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Citations for "Further Evidence on Business-Cycle Duration Dependence"

by Francis X. Diebold & Glenn Rudebusch & Daniel Sichel

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  1. 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.
  2. Claessens, Stijn & Kose, Ayhan & Terrones, Marco E, 2011. "How Do Business and Financial Cycles Interact?," CEPR Discussion Papers 8396, C.E.P.R. Discussion Papers.
  3. Massimo Guidolin & Carrie Fangzhou Na, 2007. "The economic and statistical value of forecast combinations under regime switching: an application to predictable U.S. returns," Working Papers 2006-059, Federal Reserve Bank of St. Louis.
  4. 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, Cambridge University Press, vol. 15(S3), pages 498-517, November.
  5. Vítor Castro, 2010. "The duration of business cycle expansions and contractions: Are there change-points in duration dependence?," NIPE Working Papers, NIPE - Universidade do Minho 24/2010, NIPE - Universidade do Minho.
  6. Castro, Vítor, 2008. "The duration of economic expansions and recessions : More than duration dependence," The Warwick Economics Research Paper Series (TWERPS) 860, University of Warwick, Department of Economics.
  7. Jensen, Mark J. & Liu, Ming, 2006. "Do long swings in the business cycle lead to strong persistence in output?," Journal of Monetary Economics, Elsevier, vol. 53(3), pages 597-611, April.
  8. du Plessis, S. A., 2004. "Stretching the South African business cycle," Economic Modelling, Elsevier, vol. 21(4), pages 685-701, July.
  9. Taamouti, Abderrahim, 2012. "Moments of multivariate regime switching with application to risk-return trade-off," Journal of Empirical Finance, Elsevier, Elsevier, vol. 19(2), pages 292-308.
  10. Stijn Claessens & M. Ayhan Kose & Marco E. Terrones, 2011. "Financial Cycles: What? How? When?," NBER International Seminar on Macroeconomics, University of Chicago Press, vol. 7(1), pages 303 - 344.
  11. Vítor Castro, 2011. "The Portuguese Business Cycle: Chronology and Duration Dependence," NIPE Working Papers, NIPE - Universidade do Minho 11/2011, NIPE - Universidade do Minho.
  12. Taamouti, Abderrahim, 2009. "Analytical Value-at-Risk and Expected Shortfall under regime-switching," Finance Research Letters, Elsevier, Elsevier, vol. 6(3), pages 138-151, September.
  13. Hans-Martin Krolzig & Michael Clements, 2000. "Business Cycle Asymmetries: Characterisation and Testing based on Markov-Switching Autoregressions," Economics Series Working Papers 2000-W32, University of Oxford, Department of Economics.
  14. Filardo, Andrew J. & Gordon, Stephen F., 1998. "Business cycle durations," Journal of Econometrics, Elsevier, vol. 85(1), pages 99-123, July.
  15. Di Guilmi, C. & Gaffeo, E. & Gallegati, M. & Palestrini, A., 2005. "International Evidence on Business Cycle Magnitude Dependence: An Analyisis of 16 Industrialized Countries, 1881-2000," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, Euro-American Association of Economic Development, vol. 2(1), pages 5-16.
  16. Chang-Jin Kim & Chris Murray, 1999. "Permanent and Transitory Nature of Recessions," Working Papers 0041, University of Washington, Department of Economics.
  17. Matteo Pelagatti, 2003. "Duration Dependent Markov-Switching Vector Autoregression: Properties, Bayesian Inference, Software and Application," Working Papers, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica 20051101, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica, revised Nov 2005.
  18. Michael J. Dueker & Andreas M. Fischer, 1997. "The FOMC in 1996: "watchful waiting"," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 7-23.
  19. Vítor Castro, 2011. "The Portuguese Stock Market Cycle: Chronology and Duration Dependence," NIPE Working Papers, NIPE - Universidade do Minho 13/2011, NIPE - Universidade do Minho.
  20. Lunde, Asger & Timmermann, Allan G, 2003. "Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets," CEPR Discussion Papers 4104, C.E.P.R. Discussion Papers.
  21. Everts, Martin, 2006. "Duration of Business Cycles," MPRA Paper 1219, University Library of Munich, Germany.
  22. Matteo M. Pelagatti, 2005. "Time Series Modeling with Duration Dependent Markov-Switching Vector Autoregressions: MCMC Inference, Software and Applications," Econometrics 0503008, EconWPA.
  23. Diebold, Francis X & Rudebusch, Glenn D, 1996. "Measuring Business Cycles: A Modern Perspective," The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 67-77, February.
  24. repec:wyi:journl:002127 is not listed on IDEAS
  25. Liu, Ming, 2000. "Modeling long memory in stock market volatility," Journal of Econometrics, Elsevier, vol. 99(1), pages 139-171, November.
  26. Corrado Di Guilmi & Edoardo Gaffeo & Mauro Gallegati & Antonio Palestrini, 2004. "International evidence on business cycle magnitude dependence," Papers cond-mat/0401495, arXiv.org.
  27. Thomas C. Melzer, 1997. "To conclude: keep inflation low and, in principle, eliminate it," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 3-7.
  28. Francis X. Diebold & Glenn D. Rudebusch, 2001. "Five questions about business cycles," Economic Review, Federal Reserve Bank of San Francisco, pages 1-15.
  29. Rodriguez Gabriel, 2007. "Application of Three Alternative Approaches to Identify Business Cycles in Peru," Working Papers, Banco Central de Reserva del Perú 2007-007, Banco Central de Reserva del Perú.
  30. 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.
  31. Rose Cunningham & Ilan Kolet, 2007. "Housing Market Cycles and Duration Dependence in the United States and Canada," Working Papers 07-2, Bank of Canada.
  32. Douglas Sutherland & Peter Hoeller, 2013. "Growth-promoting Policies and Macroeconomic Stability," OECD Economics Department Working Papers 1091, OECD Publishing.
  33. 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.
  34. Barrera, Carlos, 2009. "Ciclos sectoriales de los negocios en el Perú e indicadores anticipados para el crecimiento del PBI no primario," Working Papers, Banco Central de Reserva del Perú 2009-013, Banco Central de Reserva del Perú.
  35. 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.
  36. Harman, Yvette S. & Zuehlke, Thomas W., 2007. "Nonlinear duration dependence in stock market cycles," Review of Financial Economics, Elsevier, vol. 16(4), pages 350-362.