Modeling the business and financial cycle in a multivariate structural time series model
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Cited by:
- Jeroen Hessel, 2019. "Medium-term asymmetric fluctuations and EMU as an optimum currency area," DNB Working Papers 644, Netherlands Central Bank, Research Department.
- Strohsal, Till & Proaño, Christian R. & Wolters, Jürgen, 2019.
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Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 28(3), pages 541-569, September.
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More about this item
Keywords
unobserved component time series model; Kalman filter; maximum likelihood estimation; short-term and medium-term cycles;JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- G01 - Financial Economics - - General - - - Financial Crises
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2017-11-05 (Banking)
- NEP-MAC-2017-11-05 (Macroeconomics)
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