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Citations for "Business-Cycle Phases and Their Transitional Dynamics"

by Filardo, Andrew J

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  1. Gabriel Perez-Quiros & Margaret M. McConnell, 2000. "Output Fluctuations in the United States: What Has Changed since the Early 1980's?," American Economic Review, American Economic Association, vol. 90(5), pages 1464-1476, December.
  2. Raffaella Calabrese, 2012. "Modelling Downturn Loss Given Default," Working Papers 201226, Geary Institute, University College Dublin.
  3. Allan Timmermann & Gabriel Perez-Quiros, 2000. "Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities," FMG Discussion Papers dp360, Financial Markets Group.
  4. Yuan, Chunming, 2011. "Forecasting exchange rates: The multi-state Markov-switching model with smoothing," International Review of Economics & Finance, Elsevier, vol. 20(2), pages 342-362, April.
  5. Jean Barthélemy & Magali Marx, 2011. "State-Dependent Probability Distributions in Non Linear Rational Expectations Models," Sciences Po publications 347, Sciences Po.
  6. Michael T. Owyang & Abbigail J. Chiodo, 2002. "Duration dependence in monetary policy: international evidence," Working Papers 2002-021, Federal Reserve Bank of St. Louis.
  7. Chang, Kuang-Liang, 2012. "Volatility regimes, asymmetric basis effects and forecasting performance: An empirical investigation of the WTI crude oil futures market," Energy Economics, Elsevier, vol. 34(1), pages 294-306.
  8. Camacho, Maximo & Pérez Quirós, Gabriel, 2000. "This is what the US leading indicators lead," Working Paper Series 0027, European Central Bank.
  9. 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.
  10. Thomas Flavin & Lisa Sheenan, 2015. "The role of U.S. subprime mortgage-backed assets in propagating the crisis:contagion or interdependence?," Economics, Finance and Accounting Department Working Paper Series n260-15.pdf, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  11. Jun Nagayasu, 2013. "The forward premium puzzle and the euro," Working Papers 1317, University of Strathclyde Business School, Department of Economics.
  12. Robert Gagné & Simon van Norden & Bruno Versaevel, 2006. "Testing Optimal Punishment Mechanisms under Price Regulation: the Case of the Retail Market for Gasoline," Cahiers de recherche 06-12, HEC Montréal, Institut d'économie appliquée.
  13. Chang, Kuang-Liang, 2011. "The nonlinear effects of expected and unexpected components of monetary policy on the dynamics of REIT returns," Economic Modelling, Elsevier, vol. 28(3), pages 911-920, May.
  14. Carmela Cappelli, 2004. "Investigating the structure of expansions and recessions in US business cycle: a modified recursive partitioning approach," Economics Bulletin, AccessEcon, vol. 3(48), pages 1-9.
  15. Matsushita, Kyohei & Yamane, Fumihiro & Asano, Kota, 2016. "Linkage between crop diversity and agro-ecosystem resilience: Nonmonotonic agricultural response under alternate regimes," Ecological Economics, Elsevier, vol. 126(C), pages 23-31.
  16. Artis, M. & Krolzig, H.-M. & Toro, J., 1999. "The European Business Cycle," Economics Working Papers eco99/24, European University Institute.
  17. Balcilar, Mehmet & Hammoudeh, Shawkat & Asaba, Nwin-Anefo Fru, 2015. "A regime-dependent assessment of the information transmission dynamics between oil prices, precious metal prices and exchange rates," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 72-89.
  18. Guglielmo Maria Caporale & Faek Menla Ali & Fabio Spagnolo & Nicola Spagnolo, 2015. "International Portfolio Flows and Exchange Rate Volatility for Emerging Markets," Discussion Papers of DIW Berlin 1519, DIW Berlin, German Institute for Economic Research.
  19. 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.
  20. Ghysels, Eric & Guérin, Pierre & Marcellino, Massimiliano, 2013. "Regime Switches in the Risk-Return Trade-off," CEPR Discussion Papers 9698, C.E.P.R. Discussion Papers.
  21. Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2014. "Regime Switching Model of US Crude Oil and Stock Market Prices: 1859 to 2013," Working papers 2014-26, University of Connecticut, Department of Economics.
  22. Ryan SULEIMANN, 2003. "Should Stock Market Indexes Time Varying Correlations Be Taken Into Account? A Conditional Variance Multivariate Approach," Econometrics 0307004, EconWPA, revised 18 Jul 2003.
  23. Houda Rharrabti Zaid, 2015. "Transmission du stress financier de la zone euro aux Pays de l’Europe Centrale et Orientale," EconomiX Working Papers 2015-37, University of Paris West - Nanterre la Défense, EconomiX.
  24. Michael Funke & Roberta Colavecchio, 2008. "Volatility Transmission between Renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures," Quantitative Macroeconomics Working Papers 20812, Hamburg University, Department of Economics.
  25. Andrea Carriero & Massimiliano Marcellino, 2011. "Sectoral Survey‐based Confidence Indicators for Europe," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 73(2), pages 175-206, 04.
  26. repec:dau:papers:123456789/11718 is not listed on IDEAS
  27. 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.
  28. Chevallier, Julien, 2011. "Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models," Economic Modelling, Elsevier, vol. 28(6), pages 2634-2656.
  29. J. De Dios Tena & E. Otranto, 2008. "A Realistic Model for Official Interest Rates," Working Paper CRENoS 200802, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  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. Kandemir Kocaaslan, Ozge, 2013. "The causal link between energy and output growth: Evidence from Markov switching Granger causality," Energy Policy, Elsevier, vol. 63(C), pages 1196-1206.
  32. Andrew Ang & Allan Timmermann, 2012. "Regime Changes and Financial Markets," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 313-337.
  33. Tchana Tchana, Fulbert, 2014. "The empirics of banking regulation," Emerging Markets Review, Elsevier, vol. 19(C), pages 49-76.
  34. Michael J. Dueker, 1995. "Markov switching in GARCH processes and mean reverting stock market volatility," Working Papers 1994-015, Federal Reserve Bank of St. Louis.
  35. Oscar Jorda & Massimiliano Marcellino, 2003. "Stochastic Processes Subject To Time Scale Transformations: An Application To High-Frequency Fx Data," Working Papers 02, University of California, Davis, Department of Economics.
  36. Laurent Calvet & Adlai Fisher, 2003. "Regime-Switching and the Estimation of Multifractal Processes," NBER Working Papers 9839, National Bureau of Economic Research, Inc.
  37. Charles Engel & Craig S. Hakkio, 1994. "The distribution of exchange rates in the EMS," Research Working Paper 94-03, Federal Reserve Bank of Kansas City.
  38. Gray, Stephen F., 1996. "Modeling the conditional distribution of interest rates as a regime-switching process," Journal of Financial Economics, Elsevier, vol. 42(1), pages 27-62, September.
  39. 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.
  40. MacDonald, Ronald & Nagayasu, Jun, 2015. "Currency forecast errors and carry trades at times of low interest rates: Evidence from survey data on the yen/dollar exchange rate," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 1-19.
  41. Turtle, H.J. & Zhang, Chengping, 2012. "Time-varying performance of international mutual funds," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 334-348.
  42. Maximo Camacho & Gabriel Perez-Quiros, 2002. "This is what the leading indicators lead," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(1), pages 61-80.
  43. Liu, Wen-Hsien & Chyi, Yih-Luan, 2006. "A Markov regime-switching model for the semiconductor industry cycles," Economic Modelling, Elsevier, vol. 23(4), pages 569-578, July.
  44. 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.
  45. Blagov, Boris & Funke , Michael, 2014. "The credibility of Hong Kong’s currency board system: Looking through the prism of MS-VAR models with time-varying transition probabilities," BOFIT Discussion Papers 15/2014, Bank of Finland, Institute for Economies in Transition.
  46. Tillmann, Peter, 2005. "Private sector involvement in the resolution of financial crises: How do markets react?," Journal of Development Economics, Elsevier, vol. 78(1), pages 114-132, October.
  47. 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.
  48. Kuang-Liang Chang & Ming-Hui Yen, 2014. "The magnitude and significance of macroeconomic variables in explaining regional housing fluctuations," Economics Bulletin, AccessEcon, vol. 34(2), pages 828-841.
  49. Chevallier, Julien, 2011. "A model of carbon price interactions with macroeconomic and energy dynamics," Energy Economics, Elsevier, vol. 33(6), pages 1295-1312.
  50. James D. Hamilton, 2016. "Macroeconomic Regimes and Regime Shifts," NBER Working Papers 21863, National Bureau of Economic Research, Inc.
  51. Paap, Richard & Segers, Rene & van Dijk, Dick, 2009. "Do Leading Indicators Lead Peaks More Than Troughs?," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 528-543.
  52. Chang-Jin Kim & Chris Murray, 1999. "Permanent and Transitory Nature of Recessions," Working Papers 0041, University of Washington, Department of Economics.
  53. Henry, Ólan T., 2009. "Regime switching in the relationship between equity returns and short-term interest rates in the UK," Journal of Banking & Finance, Elsevier, vol. 33(2), pages 405-414, February.
  54. Gerdesmeier, Dieter & Reimers, Hans-Eggert & Roffia, Barbara, 2015. "Consumer and asset prices: Some recent evidence," Wismar Discussion Papers 01/2015, Hochschule Wismar, Wismar Business School.
  55. 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.
  56. Denise R. Osborn & Paul W. Simpson, 2000. "Forecasting UK Industrial Production Over the Business Cycle," Econometric Society World Congress 2000 Contributed Papers 1059, Econometric Society.
  57. 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.
  58. Makram El-Shagi & Tobias Knedlik & Gregor von Schweinitz, 2012. "Predicting Financial Crises: The (Statistical) Significance of the Signals Approach," IWH Discussion Papers 3, Halle Institute for Economic Research.
  59. RenÈ Garcia, 2002. "Are the Effects of Monetary Policy Asymmetric?," Economic Inquiry, Western Economic Association International, vol. 40(1), pages 102-119, January.
  60. Altug, Sumru & Demers, Fanny S. & Demers, Michel, 2009. "The investment tax credit and irreversible investment," Journal of Macroeconomics, Elsevier, vol. 31(4), pages 509-522, December.
  61. Moolman, Elna, 2004. "A Markov switching regime model of the South African business cycle," Economic Modelling, Elsevier, vol. 21(4), pages 631-646, July.
  62. M Sensier & M Artis & C R Birchenhall & D R Osborn, 2002. "Domestic and International Influences on Business Cycle Regimes in Europe," The School of Economics Discussion Paper Series 0202, Economics, The University of Manchester.
  63. Morley, James & Piger, Jeremy, 2008. "Trend/cycle decomposition of regime-switching processes," Journal of Econometrics, Elsevier, vol. 146(2), pages 220-226, October.
  64. Bailliu, Jeannine & Dib, Ali & Kano, Takashi & Schembri, Lawrence, 2014. "Multilateral adjustment, regime switching and real exchange rate dynamics," The North American Journal of Economics and Finance, Elsevier, vol. 27(C), pages 68-87.
  65. Kaufmann, Sylvia, 2015. "K-state switching models with time-varying transition distributions—Does loan growth signal stronger effects of variables on inflation?," Journal of Econometrics, Elsevier, vol. 187(1), pages 82-94.
  66. Michael Dueker & Katrin Assenmacher-Wesche, 2010. "Forecasting macro variables with a Qual VAR business cycle turning point index," Applied Economics, Taylor & Francis Journals, vol. 42(23), pages 2909-2920.
  67. Karamé, Frédéric, 2015. "Asymmetries and Markov-switching structural VAR," Journal of Economic Dynamics and Control, Elsevier, vol. 53(C), pages 85-102.
  68. Yu-Fu Chen & Michael Funke, 2004. "Cyclical Uncertainty and Physical Investment Decisions," Dundee Discussion Papers in Economics 169, Economic Studies, University of Dundee.
  69. Matteo Manera & Alessandro Cologni, 2006. "The Asymmetric Effects of Oil Shocks on Output Growth: A Markov-Switching Analysis for the G-7 Countries," Working Papers 2006.29, Fondazione Eni Enrico Mattei.
  70. Sylvia Kaufmann, 2014. "K-state switching models with time-varying transition distributions – Does credit growth signal stronger effects of variables on inflation?," Working Papers 14.04, Swiss National Bank, Study Center Gerzensee.
  71. Dufrénot, G. & Triki, K., 2012. "Public debt ratio and its determinants in France since 1890 Does econometrics support the historical evidence?," Working papers 385, Banque de France.
  72. Walid, Chkili & Chaker, Aloui & Masood, Omar & Fry, John, 2011. "Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach," Emerging Markets Review, Elsevier, vol. 12(3), pages 272-292, September.
  73. repec:dau:papers:123456789/11721 is not listed on IDEAS
  74. Andrew J. Filardo & Stephen F. Gordon, 1993. "Business cycle durations," Research Working Paper 93-11, Federal Reserve Bank of Kansas City.
  75. Hans-Martin Krolzig & Michael P. Clements, 2000. "Can oil shocks explain asymmetries in the US Business Cycle?," Economics Series Working Papers 2000-W36, University of Oxford, Department of Economics.
  76. 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.
  77. Taamouti, Abderrahim, 2009. "Analytical Value-at-Risk and Expected Shortfall under regime-switching," Finance Research Letters, Elsevier, vol. 6(3), pages 138-151, September.
  78. Franc Klaassen, 2005. "Long Swings in Exchange Rates: Are They Really in the Data?," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 87-95, January.
  79. Valerie Cerra & Sweta Chaman Saxena, 2005. "Did Output Recover from the Asian Crisis?," IMF Staff Papers, Palgrave Macmillan, vol. 52(1), pages 1-23, April.
  80. Chang, Kuang-Liang, 2009. "Do macroeconomic variables have regime-dependent effects on stock return dynamics? Evidence from the Markov regime switching model," Economic Modelling, Elsevier, vol. 26(6), pages 1283-1299, November.
  81. 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.
  82. 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.
  83. Huseyin Gulen & Yuhang Xing & Lu Zhang, 2011. "Value versus Growth: Time‐Varying Expected Stock Returns," Financial Management, Financial Management Association International, vol. 40(2), pages 381-407, 06.
  84. Yuan, Chunming, 2011. "The exchange rate and macroeconomic determinants: Time-varying transitional dynamics," The North American Journal of Economics and Finance, Elsevier, vol. 22(2), pages 197-220, August.
  85. Aloui, Chaker & Hammoudeh, Shawkat & Hamida, Hela Ben, 2015. "Price discovery and regime shift behavior in the relationship between sharia stocks and sukuk: A two-state Markov switching analysis," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 121-135.
  86. Daniel Aromi & Marcos Dal Bianco, 2014. "Un analisis de los desequilibrios del tipo de cambio real argentino bajo cambios de regimen," Working Papers 1431, BBVA Bank, Economic Research Department.
  87. Tamgac, Unay, 2011. "Crisis and self-fulfilling expectations: The Turkish experience in 1994 and 2000-2001," International Review of Economics & Finance, Elsevier, vol. 20(1), pages 44-58, January.
  88. Alexis Cruz Rodriguez, 2011. "Prediction of Currency Crises Using a Fiscal Sustainability Indicator," Revista de Analisis Economico – Economic Analysis Review, Ilades-Georgetown University, Universidad Alberto Hurtado/School of Economics and Bussines, vol. 26(2), pages 39-60, December.
  89. Colavecchio , Roberta & Funke, Michael, 2007. "Volatility dependence across Asia-Pacific on-shore and off-shore U.S. dollar futures markets," BOFIT Discussion Papers 17/2007, Bank of Finland, Institute for Economies in Transition.
  90. Juan Toro & Natalia Fabra, 2002. "Price Wars and Collusion in the Spanish Electricity Market," Economics Series Working Papers 136, University of Oxford, Department of Economics.
  91. Michael J. Dueker & Katrin Wesche, 2001. "European business cycles: new indices and analysis of their synchronicity," Working Papers 1999-019, Federal Reserve Bank of St. Louis.
  92. Francis W. Ahking, 2015. "Measuring U.S. Business Cycles: A Comparison of Two Methods and Two Indicators of Economic Activities (With Appendix A)," Working papers 2015-06, University of Connecticut, Department of Economics.
  93. 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.
  94. Cordera, Ruben & Canales, Cesar & dell’Olio, Luigi & Ibeas, Angel, 2015. "Public transport demand elasticities during the recessionary phases of economic cycles," Transport Policy, Elsevier, vol. 42(C), pages 173-179.
  95. Michael ARTIS & Ana Beatriz C. GALVÃO & Massimiliano MARCELLINO, 2003. "The transmission mechanism in a changing world," Economics Working Papers ECO2003/18, European University Institute.
  96. Moreno Cuartas, Blanca & López Menéndez, Ana Jesús, 2007. "Las Opiniones Empresariales Como Predictores De Los Puntos De Giro Del Ciclo Industrial/Forescasting Turning Points of the Industrial Cycle from Business Expectation Surveys," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 25, pages 511-528, Abril.
  97. Sondhauss, Ursula & Weihs, Claus, 1999. "Dynamic Bayesian networks for classification of business cycles," Technical Reports 1999,17, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  98. Marcel Aloy & Gilles De Truchis & Gilles Dufrénot & Benjamin Keddad, 2013. "Shift-Volatility Transmission in East Asian Equity Markets," Working Papers halshs-00935364, HAL.
  99. Kim, Chang-Jin & Piger, Jeremy & Startz, Richard, 2008. "Estimation of Markov regime-switching regression models with endogenous switching," Journal of Econometrics, Elsevier, vol. 143(2), pages 263-273, April.
  100. Denise R. Osborn & Marianne Sensier, 2002. "The Prediction of Business Cycle Phases: Financial Variables and International Linkages," National Institute Economic Review, National Institute of Economic and Social Research, vol. 182(1), pages 96-105, October.
  101. Blagov , Boris & Funke, Michael, 2013. "The regime-dependent evolution of credibility: A fresh look at Hong Kong’s linked exchange rate system," BOFIT Discussion Papers 24/2013, Bank of Finland, Institute for Economies in Transition.
  102. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2012. "Was the Recent Downturn in US GDP Predictable?," Working papers 2012-38, University of Connecticut, Department of Economics, revised Dec 2013.
  103. Ming-Yuan Leon Li & Hsiou-Wei William Lin & Rau Hsiu-hua, 2005. "The performance of the Markov-switching model on business cycle identification revisited," Applied Economics Letters, Taylor & Francis Journals, vol. 12(8), pages 513-520.
  104. Dufrénot, G. & Malik, S., 2010. "The changing role of house price dynamics over the business cycle," Working papers 309, Banque de France.
  105. Piero Ferri & Anna Maria Variato, 2007. "Macro Dynamics in a Model with Uncertainty," Working Papers (-2012) 0704, University of Bergamo, Department of Economics.
  106. repec:ebl:ecbull:v:5:y:2006:i:10:p:1-17 is not listed on IDEAS
  107. Blomberg, S. Brock, 2000. "Modeling political change with a regime-switching model," European Journal of Political Economy, Elsevier, vol. 16(4), pages 739-762, November.
  108. repec:ipg:wpaper:2014-500 is not listed on IDEAS
  109. Chen, Shiu-Sheng, 2010. "Do higher oil prices push the stock market into bear territory?," Energy Economics, Elsevier, vol. 32(2), pages 490-495, March.
  110. Ryan SULEIMANN, 2003. "The Contagion Effect Between the Volatilities of the NASDAQ-100 and the IT.CA :A Univariate and A Bivariate Switching Approach," Econometrics 0307002, EconWPA, revised 18 Jul 2003.
  111. Peria, Maria Soledad Martinez, 1999. "A regime - switching approach to studying speculative attacks : focus on European Monetary System crises," Policy Research Working Paper Series 2132, The World Bank.
  112. Amato, Amedeo & Tronzano, Marco, 2000. "Fiscal policy, debt management and exchange rate credibility: Lessons from the recent Italian experience," Journal of Banking & Finance, Elsevier, vol. 24(6), pages 921-943, June.
  113. Kaliva, Kasimir & Koskinen, Lasse, 2008. "Stock market bubbles, inflation and investment risk," International Review of Financial Analysis, Elsevier, vol. 17(3), pages 592-603, June.
  114. 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.
  115. 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.
  116. Bae, Jinho & Kim, Chang-Jin & Nelson, Charles R., 2007. "Why are stock returns and volatility negatively correlated?," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 41-58, January.
  117. Mehmet Balcilar & Reneé van Eyden & Josine Uwilingiye & Rangan Gupta, 2014. "The impact of oil price on South African GDP growth: A Bayesian Markov Switching-VAR analysis," Working Papers 15-13, Eastern Mediterranean University, Department of Economics.
  118. Siddhartha Chib & Michael J. Dueker, 2004. "Non-Markovian regime switching with endogenous states and time-varying state strengths," Working Papers 2004-030, Federal Reserve Bank of St. Louis.
  119. 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.
  120. Andrea Carriero & Massimiliano Marcellino, 2007. "Monitoring the Economy of the Euro Area: A Comparison of Composite Coincident Indexes," Working Papers 319, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  121. Cordis, Adriana S. & Kirby, Chris, 2014. "Discrete stochastic autoregressive volatility," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 160-178.
  122. repec:ebl:ecbull:v:3:y:2004:i:48:p:1-9 is not listed on IDEAS
  123. Vasif Abiyev & Reşat Ceylan & Munise Ilıkkan Özgür, 2015. "The Effects of Oil Price Shocks on Turkish Business Cycle: A Markov Switching Approach," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Eastern Macedonia and Thrace Institute of Technology (EMATTECH), Kavala, Greece, vol. 8(2), pages 7-18, October.
  124. 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 Univeristy of Manchester.
  125. Frédéric Karamé & Alexandra Olmedo, 2010. "Asymmetric Properties of Impulse Response Functions in Markov-Switching Structural Vector AutoRegressions," Documents de recherche 10-04, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
  126. Frédéric Karamé, 2012. "An Algorithm for Generalized Impulse-Response Functions in Markov-Switching Structural VAR," Documents de recherche 12-04, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
  127. Robert A Buckle & David Haugh & Peter Thomson, 2002. "Growth and volatility regime switching models for New Zealand GDP data," Treasury Working Paper Series 02/08, New Zealand Treasury.
  128. Franses, Philip Hans & Paap, Richard & Vroomen, Bjorn, 2004. "Forecasting unemployment using an autoregression with censored latent effects parameters," International Journal of Forecasting, Elsevier, vol. 20(2), pages 255-271.
  129. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2011. "Combination Schemes for Turning Point Predictions," Tinbergen Institute Discussion Papers 11-123/4, Tinbergen Institute.
  130. Manuela Goretti, 2005. "The Brazilian Currency Turmoil of 2002: A Nonlinear Analysis," International Finance 0506001, EconWPA.
  131. Frédérique BEC & Songlin ZENG, 2013. "Do Stock Returns Rebound After Bear Markets? An Empirical Analysis From Five OECD Countries," THEMA Working Papers 2013-21, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  132. Brockman, Paul & Liebenberg, Ivonne & Schutte, Maria, 2010. "Comovement, information production, and the business cycle," Journal of Financial Economics, Elsevier, vol. 97(1), pages 107-129, July.
  133. Kuang-Liang Chang & Nan-Kuang Chen & Charles Ka Yui Leung, 2012. "In the shadow of the United States: the international transmission effect of asset returns," Globalization and Monetary Policy Institute Working Paper 121, Federal Reserve Bank of Dallas.
  134. Wajih Khallouli & René Sandretto, 2010. "Testing for "contagion" of the subprime crisis on the Middle East and North African stock markets: A Markov Switching EGARCH approach," Post-Print halshs-00589830, HAL.
  135. Michael J. Dueker, 1995. "Compound volatility processes in EMS exchange rates," Working Papers 1994-016, Federal Reserve Bank of St. Louis.
  136. Martín Solá & Zacharias Psaradakis & Fabio Spagnolo & Nicola Spagnolo, 2010. "Some Cautionary Results Concerning Markov-Switching Models with Time-Varying Transition Probabilities," Department of Economics Working Papers 2010-12, Universidad Torcuato Di Tella.
  137. Altug, Sumru & Tan, Barış & Gencer, Gözde, 2012. "Cyclical dynamics of industrial production and employment: Markov chain-based estimates and tests," Journal of Economic Dynamics and Control, Elsevier, vol. 36(10), pages 1534-1550.
  138. Jeremy Schwartz, 2012. "Labor market dynamics over the business cycle: evidence from Markov switching models," Empirical Economics, Springer, vol. 43(1), pages 271-289, August.
  139. 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.
  140. Gwen Eudey & Roberto Perli, 1999. "Regime-switching in expectations over the business cycle," Working Papers 99-17, Federal Reserve Bank of Philadelphia.
  141. 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.
  142. Bilgili, Faik & Tülüce, Nadide Sevil Halıcı & Doğan, İbrahim, 2012. "The determinants of FDI in Turkey: A Markov Regime-Switching approach," Economic Modelling, Elsevier, vol. 29(4), pages 1161-1169.
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