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

by Filardo, Andrew J

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  1. Bessec, Marie, 2015. "Revisiting the transitional dynamics of business-cycle phases with mixed frequency data," Economics Papers from University Paris Dauphine 123456789/15246, Paris Dauphine University.
  2. Robert Gagné & Simon van Norden & Bruno Versaevel, 2003. "Testing Optimal Punishment Mechanisms Under Price Regulation: the Case of the Retail Market for Gasoline," CIRANO Working Papers 2003s-57, CIRANO.
  3. 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.
  4. Ana Beatriz Galv�o & Michael Artis & Massimiliano Marcellino, 2007. "The transmission mechanism in a changing world," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 39-61.
  5. Jacob Boudoukh & Matthew Richardson & Tom Smith & Robert Whitelaw, 1999. "Regime Shifts and Bond Returns," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-010, New York University, Leonard N. Stern School of Business-.
  6. Taamouti, Abderrahim, 2012. "Moments of multivariate regime switching with application to risk-return trade-off," Journal of Empirical Finance, Elsevier, vol. 19(2), pages 292-308.
  7. 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.
  8. 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.
  9. Samet Günay, 2015. "Markov Regime Switching Generalized Autoregressive Conditional Heteroskedastic Model and Volatility Modeling for Oil Returns," International Journal of Energy Economics and Policy, Econjournals, vol. 5(4), pages 979-985.
  10. Marcel Aloy & Gilles de Truchis & Gilles Dufrenot & Benjamin Keddad, 2014. "Shift-volatility transmission in East Asian Equity Markets," Working Papers 2014-500, Department of Research, Ipag Business School.
  11. Clements, M.P. & Krolzig, H-M., 1999. "Business Cycle Asymmetries: Characterisationand Testing Based on Markov-Switching Autoregression," The Warwick Economics Research Paper Series (TWERPS) 522, University of Warwick, Department of Economics.
  12. Kavussanos, Manolis G. & Alizadeh-M, Amir H., 2002. "Seasonality patterns in tanker spot freight rate markets," Economic Modelling, Elsevier, vol. 19(5), pages 747-782, November.
  13. Dahlquist, Magnus & Gray, Stephen F., 2000. "Regime-switching and interest rates in the European monetary system," Journal of International Economics, Elsevier, vol. 50(2), pages 399-419, April.
  14. 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.
  15. 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.
  16. Escobari, Diego, 2012. "Asymmetric Price Adjustments in Airlines," MPRA Paper 42115, University Library of Munich, Germany.
  17. 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.
  18. 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.
  19. repec:rwi:dpaper:0024 is not listed on IDEAS
  20. 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.
  21. 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.
  22. Chevallier, Julien, 2011. "A model of carbon price interactions with macroeconomic and energy dynamics," Economics Papers from University Paris Dauphine 123456789/6969, Paris Dauphine University.
  23. 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.
  24. 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.
  25. Eric Ghysels & Pierre Guérin & Massimiliano Marcellino, 2013. "Regime Switches in the Risk-Return Trade-Off," Staff Working Papers 13-51, Bank of Canada.
  26. Laurent Calvet & Adlai Fisher, 2003. "Regime-Switching and the Estimation of Multifractal Processes," Harvard Institute of Economic Research Working Papers 1999, Harvard - Institute of Economic Research.
  27. Yu-Fu Chen & Michael Funke, 2004. "Cyclical Uncertainty And Physical Investment Decisions," Money Macro and Finance (MMF) Research Group Conference 2004 89, Money Macro and Finance Research Group.
  28. Manuela Goretti, 2005. "The Brazilian currency turmoil of 2002: a nonlinear analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(4), pages 289-306.
  29. Amisano, Gianni & Fagan, Gabriel, 2013. "Money growth and inflation: A regime switching approach," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 118-145.
  30. Bollen, Nicolas P. B. & Gray, Stephen F. & Whaley, Robert E., 2000. "Regime switching in foreign exchange rates: Evidence from currency option prices," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 239-276.
  31. 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.
  32. 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.
  33. Andrew Ang & Allan Timmermann, 2011. "Regime Changes and Financial Markets," NBER Working Papers 17182, National Bureau of Economic Research, Inc.
  34. Charles Engel & Craig S. Hakkio, 1994. "The Distribution of Exchange Rates in the EMS," NBER Working Papers 4834, National Bureau of Economic Research, Inc.
  35. 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.
  36. repec:rwi:repape:0362 is not listed on IDEAS
  37. Adanero-Donderis , M. & Darné, O. & Ferrara, L., 2007. "Deux indicateurs probabilistes de retournement cyclique pour l’économie française," Working papers 187, Banque de France.
  38. Kristie M. Engemann & Kevin L. Kliesen & Michael T. Owyang, 2010. "Do oil shocks drive business cycles? some U.S. and international evidence," Working Papers 2010-007, Federal Reserve Bank of St. Louis.
  39. Guérin, Pierre & Marcellino, Massimiliano, 2011. "Markov-switching MIDAS models," CEPR Discussion Papers 8234, C.E.P.R. Discussion Papers.
  40. 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.
  41. Vansteenkiste, Isabel, 2011. "What is driving oil futures prices? Fundamentals versus speculation," Working Paper Series 1371, European Central Bank.
  42. Filardo, Andrew J. & Gordon, Stephen F., 1998. "Business cycle durations," Journal of Econometrics, Elsevier, vol. 85(1), pages 99-123, July.
  43. Artis, M. & Krolzig, H.-M. & Toro, J., 1999. "The European Business Cycle," Economics Working Papers eco99/24, European University Institute.
  44. Boris Blagov & Michael Funke & Richhild Moessner, 2015. "Modelling the time-variation in euro area lending spreads," BIS Working Papers 526, Bank for International Settlements.
  45. Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco & van Dijk, Herman K., 2012. "Combination schemes for turning point predictions," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(4), pages 402-412.
  46. Beckmann, Joscha & Czudaj, Robert, 2013. "Gold as an inflation hedge in a time-varying coefficient framework," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 208-222.
  47. Dufrénot, Gilles & Malik, Sheheryar, 2012. "The changing role of house price dynamics over the business cycle," Economic Modelling, Elsevier, vol. 29(5), pages 1960-1967.
  48. Morley, James & Piger, Jeremy, 2008. "Trend/cycle decomposition of regime-switching processes," Journal of Econometrics, Elsevier, vol. 146(2), pages 220-226, October.
  49. 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.
  50. Kuosmanen, Petri & Nabulsi, Nasib & Vataja, Juuso, 2015. "Financial variables and economic activity in the Nordic countries," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 368-379.
  51. 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.
  52. 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.
  53. Grossman, Valerie & Mack, Adrienne & Martinez-Garcia, Enrique, 2014. "A contribution to the chronology of turning points in global economic activity (1980-2012)," Globalization and Monetary Policy Institute Working Paper 169, Federal Reserve Bank of Dallas.
  54. 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.
  55. Layton, Allan P. & Katsuura, Masaki, 2001. "Comparison of regime switching, probit and logit models in dating and forecasting US business cycles," International Journal of Forecasting, Elsevier, vol. 17(3), pages 403-417.
  56. 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.
  57. 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.
  58. Peter M. Summers & Penelope A. Smith, 2005. "How well do Markov switching models describe actual business cycles? The case of synchronization," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 253-274.
  59. Gilles Dufrénot & Benjamin Keddad, 2013. "Business Cycles Synchronization in East Asia: A Markov-Switching Approach," Working Papers halshs-00861901, HAL.
  60. 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.
  61. Wajih Khallouli & René Sandretto, 2012. "Testing for “contagion” of the subprime crisis on the Middle East and North African stock markets : A Markov Switching EGARCH approach," Post-Print halshs-00522683, HAL.
  62. repec:ebl:ecbull:v:3:y:2004:i:48:p:1-9 is not listed on IDEAS
  63. 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.
  64. Gilles Dufrénot & Valérie Mignon & Anne Peguin-Feissolle, 2011. "The Effects of the Subprime Crisis on the Latin American Financial Markets: An Empirical Assessment," Working Papers halshs-00587460, HAL.
  65. René Garcia & Huntley Schaller, 1995. "Are the Effects of Monetary Policy Asymmetric?," CIRANO Working Papers 95s-06, CIRANO.
  66. 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.
  67. 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.
  68. Stephen Elias & Craig Evans, 2014. "Cycles in Non-mining Business Investment," RBA Bulletin, Reserve Bank of Australia, pages 01-06, December.
  69. Hans-Martin Krolzig & Michael P. Clements, 2002. "Can oil shocks explain asymmetries in the US Business Cycle?," Empirical Economics, Springer, vol. 27(2), pages 185-204.
  70. Allen, P. Geoffrey & Morzuch, Bernard J., 2006. "Twenty-five years of progress, problems, and conflicting evidence in econometric forecasting. What about the next 25 years?," International Journal of Forecasting, Elsevier, vol. 22(3), pages 475-492.
  71. Giampiero M. Gallo & Edoardo Otranto, 2012. "Realized Volatility and Change of Regimes," Econometrics Working Papers Archive 2012_02, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Jul 2012.
  72. D R Osborn & M Sensier, 2002. "The Prediction of Business Cycle Phases: Financial Variables and International Linkages," Centre for Growth and Business Cycle Research Discussion Paper Series 15, Economics, The Univeristy of Manchester.
  73. Karamé, Frédéric, 2015. "Asymmetries and Markov-switching structural VAR," Journal of Economic Dynamics and Control, Elsevier, vol. 53(C), pages 85-102.
  74. 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.
  75. 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.
  76. Chang-Jin Kim & Jeremy M. Piger & Richard Startz, 2004. "Estimation of Markov regime-switching regression models with endogenous switching," Working Papers 2003-015, Federal Reserve Bank of St. Louis.
  77. 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.
  78. 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.
  79. Piero Ferri & Anna Maria Variato, 2007. "Endogenous Cycles, Debt and Monetary Policy," Working Papers (-2012) 0703, University of Bergamo, Department of Economics.
  80. Doğan, İbrahim & Bilgili, Faik, 2014. "The non-linear impact of high and growing government external debt on economic growth: A Markov Regime-switching approach," Economic Modelling, Elsevier, vol. 39(C), pages 213-220.
  81. 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.
  82. Soosung Hwang & Steve E. Satchell & Pedro L. Valls Pereira, 2004. "How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations," Econometric Society 2004 Latin American Meetings 198, Econometric Society.
  83. 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.
  84. El-Shagi, M. & Knedlik, T. & von Schweinitz, G., 2013. "Predicting financial crises: The (statistical) significance of the signals approach," Journal of International Money and Finance, Elsevier, vol. 35(C), pages 76-103.
  85. Chang-Jin Kim & Chris Murray, 1999. "Permanent and Transitory Nature of Recessions," Working Papers 0041, University of Washington, Department of Economics.
  86. Ryan SULEIMANN, 2003. "New Technology Stock Market Indexes Contagion: A VAR-dccMVGARCH Approach," Econometrics 0307003, EconWPA, revised 18 Jul 2003.
  87. Chen, Shyh-Wei, 2006. "Simultaneously modeling the volatility of the growth rate of real GDP and determining business cycle turning points: Evidence from the U.S., Canada and the UK," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 71(2), pages 87-102.
  88. 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.
  89. 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.
  90. Perez-Quiros, G. & Timmermann, A., 2001. "Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities," Papers 58, Quebec a Montreal - Recherche en gestion.
  91. Natalia Fabra & Juan Toro, 2001. "Price Wars and Collusion in the Spanish Electricity Market," Economic Working Papers at Centro de Estudios Andaluces E2001/05, Centro de Estudios Andaluces.
  92. Shinn-Juh Lin & Jian Yang, 2003. "Examining intraday returns with buy/sell information," Applied Financial Economics, Taylor & Francis Journals, vol. 13(6), pages 447-461.
  93. Yong Zeng & Shu Wu, 2004. "A General Equilibrium Model of the Term Structure of Interest Rates under Regime-switching Risk," Econometric Society 2004 North American Summer Meetings 304, Econometric Society.
  94. Camacho, Maximo & Pérez Quirós, Gabriel, 2000. "This is what the US leading indicators lead," Working Paper Series 0027, European Central Bank.
  95. 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.
  96. 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.
  97. Cordis, Adriana S. & Kirby, Chris, 2014. "Discrete stochastic autoregressive volatility," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 160-178.
  98. Jean Barthélemy & Magali Marx, 2011. "State-Dependent Probability Distributions in Non Linear Rational Expectations Models," Sciences Po publications 347, Sciences Po.
  99. 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.
  100. M. Portugal & I.A. de Morais, 2004. "STRUCTURAL CHANGE IN THE BRAZILIAN DEMAND FOR IMPORTS: A regime switching approach," Econometric Society 2004 Latin American Meetings 346, Econometric Society.
  101. 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.
  102. L. Bauwens & E. Otranto, 2013. "Modeling the Dependence of Conditional Correlations on Volatility," Working Paper CRENoS 201304, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  103. Valerie Cerra & Sweta Chaman Saxena, 2003. "Did Output Recover From the Asian Crisis?," IMF Working Papers 03/48, International Monetary Fund.
  104. 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.
  105. Guglielmo Maria Caporale & Faek Menla Ali & Fabio Spagnolo & Nicola Spagnolo, 2015. "International Portfolio Flows and Exchange Rate Volatility for Emerging Markets," CESifo Working Paper Series 5615, CESifo Group Munich.
  106. Chib & Siddhartha; Dueker, 2004. "Non-Markovian Regime Switching with Endogenous States and Time-Varying State Strengths," Econometric Society 2004 North American Summer Meetings 600, Econometric Society.
  107. 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.
  108. 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.
  109. Chang, Kuang Liang & Chen, Nan Kuang & Leung, Charles Ka Yui, 2011. "In the Shadow of the United States: The International Transmission Effect of Asset Returns," MPRA Paper 32776, University Library of Munich, Germany.
  110. Mark W. Watson, 2005. "Commentary on "what's real about the business cycle?"," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 453-458.
  111. MacDonald, Ronald & Nagayasu, Jun, 2013. "Currency Forecast Errors at Times of Low Interest Rates: Evidence from Survey Data on the Yen/Dollar Exchange Rate," SIRE Discussion Papers 2013-100, Scottish Institute for Research in Economics (SIRE).
  112. 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.
  113. Ano Sujithan, Kuhanathan & Koliai, Lyes & Avouyi-Dovi, Sanvi, 2013. "Does Monetary Policy Respond to Commodity Price Shocks?," Economics Papers from University Paris Dauphine 123456789/11718, Paris Dauphine University.
  114. John M. Maheu & Tom McCurdy, 2000. "Volatility Dynamics Under Duration-Dependent Mixing," Econometric Society World Congress 2000 Contributed Papers 1427, Econometric Society.
  115. Layton, Allan P., 1998. "A further test of the influence of leading indicators on the probability of US business cycle phase shifts," International Journal of Forecasting, Elsevier, vol. 14(1), pages 63-70, March.
  116. 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.
  117. Andrea Carriero & Massimiliano Marcellino, 2007. "Sectoral Survey-based Confidence Indicators for Europe," Working Papers 320, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  118. 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.
  119. 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.
  120. Oscar Jorda & Massimiliano Marcellino, . "Stochastic Processes Subject To Time Scale Transformations: An Application To High-Frequency Fx Data," Department of Economics 00-02, California Davis - Department of Economics.
  121. 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.
  122. 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.
  123. 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.
  124. Diebold & Rudebusch, . "Measuring Business Cycle: A Modern Perspective," Home Pages _061, University of Pennsylvania.
  125. 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.
  126. Turtle, H.J. & Zhang, Chengping, 2012. "Time-varying performance of international mutual funds," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 334-348.
  127. Raffaella Calabrese, 2012. "Modelling Downturn Loss Given Default," Working Papers 201226, Geary Institute, University College Dublin.
  128. 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.
  129. TCHANA TCHANA, Fulbert, 2008. "The Empirics of Banking Regulation," MPRA Paper 9299, University Library of Munich, Germany.
  130. Psaradakis, Zacharias & Sola, Martin, 1998. "Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching," Journal of Econometrics, Elsevier, vol. 86(2), pages 369-386, June.
  131. Marco Bazzi & Francisco Blasques & Siem Jan Koopman & Andre Lucas, 2014. "Time Varying Transition Probabilities for Markov Regime Switching Models," Tinbergen Institute Discussion Papers 14-072/III, Tinbergen Institute.
  132. Klaassen, F.J.G.M., 1999. "Purchasing Power Parity : Evidence from a New Test," Discussion Paper 1999-09, Tilburg University, Center for Economic Research.
  133. Marjan Petreski, 2010. "An Overhaul of a Doctrine: Has Inflation Targeting Opened a New Era in Developing-country Peggers?," FIW Working Paper series 057, FIW.
  134. Marcel Aloy & Gilles Dufrénot & Anne Péguin-Feissolle, 2014. "Is financial repression a solution to reduce fiscal vulnerability? The example of France since the end of World War II," Applied Economics, Taylor & Francis Journals, vol. 46(6), pages 629-637, February.
  135. Avouyi-Dovi, Sanvi & Ano Sujithan, Kuhanathan, 2013. "The links between some European financial factors and the BRICS credit default swap spreads," Economics Papers from University Paris Dauphine 123456789/11721, Paris Dauphine University.
  136. 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.
  137. 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.
  138. 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.
  139. 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.
  140. 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.
  141. 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.
  142. 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.
  143. Moolman, Elna, 2004. "A Markov switching regime model of the South African business cycle," Economic Modelling, Elsevier, vol. 21(4), pages 631-646, July.
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