Nonparametric Multiple Change Point Analysis of the Global Financial Crisis
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- DAVID E. ALLEN & MICHAEL McALEER & ROBERT J. POWELL & ABHAY K. SINGH, 2018. "Non-Parametric Multiple Change Point Analysis Of The Global Financial Crisis," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(02), pages 1-23, June.
- David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2013. "Nonparametric Multiple Change Point Analysis of the Global Financial Crisis," Documentos de Trabajo del ICAE 2013-17, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2013. "Nonparametric Multiple Change Point Analysis of the Global Financial Crisis," Tinbergen Institute Discussion Papers 13-072/III, Tinbergen Institute.
References listed on IDEAS
- Jacquier, Eric & Polson, Nicholas G & Rossi, Peter E, 2002.
"Bayesian Analysis of Stochastic Volatility Models,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 69-87, January.
- Jacquier, Eric & Polson, Nicholas G & Rossi, Peter E, 1994. "Bayesian Analysis of Stochastic Volatility Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 371-389, October.
- Allen, David E. & Amram, Ron & McAleer, Michael, 2013.
"Volatility spillovers from the Chinese stock market to economic neighbours,"
Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 238-257.
- David E. Allen & Ron Amram & Michael McAleer, 2011. "Volatility Spillovers from the Chinese Stock Market to Economic Neighbours," Documentos de Trabajo del ICAE 2011-38, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Michael McAleer & David Allen & Ron Amram, 2011. "Volatility Spillovers from the Chinese Stock Market to Economic Neighbours," KIER Working Papers 805, Kyoto University, Institute of Economic Research.
- David E. Allena & Ron Amrama & Michael McAleer, 2011. "Volatility Spillovers from the Chinese Stock Market to Economic Neighbours," Working Papers in Economics 11/42, University of Canterbury, Department of Economics and Finance.
- Allen, D.E. & McAleer, M.J. & Amram, R., 2011. "Volatility Spillovers from the Chinese Stock Market to Economic Neighbours," Econometric Institute Research Papers EI 2011-44, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- 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.
- Diebold & Rudebusch, "undated". "Measuring Business Cycle: A Modern Perspective," Home Pages _061, University of Pennsylvania.
- Francis X. Diebold & Glenn D. Rudebusch, 1994. "Measuring Business Cycles: A Modern Perspective," NBER Working Papers 4643, National Bureau of Economic Research, Inc.
- MArdi Dungey & Renee Fry & Brenda Gonzales-Hermosillo & Vance L. Martin & Chrismin Tang, 2008.
"Are Financial Crises Alike?,"
CAMA Working Papers
2008-15, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Chrismin Tang & Mr. Mardi Dungey & Mr. Vance Martin & Ms. Brenda Gonzalez-Hermosillo & Ms. Renee Fry, 2010. "Are Financial Crises Alike?," IMF Working Papers 2010/014, International Monetary Fund.
- Arthur F. Burns & Wesley C. Mitchell, 1946. "Measuring Business Cycles," NBER Books, National Bureau of Economic Research, Inc, number burn46-1.
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
- Makram Talih & Nicolas Hengartner, 2005. "Structural learning with time‐varying components: tracking the cross‐section of financial time series," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 67(3), pages 321-341, June.
- Fama, Eugene F, et al, 1969. "The Adjustment of Stock Prices to New Information," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 10(1), pages 1-21, February.
- Aas, Kjersti & Czado, Claudia & Frigessi, Arnoldo & Bakken, Henrik, 2009. "Pair-copula constructions of multiple dependence," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 182-198, April.
- James H. Stock & Mark W. Watson, 1993. "Business Cycles, Indicators, and Forecasting," NBER Books, National Bureau of Economic Research, Inc, number stoc93-1.
- Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996.
"Fractionally integrated generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics, Elsevier, vol. 74(1), pages 3-30, September.
- Tom Doan, "undated". "RATS programs to replicate Baillie, Bollerslev, Mikkelson FIGARCH results," Statistical Software Components RTZ00009, Boston College Department of Economics.
- Jacquier, Eric & Polson, Nicholas G & Rossi, Peter E, 1994. "Bayesian Analysis of Stochastic Volatility Models: Comments: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 413-417, October.
- Ball, R & Brown, P, 1968. "Empirical Evaluation Of Accounting Income Numbers," Journal of Accounting Research, Wiley Blackwell, vol. 6(2), pages 159-178.
- Stock, James H. & Watson, Mark W. (ed.), 1993. "Business Cycles, Indicators, and Forecasting," National Bureau of Economic Research Books, University of Chicago Press, edition 1, number 9780226774886.
- Bradley P. Carlin & Alan E. Gelfand & Adrian F. M. Smith, 1992. "Hierarchical Bayesian Analysis of Changepoint Problems," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 41(2), pages 389-405, June.
- J. Andrew Coutts & Terence Mills & Jennifer Roberts, 1995. "Misspecification of the market model: the implications for event studies," Applied Economics Letters, Taylor & Francis Journals, vol. 2(5), pages 163-165.
- A. Craig MacKinlay, 1997. "Event Studies in Economics and Finance," Journal of Economic Literature, American Economic Association, vol. 35(1), pages 13-39, March.
- James H. Stock & Mark W. Watson, 1993. "Introduction to "Business Cycles, Indicators and Forecasting"," NBER Chapters, in: Business Cycles, Indicators, and Forecasting, pages 1-10, National Bureau of Economic Research, Inc.
- James H. Stock & Mark W. Watson, 1989.
"New Indexes of Coincident and Leading Economic Indicators,"
NBER Chapters, in: NBER Macroeconomics Annual 1989, Volume 4, pages 351-409,
National Bureau of Economic Research, Inc.
- Stock, J.H. & Watson, M.W., 1989. "New Indexes Of Coincident And Leading Economic Indicators," Papers 178d, Harvard - J.F. Kennedy School of Government.
- James H. Stock & Mark W. Watson, 1993.
"A Procedure for Predicting Recessions with Leading Indicators: Econometric Issues and Recent Experience,"
NBER Chapters, in: Business Cycles, Indicators, and Forecasting, pages 95-156,
National Bureau of Economic Research, Inc.
- James H. Stock & Mark W. Watson, 1992. "A Procedure for Predicting Recessions With Leading Indicators: Econometric Issues and Recent Experience," NBER Working Papers 4014, National Bureau of Economic Research, Inc.
- David S. Matteson & Nicholas A. James, 2014. "A Nonparametric Approach for Multiple Change Point Analysis of Multivariate Data," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 109(505), pages 334-345, March.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Massoud Moslehpour & Shin Hung Pan & Aviral Kumar Tiwari & Wing Keung Wong, 2021. "Editorial in Honour of Professor Michael McAleer," Advances in Decision Sciences, Asia University, Taiwan, vol. 25(4), pages 1-14, December.
- Allen, David E. & McAleer, Michael & Powell, Robert J. & Singh, Abhay K., 2017.
"Volatility Spillovers from Australia's major trading partners across the GFC,"
International Review of Economics & Finance, Elsevier, vol. 47(C), pages 159-175.
- David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2014. "Volatility Spillovers from Australia's Major Trading Partners across the GFC," Tinbergen Institute Discussion Papers 14-106/III, Tinbergen Institute.
- David E. Allen & Michael McAleer & Abhay K. Singh, 2014. "Volatility Spillovers from Australia's major trading partners across the GFC," Documentos de Trabajo del ICAE 2014-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2014. "Volatility Spillovers from Australia's major trading partners across the GFC," Working Papers in Economics 14/23, University of Canterbury, Department of Economics and Finance.
- Tareq Almazyad & Norhayati Zakuan & Laith Alrubaiee & Shamaila Butt & Azmirul Ashaari & Raghed IBRAHIM ESMAEEL, 2024. "Bibliometric Insights into Crisis Management: A Review of Key Literature," Advances in Decision Sciences, Asia University, Taiwan, vol. 28(2), pages 1-34, June.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Catherine Doz & Peter Fuleky, 2019.
"Dynamic Factor Models,"
Working Papers
2019-4, University of Hawaii Economic Research Organization, University of Hawaii at Manoa.
- Catherine Doz & Peter Fuleky, 2020. "Dynamic Factor Models," PSE-Ecole d'économie de Paris (Postprint) halshs-02491811, HAL.
- Catherine Doz & Peter Fuleky, 2019. "Dynamic Factor Models," PSE Working Papers halshs-02262202, HAL.
- Catherine Doz & Peter Fuleky, 2020. "Dynamic Factor Models," Post-Print halshs-02491811, HAL.
- Catherine Doz & Peter Fuleky, 2019. "Dynamic Factor Models," Working Papers halshs-02262202, HAL.
- Christopher L. Gilbert & Duo Qin, 2007. "Representation in Econometrics: A Historical Perspective," Working Papers 583, Queen Mary University of London, School of Economics and Finance.
- Grace Lee, 2011.
"Aggregate shocks decomposition for eight East Asian countries,"
Journal of the Asia Pacific Economy, Taylor & Francis Journals, vol. 16(2), pages 215-232.
- Grace H.Y. Lee, 2009. "Aggregate Shocks Decomposition For Eight East Asian Countries," Monash Economics Working Papers 17-09, Monash University, Department of Economics.
- Michael Funke & Harm Bandholz, 2003.
"In search of leading indicators of economic activity in Germany,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(4), pages 277-297.
- Harm Bandholz & Michael Funke, 2001. "In Search of Leading Indicators of Economic Activity in Germany," CESifo Working Paper Series 571, CESifo.
- Harm Bandholz & Michael Funke, 2003. "In Search of Leading Indicators of Economic Activity in Germany," Quantitative Macroeconomics Working Papers 20307, Hamburg University, Department of Economics.
- Christopher L. Gilbert & Duo Qin, 2007.
"Representation in Econometrics: A Historical Perspective,"
Working Papers
583, Queen Mary University of London, School of Economics and Finance.
- Christopher L. Gilbert & Duo Qin, 2007. "Representation in Econometrics: A Historical Perspective," Working Papers 583, Queen Mary University of London, School of Economics and Finance.
- Ubilava, David, 2019.
"On The Relationship Between Financial Instability And Economic Performance: Stressing The Business Of Nonlinear Modeling,"
Macroeconomic Dynamics, Cambridge University Press, vol. 23(1), pages 80-100, January.
- Ubilava, David, 2014. "On the Relationship between Financial Instability and Economic Performance: Stressing the Business of Nonlinear Modelling," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 170222, Agricultural and Applied Economics Association.
- Benoît Bellone, 2006. "Une lecture probabiliste du cycle d’affaires américain," Économie et Prévision, Programme National Persée, vol. 172(1), pages 63-81.
- Chauvet, Marcelle & Potter, Simon, 2013. "Forecasting Output," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 141-194, Elsevier.
- Carriero, Andrea & Marcellino, Massimiliano, 2007.
"A comparison of methods for the construction of composite coincident and leading indexes for the UK,"
International Journal of Forecasting, Elsevier, vol. 23(2), pages 219-236.
- Andrea Carriero & Massimiliano Marcellino, 2007. "A Comparison of Methods for the Construction of Composite Coincident and Leading Indexes for the UK," Working Papers 590, Queen Mary University of London, School of Economics and Finance.
- Carriero, Andrea & Marcellino, Massimiliano, 2007.
"A comparison of methods for the construction of composite coincident and leading indexes for the UK,"
International Journal of Forecasting, Elsevier, vol. 23(2), pages 219-236.
- Andrea Carriero & Massimiliano Marcellino, 2007. "A Comparison of Methods for the Construction of Composite Coincident and Leading Indexes for the UK," Working Papers 590, Queen Mary University of London, School of Economics and Finance.
- Andrea Carriero & Massimiliano Marcellino, 2007. "A Comparison of Methods for the Construction of Composite Coincident and Leading Indexes for the UK," Working Papers 590, Queen Mary University of London, School of Economics and Finance.
- Benoit Bellone, 2004. "Une lecture probabiliste du cycle d’affaires américain," Econometrics 0407002, University Library of Munich, Germany, revised 28 Mar 2005.
- Arie Marom & Yigal Menashe & Tanya Suchoy, 2003. "The State-of-The-Economy Index and The probability of Recession: The Markov Regime-Switching Model," Bank of Israel Working Papers 2003.05, Bank of Israel.
- Duo Qin, 2010.
"Econometric Studies of Business Cycles in the History of Econometrics,"
Working Papers
669, Queen Mary University of London, School of Economics and Finance.
- Duo Qin, 2010. "Econometric Studies of Business Cycles in the History of Econometrics," Working Papers 669, Queen Mary University of London, School of Economics and Finance.
- Sergey V. Smirnov & Nikolay V. Kondrashov & Anna V. Petronevich, 2017.
"Dating Cyclical Turning Points for Russia: Formal Methods and Informal Choices,"
Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 13(1), pages 53-73, May.
- Sergey V. Smirnov & Nikolai V. Kondrashov & Anna V. Petronevich, 2016. "Dating Cyclical Turning Points for Russia: Formal Methods and Informal Choices," HSE Working papers WP BRP 122/EC/2016, National Research University Higher School of Economics.
- Sergey Smirnov & Nikolay Kondrashov & Anna Petronevich, 2017. "Dating Cyclical Turning Points for Russia: Formal Methods and Informal Choices," Post-Print hal-01692230, HAL.
- Sergey Smirnov & Nikolay Kondrashov & Anna Petronevich, 2017. "Dating Cyclical Turning Points for Russia: Formal Methods and Informal Choices," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01692230, HAL.
- Chris Birchenhall & Denise Osborn & Marianne Sensier, 2001.
"Predicting UK Business Cycle Regimes,"
Scottish Journal of Political Economy, Scottish Economic Society, vol. 48(2), pages 179-195, May.
- Chris Birchenhall & Marianne Sensier, 2000. "Predicting UK Business Cycle Regimes," Econometric Society World Congress 2000 Contributed Papers 0953, Econometric Society.
- Chris R. Birchenhall & Marianne Sensier & Denise R. Osborn, 2000. "Predicting Uk Business Cycle Regimes," Computing in Economics and Finance 2000 134, Society for Computational Economics.
- C R Birchenhall & D R Osborn & M Sensier, 2000. "Predicting UK Business Cycle Regimes," Centre for Growth and Business Cycle Research Discussion Paper Series 02, Economics, The University of Manchester.
- Terence C. Mills & Ping Wang, 2003. "Multivariate Markov Switching Common Factor Models for the UK," Bulletin of Economic Research, Wiley Blackwell, vol. 55(2), pages 177-193, April.
- Vincent, BODART & Konstantin, KHOLODILIN & Fati, SHADMAN-MEHTA, 2005. "Identifying and Forecasting the Turning Points of the Belgian Business Cycle with Regime-Switching and Logit Models," Discussion Papers (ECON - Département des Sciences Economiques) 2005006, Université catholique de Louvain, Département des Sciences Economiques.
- Morais, Igor Alexandre C. & Chauvet, Marcelle, 2011. "Leading Indicators for the Capital Goods Industry," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 31(1), March.
- Gerson Javier Pérez-Valbuena & Diana Ricciulli-Marín & Jaime Bonet-Morón & Paula Barrios, 2021.
"Reglas fiscales subnacionales en Colombia: desde su concepción hasta los resultados frente al COVID-19,"
Documentos de Trabajo Sobre Economía Regional y Urbana
19126, Banco de la República, Economía Regional.
- Gerson Javier Pérez-Valbuena & Diana Ricciulli-Marín & Jaime Bonet-Morón & Paula Barrios, 2021. "Reglas fiscales subnacionales en Colombia: desde su concepción hasta los resultados frente al COVID-19," Documentos de trabajo sobre Economía Regional y Urbana 297, Banco de la Republica de Colombia.
- J. Polzehl & V. Spokoiny & C. Starica, 2004.
"When did the 2001 recession really start?,"
Econometrics
0411017, University Library of Munich, Germany.
- Jörg Polzehl & Vladimir Spokoiny & Catalin Starica, 2006. "When did the 2001 recession really start?," SFB 649 Discussion Papers SFB649DP2006-032, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Polzehl, Jörg & Spokoiny, Vladimir & Stărică, Cătălin, 2006. "When did the 2001 recession really start?," SFB 649 Discussion Papers 2006-032, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
More about this item
Keywords
Nonparametric Analysis; Multiple Change Points; Cluster Analysis; Global Financial Crisis.;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kyo:wpaper:866. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Makoto Watanabe (email available below). General contact details of provider: https://edirc.repec.org/data/iekyojp.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.