Advanced Search
MyIDEAS: Login

Citations for "Business Cycle Durations"

by Gordon, S.F. & Filardo, A.J.

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window
  1. Gary Koop, 2004. "Modeling the Evolution of Distributions: An Application to Major League Baseball," ESE Discussion Papers 71, Edinburgh School of Economics, University of Edinburgh.
  2. Paroli, Roberta & Spezia, Luigi, 2008. "Bayesian inference in non-homogeneous Markov mixtures of periodic autoregressions with state-dependent exogenous variables," Computational Statistics & Data Analysis, Elsevier, vol. 52(5), pages 2311-2330, January.
  3. Pierre L Siklos, 2013. "Forecast disagreement and the anchoring of inflation expectations in the Asia-Pacific Region," BIS Papers chapters, in: Bank for International Settlements (ed.), Globalisation and inflation dynamics in Asia and the Pacific, volume 70, pages 25-40 Bank for International Settlements.
  4. Gadea Rivas, Maria Dolores & Pérez-Quirós, Gabriel, 2012. "The failure to predict the Great Recession. The failure of academic economics? A view focusing on the role of credit," CEPR Discussion Papers 9269, C.E.P.R. Discussion Papers.
  5. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2012. "Was the Recent Downturn in US GDP Predictable?," Working Papers 1210, University of Nevada, Las Vegas , Department of Economics.
  6. Wai Mun Fong & Kim Hock See, 2003. "Basis variations and regime shifts in the oil futures market," The European Journal of Finance, Taylor & Francis Journals, vol. 9(5), pages 499-513.
  7. 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.
  8. Aloui, Chaker & Jammazi, Rania, 2009. "The effects of crude oil shocks on stock market shifts behaviour: A regime switching approach," Energy Economics, Elsevier, vol. 31(5), pages 789-799, September.
  9. Michael P. Clements & Hans-Martin Krolzig, 2004. "Can regime-switching models reproduce the business cycle features of US aggregate consumption, investment and output?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(1), pages 1-14.
  10. Erlandsson, Ulf, 2005. "Transition Variables in the Markov-switching Model: Some Small Sample Properties," Working Papers 2005:25, Lund University, Department of Economics.
  11. Everts, Martin, 2006. "Duration of Business Cycles," MPRA Paper 1219, University Library of Munich, Germany.
  12. Fulbert Tchana Tchana, 2009. "The Empirics of Banking Regulation," Working Papers 128, Economic Research Southern Africa.
  13. Michael T. Owyang & Abbigail Chiodo, 2002. "Duration dependence in monetary policy: international evidence," Working Papers 2002-021, Federal Reserve Bank of St. Louis.
  14. Magali Marx & Jean Barthelemy, 2013. "State-Dependent Probability Distributions in Non Linear Rational Expectations Models," 2013 Meeting Papers 576, Society for Economic Dynamics.
  15. 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.
  16. Michael Dueker, 2004. "Non-Markovian Regime Switching with Endogenous States and Time-Varying State Strengths," Econometric Society 2004 Latin American Meetings 34, Econometric Society.
  17. Uctum, Remzi, 2007. "Économétrie des modèles à changement de régimes : un essai de synthèse," L'Actualité Economique, Société Canadienne de Science Economique, vol. 83(4), pages 447-482, décembre.
  18. 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.
  19. repec:onb:oenbwp:y::i:144:b:1 is not listed on IDEAS
  20. 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.
  21. Ghent, Andra C. & Owyang, Michael T., 2010. "Is housing the business cycle? Evidence from US cities," Journal of Urban Economics, Elsevier, vol. 67(3), pages 336-351, May.
  22. Piergiorgio Alessandri & Haroon Mumtaz, 2013. "Financial conditions and density forecasts for US Output and inflation," Joint Research Papers 4, Centre for Central Banking Studies, Bank of England.
  23. John M. Maheu & Thomas H. McCurdy, 2002. "Nonlinear Features of Realized FX Volatility," The Review of Economics and Statistics, MIT Press, vol. 84(4), pages 668-681, November.
  24. Robert Gagné & Simon van Norden & Bruno Versaevel, 2003. "Testing Optimal Punishment Mechanisms Under Price Regulation: the Case of the Retail Market for Gasoline," CIRANO Working Papers 2003s-57, CIRANO.
  25. Smith, Aaron D., 2004. "Level Shifts and the Illusion of Long Memory in Economic Time Series," Working Papers 11974, University of California, Davis, Department of Agricultural and Resource Economics.
  26. Huseyin Kaya, 2013. "On the Predictive Power of Yield Spread for Future Growth and Recession: The Turkish Case," Working Papers 010, Bahcesehir University, Betam, revised Mar 2013.
  27. 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.
  28. Penelope A. Smith & Peter M. Summers, 2004. "How Well Do Markov Switching Models Describe Actual Business Cycles? The Case of Synchronization," Melbourne Institute Working Paper Series wp2004n09, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  29. David N. DeJong & Hariharan Dharmarajan & Roman Liesenfeld & Jean-Francois Richard, 2008. "Exploiting Non-Linearities in GDP Growth for Forecasting and Anticipating Regime Changes," Working Papers 367, University of Pittsburgh, Department of Economics, revised Sep 2008.
  30. Layton, Allan P. & Smith, Daniel R., 2007. "Business cycle dynamics with duration dependence and leading indicators," Journal of Macroeconomics, Elsevier, vol. 29(4), pages 855-875, December.
  31. Engemann, Kristie M. & Kliesen, Kevin L. & Owyang, Michael T., 2011. "Do Oil Shocks Drive Business Cycles? Some U.S. And International Evidence," Macroeconomic Dynamics, Cambridge University Press, vol. 15(S3), pages 498-517, November.
  32. E. Andersson & D. Bock & M. Frisen, 2006. "Some statistical aspects of methods for detection of turning points in business cycles," Journal of Applied Statistics, Taylor & Francis Journals, vol. 33(3), pages 257-278.
  33. Alex Mandilaras & Graham Bird, 2007. "Foreign exchange markets in south-east Asia 1990-2004: An empirical analysis of spillovers during crisis and non-crisis periods," Money Macro and Finance (MMF) Research Group Conference 2006 40, Money Macro and Finance Research Group.
  34. Martha Misas & María Teresa Ramírez, . "Colombian economic growth under Markov switching regimes with endogenous transition probabilities," Borradores de Economia 425, Banco de la Republica de Colombia.
  35. Vansteenkiste, Isabel, 2011. "What is driving oil futures prices? Fundamentals versus speculation," Working Paper Series 1371, European Central Bank.
  36. 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.
  37. 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.
  38. Avouyi-Dovi, S. & Idier, J., 2010. "Central bank liquidity and market liquidity: the role of collateral provision on the French government debt securities market," Working papers 278, Banque de France.
  39. Philippe J. Deschamps, 2008. "Comparing smooth transition and Markov switching autoregressive models of US unemployment," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(4), pages 435-462.
  40. Sylvia Kaufmann, 2010. "Dating and forecasting turning points by Bayesian clustering with dynamic structure: a suggestion with an application to Austrian data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(2), pages 309-344.
  41. Andrew Filardo, 2004. "The 2001 US recession: what did recession prediction models tell us?," BIS Working Papers 148, Bank for International Settlements.
  42. Lu, Yang K. & Perron, Pierre, 2010. "Modeling and forecasting stock return volatility using a random level shift model," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 138-156, January.
  43. Mouratidis, Kostas, 2008. "Evaluating currency crises: A Bayesian Markov switching approach," Journal of Macroeconomics, Elsevier, vol. 30(4), pages 1688-1711, December.
  44. Gabriela Mundaca, B., 2000. "The effect of interventions on realignment probabilities," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(3-4), pages 323-347, December.
  45. Kaufmann Sylvia, 2011. "K-state switching models with endogenous transition distributions," Working Papers 2011-13, Swiss National Bank.
  46. Manuela Goretti, 2005. "The Brazilian currency turmoil of 2002: a nonlinear analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(4), pages 289-306.
  47. Nalewaik, Jeremy J., 2011. "Incorporating vintage differences and forecasts into Markov switching models," International Journal of Forecasting, Elsevier, vol. 27(2), pages 281-307, April.
  48. Andrew J. Filardo, 1998. "Choosing information variables for transition probabilities in a time-varying transition probability Markov switching model," Research Working Paper 98-09, Federal Reserve Bank of Kansas City.
  49. Penelope A. Smith & Peter M. Summers, 2004. "Identification and normalization in Markov switching models of "business cycles"," Research Working Paper RWP 04-09, Federal Reserve Bank of Kansas City.
  50. Roland G. Shami & Catherine S. Forbes, 2002. "Non-linear Modelling of the Australian Business Cycle using a Leading Indicator," Monash Econometrics and Business Statistics Working Papers 5/02, Monash University, Department of Econometrics and Business Statistics.
  51. Martha Misas & María Teresa Ramírez, . "Depressions in the Colombian Economic Growth Durng the XX Century: A Markov Switching Regime Model," Borradores de Economia 340, Banco de la Republica de Colombia.
  52. Atish R. Ghosh & Juan Zalduendo & Manuela Goretti & Bikas Joshi & Alun H. Thomas, 2007. "Modeling Aggregate Use of Fund Resources," IMF Working Papers 07/70, International Monetary Fund.
  53. Moolman, Elna, 2004. "A Markov switching regime model of the South African business cycle," Economic Modelling, Elsevier, vol. 21(4), pages 631-646, July.
  54. Abdul Abiad, 2003. "Early Warning Systems," IMF Working Papers 03/32, International Monetary Fund.
  55. repec:fee:wpaper:1302 is not listed on IDEAS
  56. Shin-Juh Lin & Jian Yang, 2000. "Examining Intraday Returns with Buy/Sell Information," Research Paper Series 38, Quantitative Finance Research Centre, University of Technology, Sydney.
  57. Avouyi-Dovi, S. & Idier, J., 2011. "The impact of unconventional monetary policy on the market for collateral: The case of the French bond market," Working papers 339, Banque de France.
  58. Shachat, Jason & Wei, Lijia, 2013. "Discrete Rule Learning and the Bidding of the Sexes," MPRA Paper 47953, University Library of Munich, Germany.
  59. Luca Agnello & Gilles Dufrénot & Ricardo M. Sousa, 2012. "Adjusting the U.S. Fiscal Policy for Asset Prices: Evidence from a TVP-MS Framework," NIPE Working Papers 20/2012, NIPE - Universidade do Minho.
  60. 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.
  61. 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.
  62. Erlandsson, Ulf, 2004. "Reconnecting the Markov Switching Model with Economic Fundamentals," Working Papers 2004:4, Lund University, Department of Economics, revised 18 Mar 2004.
  63. Andreas Bachmann & Stefan Leist, 2013. "Sudden stop regimes and output: a Markov switching analysis," Diskussionsschriften dp1307, Universitaet Bern, Departement Volkswirtschaft.
  64. Takeuchi, Fumihide, 2010. "US external debt sustainability revisited: Bayesian analysis of extended Markov switching unit root test," Japan and the World Economy, Elsevier, vol. 22(2), pages 98-106, March.
  65. 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).
  66. repec:cuf:journl:y:2014:v:15:i:2:abiad is not listed on IDEAS
  67. Agnello, Luca & Dufrénot, Gilles & Sousa, Ricardo M., 2013. "Using time-varying transition probabilities in Markov switching processes to adjust US fiscal policy for asset prices," Economic Modelling, Elsevier, vol. 34(C), pages 25-36.
  68. Clements, Michael P & Krolzig, Hans-Martin, 2003. "Business Cycle Asymmetries: Characterization and Testing Based on Markov-Switching Autoregressions," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(1), pages 196-211, January.
  69. Allan Layton & Daniel R. Smith, 2005. "Testing the Power of Leading Indicators to Predict Business Cycle Phase Changes," School of Economics and Finance Discussion Papers and Working Papers Series 200, School of Economics and Finance, Queensland University of Technology.