270.
  24. Chen, Shiu-Sheng, 2012. "Revisiting the empirical linkages between stock returns and trading volume," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1781-1788.
  25. Foerster, Andrew & Rubio-Ramírez, Juan & Waggoner, Daniel F. & Zha, Tao, 2013. "Perturbation methods for Markov-switching DSGE models," Working Paper 2013-01, Federal Reserve Bank of Atlanta.
  26. Nektarios Aslanidis & George Kouretas, 2003. "Testing for two-regime threshold cointegration in the parallel and official markets for foreign currency in Greece," Working Papers 0311, University of Crete, Department of Economics.
  27. Dufrénot, Gilles & Mignon, Valérie & Péguin-Feissolle, Anne, 2011. "The effects of the subprime crisis on the Latin American financial markets: An empirical assessment," Economic Modelling, Elsevier, vol. 28(5), pages 2342-2357, September.
  28. Mark W. French, 2005. "A nonlinear look at trend MFP growth and the business cycle: result from a hybrid Kalman/Markov switching model," Finance and Economics Discussion Series 2005-12, Board of Governors of the Federal Reserve System (U.S.).
  29. Bartholomew Moore & Louis J Maccini & Huntley Schaller, 2002. "The Interest Rate Learning and Inventory Investment," Economics Working Paper Archive 512, The Johns Hopkins University,Department of Economics, revised Apr 2004.
  30. Pesaran, M. Hashem & Timmermann, Allan, 2009. "Testing Dependence Among Serially Correlated Multicategory Variables," Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 325-337.
  31. Sylvia Kaufmann, 2002. "Asymmetries in Bank Lending Behaviour. - Austria During the 1990s," Working Papers 56, Oesterreichische Nationalbank (Austrian Central Bank).
  32. Howard J. Wall, 2006. "Regional business cycle phases in Japan," Working Papers 2006-053, Federal Reserve Bank of St. Louis.
  33. Michael T. Owyang & Jeremy M. Piger & Howard J. Wall, 2012. "Forecasting national recessions using state level data," Working Papers 2012-013, Federal Reserve Bank of St. Louis.
  34. Giordani, Paolo & Kohn, Robert & van Dijk, Dick, 2007. "A unified approach to nonlinearity, structural change, and outliers," Journal of Econometrics, Elsevier, vol. 137(1), pages 112-133, March.
  35. Kholodilin, Konstantin A. & Yao, Vincent W., 2005. "Measuring and predicting turning points using a dynamic bi-factor model," International Journal of Forecasting, Elsevier, vol. 21(3), pages 525-537.
  36. 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.
  37. Chevallier, Julien, 2011. "A model of carbon price interactions with macroeconomic and energy dynamics," Economics Papers from University Paris Dauphine 123456789/6969, Paris Dauphine University.
  38. Adrian R. Pagan & Kirill A. Sossounov, 2003. "A simple framework for analysing bull and bear markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 23-46.
  39. Michał Rubaszek & Paweł Skrzypczyński & Grzegorz Koloch, 2010. "Forecasting the Polish Zloty with Non-Linear Models," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 2(2), pages 151-167, March.
  40. Siddhartha Chib & Michael J. Dueker, 2004. "Non-Markovian regime switching with endogenous states and time-varying state strengths," Working Papers 2004-030, Federal Reserve Bank of St. Louis.
  41. Shyh-Wei Chen & Mei-Rong Lin & Chung-Hua Shen, 2008. "Common wave behavior for mergers and acquisitions in OECD countries? a unique analysis using new Markov switching panel model approach," Economics Bulletin, AccessEcon, vol. 7(8), pages 1-12.
  42. Bloom, David E & Canning, David & Sevilla, Jaypee, 2003. " Geography and Poverty Traps," Journal of Economic Growth, Springer, vol. 8(4), pages 355-78, December.
  43. Gilles Dufrénot & Benjamin Keddad, 2013. "Business Cycles Synchronization in East Asia: A Markov-Switching Approach," AMSE Working Papers 1344, Aix-Marseille School of Economics, Marseille, France, revised Sep 2013.
  44. Owyang, Michael T. & Piger, Jeremy & Wall, Howard J., 2010. "Discordant city employment cycles," MPRA Paper 30757, University Library of Munich, Germany.
  45. Dufrénot, Gilles & Malik, Sheheryar, 2012. "The changing role of house price dynamics over the business cycle," Economic Modelling, Elsevier, vol. 29(5), pages 1960-1967.
  46. Steven Cook & Alan Speight, 2006. "International Business Cycle Asymmetry and Time Irreversible Nonlinearities," Journal of Applied Statistics, Taylor & Francis Journals, vol. 33(10), pages 1051-1065.
  47. Graflund, Andreas & Nilsson, Birger, 2002. "Dynamic Portfolio Selection: The Relevance of Switching Regimes and Investment Horizon," Working Papers 2002:8, Lund University, Department of Economics.
  48. Thomas Sargent & Noah Williams & Tao Zha, 2006. "The conquest of South American inflation," Working Paper 2006-20, Federal Reserve Bank of Atlanta.
  49. Alex Nikolsko-Rzhevskyy & David Papell & Ruxandra Prodan, 2013. "(Taylor) Rules versus Discretion in U.S. Monetary Policy," Working Papers 2013-198-44, Department of Economics, University of Houston.
  50. Troy Davig & Eric M. Leeper, 2005. "Generalizing the Taylor Principle," NBER Working Papers 11874, National Bureau of Economic Research, Inc.
  51. 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.
  52. Anil Bangia & Francis X. Diebold & Til Schuermann, 2000. "Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing," Center for Financial Institutions Working Papers 00-26, Wharton School Center for Financial Institutions, University of Pennsylvania.
  53. Carol Alexander & Alexander Rubinov & Markus Kalepky & Stamatis Leontsinis, 2010. "Regime-Dependent Smile-Adjusted Delta Hedging," ICMA Centre Discussion Papers in Finance icma-dp2010-10, Henley Business School, Reading University.
  54. Pedersen, Torben Mark & Elmer, Anne Marie, 2003. "International evidence on the connection between business cycles and economic growth," Journal of Macroeconomics, Elsevier, vol. 25(2), pages 255-275, June.
  55. Frode Brevik & Stefano d'Addona, 2005. "Information Quality and Stock Returns Revisited," University of St. Gallen Department of Economics working paper series 2005 2005-24, Department of Economics, University of St. Gallen.
  56. Mathieu Gatumel & Florian Ielpo, 2011. "The Number of Regimes Across Asset Returns: Identification and Economic Value," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00658540, HAL.
  57. Alain Monfort & Olivier Féron, 2011. "Joint Econometric Modeling of Spot Electricity Prices, Forwards and Options," Working Papers 2011-12, Centre de Recherche en Economie et Statistique.
  58. Angelos Kanas & Georgios Tsiotas, 2005. "Real interest rates linkages between the USA and the UK in the postwar period," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(3), pages 251-262.
  59. Bollen, Nicolas P. B. & Gray, Stephen F. & Whaley, Robert E., 2000. "Regime switching in foreign exchange rates: Evidence from currency option prices," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 239-276.
  60. Stefan Reitz, 2005. "Central Bank Intervention and Heterogeneous Exchange Rate Expectations: Evidence from the Daily DEM/US-Dollar Exchange Rate," Open Economies Review, Springer, vol. 16(1), pages 33-50, January.
  61. Beckmann, Joscha & Czudaj, Robert, 2013. "Is there a homogeneous causality pattern between oil prices and currencies of oil importers and exporters?," Energy Economics, Elsevier, vol. 40(C), pages 665-678.
  62. Francq, Christian & Makarova, Svetlana & Zakoi[diaeresis]an, Jean-Michel, 2008. "A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test," Journal of Econometrics, Elsevier, vol. 142(1), pages 312-326, January.
  63. Manzan, S. & Zerom, D., 2005. "A Multi-Step Forecast Density," CeNDEF Working Papers 05-05, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  64. Naifar, Nader, 2011. "What explains default risk premium during the financial crisis? Evidence from Japan," Journal of Economics and Business, Elsevier, vol. 63(5), pages 412-430, September.
  65. Candelon, Bertrand & Lieb, Lenard, 2013. "Fiscal policy in good and bad times," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2679-2694.
  66. Trabelsi, Emna, 2010. "Does asymmetric information play a role in explaining the Asian currency crisis? Application to Indonesian and Malaysian cases using a two-state Markov Switching model," MPRA Paper 26785, University Library of Munich, Germany.
  67. Holmes, Mark J. & Maghrebi, Nabil, 2008. "Is there a connection between monetary unification and real economic integration? Evidence from regime-switching stationarity tests," Journal of International Money and Finance, Elsevier, vol. 27(6), pages 958-970, October.
  68. Lin, Shih-Kuei & Lin, Chien-Hsiu & Chuang, Ming-Che & Chou, Chia-Yu, 2014. "A recursive formula for a participating contract embedding a surrender option under regime-switching model with jump risks: Evidence from stock indices," Economic Modelling, Elsevier, vol. 38(C), pages 341-350.
  69. 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.
  70. C R Birchenhall & D R Osborn & M Sensier, 2000. "Predicting UK Business Cycle Regimes," Centre for Growth and Business Cycle Research Discussion Paper Series 02, Economics, The Univeristy of Manchester.
  71. Marianne Sensier, 2003. "Inventories and asymmetric business cycle fluctuations in the UK: a structural approach," Applied Economics, Taylor & Francis Journals, vol. 35(4), pages 387-402.
  72. S.G. Cecchetti & P. Lam & N.C. Mark, 2010. "The equity premium and the risk-free rate: matching the moments," Levine's Working Paper Archive 1396, David K. Levine.
  73. Shyh-Wei Chen & Chung-Hua Shen, 2006. "Is there a duration dependence in Taiwan's business cycles?," International Economic Journal, Taylor & Francis Journals, vol. 20(1), pages 109-128.
  74. Garey Ramey & Valerie A. Ramey, 1994. "Cross-Country Evidence on the Link Between Volatility and Growth," NBER Working Papers 4959, National Bureau of Economic Research, Inc.
  75. Denise R. Osborn & Paul W. Simpson, 2000. "Forecasting UK Industrial Production Over the Business Cycle," Econometric Society World Congress 2000 Contributed Papers 1059, Econometric Society.
  76. Matthieu Droumaguet & Tomasz Wozniak, 2012. "Bayesian Testing of Granger Causality in Markov-Switching VARs," Economics Working Papers ECO2012/06, European University Institute.
  77. Fabio Fornari, 1993. "Estimating variability in the Italian stock market: An ARCH approach," Open Economies Review, Springer, vol. 4(4), pages 403-423, December.
  78. Nneji, Ogonna & Brooks, Chris & Ward, Charles W.R., 2013. "House price dynamics and their reaction to macroeconomic changes," Economic Modelling, Elsevier, vol. 32(C), pages 172-178.
  79. Sullivan, Ryan & Timmermann, Allan & White, Halbert, 2003. "Forecast evaluation with shared data sets," International Journal of Forecasting, Elsevier, vol. 19(2), pages 217-227.
  80. Dengta CHEN & Yinggang ZHOU, 2004. "Rational Panics, Absorbing Regime Switching and Stock Market," Econometric Society 2004 Far Eastern Meetings 680, Econometric Society.
  81. Gabriella Legrenzi & Costas Milas, 2005. "Non-linear real exchange rate effects in the UK labour market," Keele Economics Research Papers KERP 2005/08, Centre for Economic Research, Keele University.
  82. Massimo Costabile & Arturo Leccadito & Ivar Massabó & Emilio Russo, 2014. "A reduced lattice model for option pricing under regime-switching," Review of Quantitative Finance and Accounting, Springer, vol. 42(4), pages 667-690, May.
  83. Perron, Pierre, 1992. "Racines unitaires en macroéconomie : le cas d’une variable," L'Actualité Economique, Société Canadienne de Science Economique, vol. 68(1), pages 325-356, mars et j.
  84. Giorgio Canarella & WenShwo Fang & Stephen M. Miller & Stephen K. Pollard, 2008. "Is the Great Moderation Ending? UK and US Evidence," Working Papers 0801, University of Nevada, Las Vegas , Department of Economics.
  85. Tim Besley & Thiemo Fetzer & Hannes Mueller, 2012. "One Kind of Lawlessness: Estimating the Welfare Cost of Somali Piracy," Working Papers 626, Barcelona Graduate School of Economics.
  86. Pontines, Victor & Siregar, Reza, 2008. "Fundamental pitfalls of exchange market pressure-based approaches to identification of currency crises," International Review of Economics & Finance, Elsevier, vol. 17(3), pages 345-365.
  87. Sharon Kozicki & Peter A. Tinsley, . "Moving Endpoints in Macrofinance," Computing in Economics and Finance 1996 _058, Society for Computational Economics.
  88. Michael T. Owyang & Jeremy M. Piger & Howard J. Wall, 2005. "The 2001 recession and the states of the Eighth Federal Reserve District," Regional Economic Development, Federal Reserve Bank of St. Louis, issue Nov, pages 3-16.
  89. Massimo Guidolin & Giovanna Nicodano, 2005. "Small Caps in International Equity Portfolios: The Effects of Variance Risk," CeRP Working Papers 41, Center for Research on Pensions and Welfare Policies, Turin (Italy).
  90. Don U.A. Galagedera & Roland Shami, 2003. "Association between Markov regime-switching market volatility and beta risk: Evidence from Dow Jones industrial securities," Monash Econometrics and Business Statistics Working Papers 20/03, Monash University, Department of Econometrics and Business Statistics.
  91. Francesco Bianchi & Leonardo Melosi, 2013. "Dormant Shocks and Fiscal Virtue," NBER Chapters, in: NBER Macroeconomics Annual 2013, Volume 28, pages 1-46 National Bureau of Economic Research, Inc.
  92. 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.
  93. Fabrice Hervé, 2006. "Les fonds de pension protègent-ils les investisseurs des évolutions du marché?," Working Papers CREGO 1060101, Université de Bourgogne - CREGO EA7317 Centre de recherches en gestion des organisations.
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  95. Bidarkota, Prasad V., 2006. "On The Economic Impact Of Modeling Nonlinearities: The Asset Pricing Example," Macroeconomic Dynamics, Cambridge University Press, vol. 10(01), pages 56-76, February.
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  97. Michael T. Owyang, 2002. "Modeling Volcker as a non-absorbing state: agnostic identification of a Markov-switching VAR," Working Papers 2002-018, Federal Reserve Bank of St. Louis.
  98. Laurent Calvet & Adlai Fisher, 2003. "Regime-Switching and the Estimation of Multifractal Processes," Harvard Institute of Economic Research Working Papers 1999, Harvard - Institute of Economic Research.
  99. Paul Castillo & Alberto Humala & Vicente Tuesta, 2007. "Monetary Policy, Regime Shifts, and Inflation Uncertainty in Peru (1949-2006)," Working Papers 2007-005, Banco Central de Reserva del Perú.
  100. Stefano d'Addona & Ilaria Musumeci, 2012. "The British opt-out from the European Monetary Union: empirical evidence from monetary policy rules," CEIS Research Paper 225, Tor Vergata University, CEIS, revised 26 Mar 2012.
  101. Claessens, Stijn & Kose, Ayhan & Terrones, Marco E., 2008. "What Happens During Recessions, Crunches and Busts?," CEPR Discussion Papers 7085, C.E.P.R. Discussion Papers.
  102. Luca Agnello & Vitor Castro & Ricardo M. Sousa, 2011. "How Does Fiscal Policy React to Wealth Composition and Asset Prices?," GEMF Working Papers 2011-18, GEMF - Faculdade de Economia, Universidade de Coimbra.
  103. Bohl, Martin T. & Brzeszczynski, Janusz & Wilfling, Bernd, 2009. "Institutional investors and stock returns volatility: Empirical evidence from a natural experiment," Journal of Financial Stability, Elsevier, vol. 5(2), pages 170-182, June.
  104. P. Ruben Mercado, 2001. "Macroeconomic Volatility during Argentina's Import Substitution Stage," International Review of Applied Economics, Taylor & Francis Journals, vol. 15(2), pages 151-161.
  105. Bertrand Candelon & Jameel Ahmed & Stefan Straetmans, 2014. "Predicting and Capitalizing on Stock Market Bears in the U.S," Working Papers 2014-409, Department of Research, Ipag Business School.
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  108. Chang-Jin Kim & James Morley & Jeremy Piger, 2003. "Nonlinearity and the permanent effects of recessions," Working Papers 2002-014, Federal Reserve Bank of St. Louis.
  109. William Barnett & Marcelle Chauvetz & Danilo Leiva-Leonx, . "Real-Time Nowcasting Nominal GDP Under Structural Break," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201313, University of Kansas, Department of Economics.
  110. Inoue, Tomoo & Okimoto, Tatsuyoshi, 2008. "Were there structural breaks in the effects of Japanese monetary policy? Re-evaluating policy effects of the lost decade," Journal of the Japanese and International Economies, Elsevier, vol. 22(3), pages 320-342, September.
  111. McKay, Alisdair & Reis, Ricardo, 2006. "The Brevity and Violence of Contractions and Expansions," CEPR Discussion Papers 5756, C.E.P.R. Discussion Papers.
  112. Li, Ming-Yuan Leon, 2009. "Could the jump diffusion technique enhance the effectiveness of futures hedging models?," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(10), pages 3076-3088.
  113. Smith, Aaron & Naik, Prasad A. & Tsai, Chih-Ling, 2006. "Markov-switching model selection using Kullback-Leibler divergence," Journal of Econometrics, Elsevier, vol. 134(2), pages 553-577, October.
  114. Roger E.A. Farmer & Daniel F. Waggoner & Tao Zha, 2009. "Understanding Markov-switching rational expectations models," Working Paper 2009-05, Federal Reserve Bank of Atlanta.
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  120. Guidolin, Massimo & Timmermann, Allan, 2007. "Asset allocation under multivariate regime switching," Journal of Economic Dynamics and Control, Elsevier, vol. 31(11), pages 3503-3544, November.
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  123. Chen, Shiu-Sheng, 2011. "Lack of consumer confidence and stock returns," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 225-236, March.
  124. D R Osborn & M Sensier, 2002. "The Prediction of Business Cycle Phases: Financial Variables and International Linkages," Centre for Growth and Business Cycle Research Discussion Paper Series 15, Economics, The Univeristy of Manchester.
  125. Michel van der Wel & Albert Menkveld & Asani Sarkar, 2009. "Are Market Makers Uninformed and Passive? Signing Trades in The Absence of Quotes," Tinbergen Institute Discussion Papers 09-046/3, Tinbergen Institute.
  126. Roberto Tatiwa Ferreira & Luiz Ivan de Melo Castelar, 2005. "Forecasting Quarterly Brazilian Gdp Growth Rate With Linear And Nonlinear Diffusion Index Models," Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33th Brazilian Economics Meeting] 029, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  127. Johannes Hauptmann & Anja Hoppenkamps & Aleksey Min & Franz Ramsauer & Rudi Zagst, 2014. "Forecasting market turbulence using regime-switching models," Financial Markets and Portfolio Management, Springer, vol. 28(2), pages 139-164, May.
  128. Ehrmann , Michael & Ellison, Martin & Valla, Natacha, 2001. "Regime-dependent impulse response functions in a Markov-switching vector autoregression model," Research Discussion Papers 11/2001, Bank of Finland.
  129. 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.
  130. Olivier Darné & Laurent Ferrara, 2011. "Identification of Slowdowns and Accelerations for the Euro Area Economy," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 73(3), pages 335-364, 06.
  131. Francis X. Diebold & Atsushi Inoue, 2000. "Long Memory and Regime Switching," NBER Technical Working Papers 0264, National Bureau of Economic Research, Inc.
  132. Serena Ng & Jonathan H. Wright, 2013. "Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling," NBER Working Papers 19469, National Bureau of Economic Research, Inc.
  133. 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.
  134. Taamouti, Abderrahim, 2009. "Analytical Value-at-Risk and Expected Shortfall under regime-switching," Finance Research Letters, Elsevier, vol. 6(3), pages 138-151, September.
  135. Marie Bessec & François-Mathieu Robineau, 2003. "Comportements chartistes et fondamentalistes. Coexistence ou domination alternative sur le marché des changes?," Revue économique, Presses de Sciences-Po, vol. 54(6), pages 1213-1238.
  136. John M Maheu & Thomas H McCurdy & Yong Song, 2010. "Components of bull and bear markets: bull corrections and bear rallies," Working Papers tecipa-402, University of Toronto, Department of Economics.
  137. Chan Huh, 1998. "Forecasting industrial production using models with business cycle asymmetry," Economic Review, Federal Reserve Bank of San Francisco, pages 29-41.
  138. Makram El-Shagi & Tobias Knedlik & Gregor von Schweinitz, 2012. "Predicting Financial Crises: The (Statistical) Significance of the Signals Approach," IWH Discussion Papers 3, Halle Institute for Economic Research.
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