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Citations for "On the Periodic Structure of the Business Cycle"

by Eric Ghysels

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  1. De Toldi, M. & Gourieroux, C. & Monfort, A., 1995. "Prepayment analysis for securitization," Journal of Empirical Finance, Elsevier, vol. 2(1), pages 45-70, March.
  2. Chevallier, Julien, 2011. "Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models," Economics Papers from University Paris Dauphine 123456789/6970, Paris Dauphine University.
  3. Andrew J. Filardo & Stephen F. Gordon, 1993. "Business cycle durations," Research Working Paper 93-11, Federal Reserve Bank of Kansas City.
  4. 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.
  5. Matas-Mir, Antoni & Denise R Osborn, 2002. "Does Seasonality Change over the Business Cycle? An Investigation using Monthly Industrial Production Series," Royal Economic Society Annual Conference 2002 139, Royal Economic Society.
  6. Ghysels, Éric, 1994. "L’analyse économétrique et la saisonnalité," L'Actualité Economique, Société Canadienne de Science Economique, vol. 70(1), pages 43-62, mars.
  7. Eric Ghysels, 1993. "A time series model with periodic stochastic regime switching," Discussion Paper / Institute for Empirical Macroeconomics 84, Federal Reserve Bank of Minneapolis.
  8. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2012. "Was the Recent Downturn in US GDP Predictable?," Working Papers 201230, University of Pretoria, Department of Economics.
  9. Shively, Philip A., 2004. "The size and dynamic effect of aggregate-demand and aggregate-supply disturbances in expansionary and contractionary regimes," Journal of Macroeconomics, Elsevier, vol. 26(1), pages 83-99, March.
  10. Klaassen, F.J.G.M., 1999. "Purchasing Power Parity : Evidence from a New Test," Discussion Paper 1999-09, Tilburg University, Center for Economic Research.
  11. Wells, J. M., 1997. "Modelling seasonal patterns and long-run trends in U.S. time series," International Journal of Forecasting, Elsevier, vol. 13(3), pages 407-420, September.
  12. Warren Dean & Robert Faff, 2008. "Evidence of feedback trading with Markov switching regimes," Review of Quantitative Finance and Accounting, Springer, vol. 30(2), pages 133-151, February.
  13. Albertson, Kevin & Aylen, Jonathan, 1999. "Forecasting using a periodic transfer function: with an application to the UK price of ferrous scrap," International Journal of Forecasting, Elsevier, vol. 15(4), pages 409-419, October.
  14. 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.
  15. Shyh-Wei Chen & Chung-Hua Shen, 2006. "Is there a duration dependence in Taiwan's business cycles?," International Economic Journal, Taylor & Francis Journals, vol. 20(1), pages 109-128.
  16. Eric Ghysels & Robert E. McCulloch & Ruey S. Tsay, 1998. "Bayesian inference for periodic regime-switching models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(2), pages 129-143.
  17. Tim Bollerslev & Eric Ghysels, 1994. "On Periodic Autogressive Conditional Heteroskedasticity," CIRANO Working Papers 94s-03, CIRANO.
  18. Wen, Yi, 2002. "The business cycle effects of Christmas," Journal of Monetary Economics, Elsevier, vol. 49(6), pages 1289-1314, September.
  19. Renee Fry, 2002. "International SVAR Factor Modelling," School of Economics and Finance Discussion Papers and Working Papers Series 109, School of Economics and Finance, Queensland University of Technology.
  20. Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2014. "Regime Switching Model of US Crude Oil and Stock Market Prices: 1859 to 2013," Working Papers 201429, University of Pretoria, Department of Economics.
  21. 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.
  22. Giles, David E., 2005. "Testing for a Santa Claus effect in growth cycles," Economics Letters, Elsevier, vol. 87(3), pages 421-426, June.
  23. 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.
  24. 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.
  25. Ghysels, Eric, 1997. "On seasonality and business cycle durations: A nonparametric investigation," Journal of Econometrics, Elsevier, vol. 79(2), pages 269-290, August.
  26. Christiano, Lawrence J. & Todd, Richard M., 2002. "The conventional treatment of seasonality in business cycle analysis: does it create distortions?," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 335-364, March.
  27. Fok, D. & Franses, Ph.H.B.F. & Paap, R., 2005. "Performance of Seasonal Adjustment Procedures: Simulation and Empirical Results," Econometric Institute Research Papers EI 2005-30, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  28. Francis X. Diebold & Glenn D. Rudebusch, 1994. "Measuring Business Cycles: A Modern Perspective," NBER Working Papers 4643, National Bureau of Economic Research, Inc.
  29. Mathieu Gatumel & Florian Ielpo, 2011. "The Number of Regimes Across Asset Returns: Identification and Economic Value," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00658540, HAL.
  30. D R Osborn & A Matas-Mir, 2003. "The Extent of Seasonal/Business Cycle Interactions in European Industrial Production," Centre for Growth and Business Cycle Research Discussion Paper Series 38, Economics, The Univeristy of Manchester.
  31. Ramsay, James O. & Ramsey, James B., 2002. "Functional data analysis of the dynamics of the monthly index of nondurable goods production," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 327-344, March.
  32. repec:hal:journl:halshs-00658540 is not listed on IDEAS
  33. Huang, Tai-Hsin & Shen, Chung-Hua, 1999. "Applying the seasonal error correction model to the demand for international reserves in Taiwan," Journal of International Money and Finance, Elsevier, vol. 18(1), pages 107-131, January.
  34. Birg, Laura & Goeddeke, Anna, 2014. "Christmas economics: A sleigh ride," Center for European, Governance and Economic Development Research Discussion Papers 220, University of Goettingen, Department of Economics.
  35. repec:dgr:kubcen:199909 is not listed on IDEAS
  36. Klaassen, F.J.G.M., 1999. "Long Swings in Exchange Rates : Are They Really in the Data?," Discussion Paper 1999-08, Tilburg University, Center for Economic Research.
  37. Franses, Philip Hans & Paap, Richard, 1999. "Does Seasonality Influence the Dating of Business Cycle Turning Points?," Journal of Macroeconomics, Elsevier, vol. 21(1), pages 79-92, January.
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