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Citations for "Large shocks, small shocks, and economic fluctuations: outliers in macroeconomic times series"

by Nathan S. Balke & Thomas B. Fomby

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  1. Pavel Čížek, 2013. "Reweighted least trimmed squares: an alternative to one-step estimators," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, Springer, vol. 22(3), pages 514-533, September.
  2. Grossi, Luigi & Laurini, Fabrizio, 2009. "A robust forward weighted Lagrange multiplier test for conditional heteroscedasticity," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 53(6), pages 2251-2263, April.
  3. Marian Vavra, 2013. "Testing for marginal asymmetry of weakly dependent processes," Working and Discussion Papers, Research Department, National Bank of Slovakia WP 1/2013, Research Department, National Bank of Slovakia.
  4. Charles, Amélie & Darné, Olivier, 2014. "Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–2013," Journal of Banking & Finance, Elsevier, Elsevier, vol. 43(C), pages 188-199.
  5. Franses, Ph.H.B.F. & Paap, R., 1998. "Censored latent effects autoregression, with an application to US unemployment," Econometric Institute Research Papers EI 9841, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  6. Charles, Amelie & Darne, Olivier, 2005. "Outliers and GARCH models in financial data," Economics Letters, Elsevier, Elsevier, vol. 86(3), pages 347-352, March.
  7. Olivier Darné & Amélie Charles, 2009. "Large shocks in U.S. macroeconomic time series: 1860–1988," Working Papers hal-00422502, HAL.
  8. Prasad V. Bidarkota & Brice V. Dupoyet, 2004. "The Impact of Fat Tails on Equilibrium Rates of Return and Term Premia," Working Papers 0411, Florida International University, Department of Economics.
  9. Nathan S. Balke, 1991. "Detecting level shifts in time series: misspecification and a proposed solution," Research Paper, Federal Reserve Bank of Dallas 9109, Federal Reserve Bank of Dallas.
  10. Darné, Olivier, 2009. "The uncertain unit root in real GNP: A re-examination," Journal of Macroeconomics, Elsevier, Elsevier, vol. 31(1), pages 153-166, March.
  11. M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2001. "Outliers And Conditional Autoregressive Heteroscedasticity In Time Series," Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de Estadística y Econometría ws010704, Universidad Carlos III, Departamento de Estadística y Econometría.
  12. Amélie Charles & Olivier Darné, 2014. "Volatility persistence in crude oil markets," Post-Print hal-00940312, HAL.
  13. Candelon, Bertrand & Metiu, Norbert & Straetmans, Stefan, 2013. "Disentangling economic recessions and depressions," Discussion Papers 43/2013, Deutsche Bundesbank, Research Centre.
  14. WenShwo Fang & Stephen M. Miller, 2009. "Modeling the Volatility of Real GDP Growth: The Case of Japan Revisited," Working Papers, University of Nevada, Las Vegas , Department of Economics 0904, University of Nevada, Las Vegas , Department of Economics.
  15. Van Dijk, Dick & Franses, Philip Hans & Lucas, Andre, 1999. "Testing for Smooth Transition Nonlinearity in the Presence of Outliers," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 17(2), pages 217-35, April.
  16. WenShwo Fang & Stephen M. Miller, 2014. "Output Growth and its Volatility: The Gold Standard through the Great Moderation," Southern Economic Journal, Southern Economic Association, vol. 80(3), pages 728-751, January.
  17. Tokat, Yesim & Rachev, Svetlozar T. & Schwartz, Eduardo S., 2003. "The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 27(6), pages 937-969, April.
  18. PREMINGER, Arie & FRANCK, Raphael, 2005. "Forecasting exchange rates: a robust regression approach," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2005025, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  19. Mills, Terence C., 1995. "Business cycle asymmetries and non-linearities in U.K. macroeconomic time series," Ricerche Economiche, Elsevier, Elsevier, vol. 49(2), pages 97-124, June.
  20. PREMINGER, Arie & SAKATA, Shinichi, 2005. "A model selection method for S-estimation," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2005073, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  21. Macdonald, Ryan, 2007. "Estimating TFP in the Presence of Outliers and Leverage Points: An Examination of the KLEMS Dataset," Economic Analysis (EA) Research Paper Series 2007047e, Statistics Canada, Analytical Studies Branch.
  22. Darne, Olivier & Diebolt, Claude, 2004. "Unit roots and infrequent large shocks: new international evidence on output," Journal of Monetary Economics, Elsevier, Elsevier, vol. 51(7), pages 1449-1465, October.
  23. Hina, Hafsa & Qayyum, Abdul, 2013. "Estimation of Keynesian Exchange Rate Model of Pakistan by Considering Critical Events and Multiple Cointegrating Vectors," MPRA Paper 52611, University Library of Munich, Germany.
  24. Lee, Jim, 1996. "Testing for a unit root in time series with trend breaks," Journal of Macroeconomics, Elsevier, Elsevier, vol. 18(3), pages 503-519.
  25. Cizek, P., 2006. "Efficient Robust Estimation of Regression Models (Replaced by DP 2007-87)," Discussion Paper, Tilburg University, Center for Economic Research 2006-8, Tilburg University, Center for Economic Research.
  26. Mohamed Ali Houfi & Ghassen El Montasser, 2010. "Effets des points aberrants sur les tests de normalité et de linéarité. Applications à la bourse de Tokyo," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 13(36), pages 15-51, June.
  27. M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2004. "Spurious And Hidden Volatility," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) 2004-45, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  28. Prasad Bidarkota & Khurshid M. Kiani, 2003. "On Business Cycle Asymmetries in G7 Countries," Working Papers 0308, Florida International University, Department of Economics.
  29. Charles, Amélie & Darné, Olivier, 2012. "Trends and random walks in macroeconomic time series: A reappraisal," Journal of Macroeconomics, Elsevier, Elsevier, vol. 34(1), pages 167-180.
  30. Skalin, Joakim & Teräsvirta, Timo, 1996. "Another Look at Swedish Business Cycles, 1861-1988," Working Paper Series in Economics and Finance 130, Stockholm School of Economics.
  31. Charles, Amelie & Darne, Olivier, 2006. "Large shocks and the September 11th terrorist attacks on international stock markets," Economic Modelling, Elsevier, Elsevier, vol. 23(4), pages 683-698, July.
  32. Amélie Charles & Olivier Darné & Laurent Ferrara, 2014. "Does the Great Recession imply the end of the Great Moderation? International evidence," EconomiX Working Papers 2014-21, University of Paris West - Nanterre la Défense, EconomiX.
  33. Zhiguang Wang & Prasad V. Bidarkota, 2008. "A Long-Run Risks Model of Asset Pricing with Fat Tails," Working Papers 0810, Florida International University, Department of Economics.
  34. Khurshid M. Kiani, 2009. "Asymmetries in Macroeconomic Time Series in Eleven Asian Economies," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 8(1), pages 37-54, April.
  35. Ester Ruiz & Fernando Lorenzo, 1998. "The relation between the level and uncertainty of inflation," Documentos de Trabajo (working papers), Department of Economics - dECON 0698, Department of Economics - dECON.
  36. E. Ruiz & M.A. Carnero & D. Pereira, 2004. "Effects of Level Outliers on the Identification and Estimation of GARCH Models," Econometric Society 2004 Australasian Meetings 21, Econometric Society.
  37. Cízek, Pavel, 2011. "Semiparametrically weighted robust estimation of regression models," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 55(1), pages 774-788, January.
  38. Khurshid Kiani, 2005. "Detecting Business Cycle Asymmetries Using Artificial Neural Networks and Time Series Models," Computational Economics, Society for Computational Economics, Society for Computational Economics, vol. 26(1), pages 65-89, August.
  39. Reese, Simon & Li, Yushu, 2013. "Testing for Structural Breaks in the Presence of Data Perturbations: Impacts and Wavelet Based Improvements," Working Papers, Lund University, Department of Economics 2013:36, Lund University, Department of Economics.
  40. Pedersen, Torben Mark & Elmer, Anne Marie, 2003. "International evidence on the connection between business cycles and economic growth," Journal of Macroeconomics, Elsevier, Elsevier, vol. 25(2), pages 255-275, June.
  41. João Paulo Martin Faleiros & Denisard Cnéio de Oliveira Alves, 2006. "Não Linearidade Nos Ciclos De Negócios: Modelo Auto-Regressivo “Smooth Transition” Para O Índice Geral De Produção Industrial Brasileiro E Bens De Capital," Anais do XXXIV Encontro Nacional de Economia [Proceedings of the 34th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of G 10, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  42. Kyrtsou, Catherine & Malliaris, Anastasios G., 2009. "The impact of information signals on market prices when agents have non-linear trading rules," Economic Modelling, Elsevier, Elsevier, vol. 26(1), pages 167-176, January.
  43. F. Javier Trivez & Beatriz Catalan, 2009. "Detecting level shifts in ARMA-GARCH (1,1) Models," Journal of Applied Statistics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 36(6), pages 679-697.
  44. Macdonald, Ryan, 2008. "An Examination of Public Capital's Role in Production," Economic Analysis (EA) Research Paper Series 2008050e, Statistics Canada, Analytical Studies Branch.
  45. Pavel Cizek & Wolfgang Härdle, 2006. "Robust Econometrics," SFB 649 Discussion Papers SFB649DP2006-050, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.