A Markov switching model of GNP growth with duration dependence
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References listed on IDEAS
- Nathan Balke & Robert J. Gordon, 1986. "Appendix B: Historical Data," NBER Chapters,in: The American Business Cycle: Continuity and Change, pages 781-850 National Bureau of Economic Research, Inc.
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- 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.
- Maheu, John M. & McCurdy, Thomas H., 2000.
"Volatility dynamics under duration-dependent mixing,"
Journal of Empirical Finance,
Elsevier, vol. 7(3-4), pages 345-372, November.
- John M. Maheu & Tom McCurdy, 2000. "Volatility Dynamics Under Duration-Dependent Mixing," Econometric Society World Congress 2000 Contributed Papers 1427, Econometric Society.
- Florian Ielpo, 2012. "Equity, credit and the business cycle," Applied Financial Economics, Taylor & Francis Journals, vol. 22(12), pages 939-954, June.
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KeywordsGross national product ; Business cycles;
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