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Citations for "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle"

by Hamilton, James D

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  1. repec:hal:journl:peer-00732535 is not listed on IDEAS
  2. Niels Haldrup & Frank S. Nielsen & Morten Ørregaard Nielsen, 2009. "A vector autoregressive model for electricity prices subject to long memory and regime switching," Working Papers 1211, Queen's University, Department of Economics.
  3. Donald W.K. Andrews, 1992. "An Introduction to Econometric Applications of Functional Limit Theory for Dependent Random Variables," Cowles Foundation Discussion Papers 1020, Cowles Foundation for Research in Economics, Yale University.
  4. Knut Are Aastveit & Anne Sofie Jore & Francesco Ravazzolo, 2014. "Forecasting recessions in real time," Working Paper 2014/02, Norges Bank.
  5. Silvia Palasca & Elisabeta Jaba, 2014. "Leading and Lagging Indicators Of the Economic Crisis," Romanian Statistical Review, Romanian Statistical Review, vol. 62(3), pages 31-47, September.
  6. Garcia, Rene & Luger, Richard & Renault, Eric, 2003. "Empirical assessment of an intertemporal option pricing model with latent variables," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 49-83.
  7. Chen, Ping & Yam, S.C.P., 2013. "Optimal proportional reinsurance and investment with regime-switching for mean–variance insurers," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 871-883.
  8. Bianchi, Francesco, 2008. "Regime switches, Agents’ Beliefs, and Post-World War II U.S. Macroeconomic Dynamics," MPRA Paper 24251, University Library of Munich, Germany, revised 19 Jan 2010.
  9. Lanouar Charfeddine & Dominique Guegan, 2009. "Breaks or long memory behaviour: An empirical investigation," Documents de travail du Centre d'Economie de la Sorbonne 09022, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  10. Marcelle Chauvet & Jeremy M. Piger, 2003. "Identifying business cycle turning points in real time," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 47-61.
  11. Huisman, Ronald & Mahieu, Ronald, 2003. "Regime jumps in electricity prices," Energy Economics, Elsevier, vol. 25(5), pages 425-434, September.
  12. Rotheli, Tobias F., 1998. "Pattern recognition and procedurally rational expectations," Journal of Economic Behavior & Organization, Elsevier, vol. 37(1), pages 71-90, September.
  13. Cerqueira, Vinícius Dos Santos & Ribeiro, Márcio Bruno & Martinez, Thiago Sevilhano, 2014. "Propagação Assimétrica de Choques Monetários na Economia Brasileira: Evidências com base em um modelo vetorial não-linear de transição suave," Revista Brasileira de Economia, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 68(1), March.
  14. Roger E. A. Farmer & Daniel F. Waggoner & Tao Zha, 2009. "Understanding Markov-switching rational expectations models," FRB Atlanta Working Paper 2009-05, Federal Reserve Bank of Atlanta.
  15. Ana Oliveira-Brochado & Francisco Vitorino Martins, 2008. "Segmentação de Mercado e modelos mistura de regressão para variáveis normais," FEP Working Papers 262, Universidade do Porto, Faculdade de Economia do Porto.
  16. Gordon R. Richards, 2004. "A fractal forecasting model for financial time series," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(8), pages 586-601.
  17. Szabolcs Blazsek & Anna Downarowicz, 2013. "Forecasting hedge fund volatility: a Markov regime-switching approach," The European Journal of Finance, Taylor & Francis Journals, vol. 19(4), pages 243-275, April.
  18. P. de Grauwe & I. Vansteenkiste, 2003. "Exchange Rates and Fundamentals a Non-Linear Relationship?," DNB Staff Reports (discontinued) 78, Netherlands Central Bank.
  19. Goutte, Stéphane, 2014. "Conditional Markov regime switching model applied to economic modelling," Economic Modelling, Elsevier, vol. 38(C), pages 258-269.
  20. Ibrahim Chowdhury & Gregory Gadzinski & Mathias Hoffmann, 2004. "Asymmetric Dynamics in the Current Account: Evidence from Long-Horizon Data," Working Paper Series in Economics 13, University of Cologne, Department of Economics.
  21. Gallego, C. & Pinson, P. & Madsen, H. & Costa, A. & Cuerva, A., 2011. "Influence of local wind speed and direction on wind power dynamics – Application to offshore very short-term forecasting," Applied Energy, Elsevier, vol. 88(11), pages 4087-4096.
  22. Renée Fry-McKibbin & Cody Hsiao & Chrismin Tang, 2014. "Contagion and Global Financial Crises: Lessons from Nine Crisis Episodes," Open Economies Review, Springer, vol. 25(3), pages 521-570, July.
  23. Dovern, Jonas & Gern, Klaus-Jürgen & Meier, Carsten-Patrick & Oskamp, Frank & Sander, Birgit & Scheide, Joachim, 2007. "Weltkonjunktur verliert an Fahrt," Open Access Publications from Kiel Institute for the World Economy 4093, Kiel Institute for the World Economy (IfW).
  24. RUGE-MURCIA, Francisco J., 1997. "Credibility and Signaling in Disinflation- a Cross Country Examination," Cahiers de recherche 9712, Universite de Montreal, Departement de sciences economiques.
  25. repec:ebl:ecbull:v:7:y:2008:i:8:p:1-12 is not listed on IDEAS
  26. Thomas Chuffart, 2013. "Selection Criteria in Regime Switching Conditional Volatility Models," Working Papers halshs-00844413, HAL.
  27. Stefano d'Addona & Ilaria Musumeci, 2012. "The British opt-out from the European Monetary Union: empirical evidence from monetary policy rules," CEIS Research Paper 225, Tor Vergata University, CEIS, revised 26 Mar 2012.
  28. Omar Besbes & Sergei Savin, 2009. "Going Bunkers: The Joint Route Selection and Refueling Problem," Manufacturing & Service Operations Management, INFORMS, vol. 11(4), pages 694-711, February.
  29. 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.
  30. Carol Alexander & Alexander Rubinov & Markus Kalepky & Stamatis Leontsinis, 2012. "Regime‐dependent smile‐adjusted delta hedging," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(3), pages 203-229, 03.
  31. Fujiwara, Ippei, 2006. "Evaluating monetary policy when nominal interest rates are almost zero," Journal of the Japanese and International Economies, Elsevier, vol. 20(3), pages 434-453, September.
  32. Chang-Jin Kim & Charles Nelson, 1999. "A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models," Working Papers 0035, University of Washington, Department of Economics.
  33. Beckmann, Joscha & Czudaj, Robert, 2012. "Gold as an Infl ation Hedge in a Time-Varying Coefficient Framework," Ruhr Economic Papers 362, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
  34. Pagan, Adrian, 1999. "Some uses of simulation in econometrics," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 48(4), pages 341-349.
  35. M. J. Herrerias & Javier Ordoñez, 2011. "If the Unites States sneezes, does the world need paracetamol?," Working Papers 2011/03, Economics Department, Universitat Jaume I, Castellón (Spain).
  36. Chang-Jin Kim & Jeremy M. Piger & Richard Startz, 2001. "Permanent and transitory components of business cycles: their relative importance and dynamic relationship," International Finance Discussion Papers 703, Board of Governors of the Federal Reserve System (U.S.).
  37. Haldrup, Niels & Nielsen, Morten Orregaard, 2006. "A regime switching long memory model for electricity prices," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 349-376.
  38. Muellbauer, John & Nunziata, Luca, 2001. "Credit, the Stock Market and Oil: Forecasting US GDP," CEPR Discussion Papers 2906, C.E.P.R. Discussion Papers.
  39. Nelson C. Mark & S.G. Cecchetti & P-s. Lam, 1997. "Asset Pricing under Distorted Beliefs: Are Equity Returns Too Good to Be True?," Working Papers 017, Ohio State University, Department of Economics.
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  41. Gabriella Legrenzi & Costas Milas, 2005. "Non-linear real exchange rate effects in the UK labour market," Keele Economics Research Papers KERP 2005/08, Centre for Economic Research, Keele University.
  42. Zacharias Psaradakis & Martin Sola, 2003. "On detrending and cyclical asymmetry," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(3), pages 271-289.
  43. Cai, Zongwu & Juhl, Ted & Yang, Bingduo, 2015. "Functional index coefficient models with variable selection," Journal of Econometrics, Elsevier, vol. 189(2), pages 272-284.
  44. Mark J. Holmes & Brian Silverstone, 2010. "Business confidence and cyclical turning points: a Markov-switching approach," Applied Economics Letters, Taylor & Francis Journals, vol. 17(3), pages 229-233, February.
  45. Erik Alencar de Figueiredo & André de Mattos Marques, 2013. "Testing absolute PPP hypothesis for twenty countries through the skeleton from a SETAR model- some new evidence," Série Textos para Discussão (Working Papers) 16, Programa de Pós-Graduação em Economia - PPGE, Universidade Federal da Paraíba.
  46. Lawrence J. Christiano & Sharon G. Harrison, 1996. "Chaos, Sunspots, and Automatic Stabilizers," NBER Working Papers 5703, National Bureau of Economic Research, Inc.
  47. Lee, Yen-Hsien & Chiou, Jer-Shiou, 2011. "Oil sensitivity and its asymmetric impact on the stock market," Energy, Elsevier, vol. 36(1), pages 168-174.
  48. Jorge Belaire-Franch & Amado Peiró, 2015. "Asymmetry in the relationship between unemployment and the business cycle," Empirical Economics, Springer, vol. 48(2), pages 683-697, March.
  49. Cheong, Siew Ann & Fornia, Robert Paulo & Lee, Gladys Hui Ting & Kok, Jun Liang & Yim, Woei Shyr & Xu, Danny Yuan & Zhang, Yiting, 2012. "The Japanese economy in crises: A time series segmentation study," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 6, pages 1-81.
  50. Carlos Pinho & Mara Madaleno, 2016. "Oil prices and stock returns: nonlinear links across sectors," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 15(2), pages 79-97, August.
  51. 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.
  52. Ruijun Bu & Jie Cheng & Kaddour Hadri, 2014. "Reducible Diffusions with Time-Varying Transformations with Application to Short-Term Interest Rates," Economics Working Papers 14-01, Queen's Management School, Queen's University Belfast.
  53. 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.
  54. Mumford, Karen & Smith, Peter N, 2000. "Men, Women and the Hiring Function," The Economic Record, The Economic Society of Australia, vol. 76(235), pages 374-385, December.
  55. Ghysels, E. & Gourieroux, C. & Jasiak, J., 1995. "Market Time and Asset Price Movements: Theory and Estimation," Cahiers de recherche 9536, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  56. Monica Billio & Mila Getmansky & Loriana Pelizzon, 2006. "Phase-Locking and Switching Volatility in Hedge Funds," Working Papers 2006_54, Department of Economics, University of Venice "Ca' Foscari".
  57. Bidarkota, Prasad V., 1998. "The comparative forecast performance of univariate and multivariate models: an application to real interest rate forecasting," International Journal of Forecasting, Elsevier, vol. 14(4), pages 457-468, December.
  58. Netzer, Oded & Lattin, James M. & Srinivasan, V. "Seenu", 2007. "A Hidden Markov Model of Customer Relationship Dynamics," Research Papers 1904r, Stanford University, Graduate School of Business.
  59. Chien-Hsiu Lin & Shih-Kuei Lin & An-Chi Wu, 2015. "Foreign exchange option pricing in the currency cycle with jump risks," Review of Quantitative Finance and Accounting, Springer, vol. 44(4), pages 755-789, May.
  60. Výrost, Tomáš & Baumöhl, Eduard & Lyócsa, Štefan, 2011. "On the relationship of persistence and number of breaks in volatility: new evidence for three CEE countries," MPRA Paper 27927, University Library of Munich, Germany.
  61. Francis X. Diebold & Lutz Kilian & Marc Nerlove, 2006. "Time Series Analysis," PIER Working Paper Archive 06-019, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    • Diebold, F.X. & Kilian, L. & Nerlove, Marc, 2006. "Time Series Analysis," Working Papers 28556, University of Maryland, Department of Agricultural and Resource Economics.
  62. Andrew J. Patton & Allan Timmermann, 2005. "Testable Implications of Forecast Optimality," STICERD - Econometrics Paper Series 485, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  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. Richard Kleijn & Herman K. van Dijk, 2006. "Bayes model averaging of cyclical decompositions in economic time series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(2), pages 191-212.
  65. 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.
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  67. Lawrence Xaba & Ntebogang Moroke & Johnson Arkaah & Charlemagne Pooe, 2015. "A Comparative Study of Stock Price Forecasting using nonlinear models," Proceedings of International Academic Conferences 2704207, International Institute of Social and Economic Sciences.
  68. Francq, C. & Zakoian, J. -M., 2001. "Stationarity of multivariate Markov-switching ARMA models," Journal of Econometrics, Elsevier, vol. 102(2), pages 339-364, June.
  69. Uctum, Remzi, 2007. "Économétrie des modèles à changement de régimes : un essai de synthèse," L'Actualité Economique, Société Canadienne de Science Economique, vol. 83(4), pages 447-482, décembre.
  70. 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.
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  72. Andrada-Félix, Julián & Fernández-Rodríguez, Fernando & Fuertes, Ana-Maria, 2016. "Combining nearest neighbor predictions and model-based predictions of realized variance: Does it pay?," International Journal of Forecasting, Elsevier, vol. 32(3), pages 695-715.
  73. Ritschl, Albrecht & Woitek, Ulrich, 2000. "Did Monetary Forces Cause the Great Depression?," CEPR Discussion Papers 2547, C.E.P.R. Discussion Papers.
  74. Koop, Gary & Potter, Simon M., 1998. "Bayes factors and nonlinearity: Evidence from economic time series1," Journal of Econometrics, Elsevier, vol. 88(2), pages 251-281, November.
  75. Maximo Camacho & Jaime Martinez-Martin, 2014. "Real-time forecasting US GDP from small-scale factor models," Empirical Economics, Springer, vol. 47(1), pages 347-364, August.
  76. Arnaud Dufays & Maciej Augustyniak & Luc Bauwens, 2016. "A new approach to volatility modeling: the High-Dimensional Markov model," Cahiers de recherche 1609, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
  77. N Aslanidis & D R Osborn & M Sensier, 2003. "Explaining Movements in UK Stock Prices: How Important is the US Market?," The School of Economics Discussion Paper Series 0305, Economics, The University of Manchester.
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  83. Smith, Aaron D., 2004. "Forecasting in the Presence of Level Shifts," Working Papers 11985, University of California, Davis, Department of Agricultural and Resource Economics.
  84. Pierre Perron† & Tatsuma Wada, 2005. "Let’s Take a Break: Trends and Cycles in US Real GDP?," Boston University - Department of Economics - Working Papers Series WP2005-031, Boston University - Department of Economics, revised Oct 2005.
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  87. 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.
  88. Abdullah Yalama, 2012. "International Financial Contagion: The Role of the UK," Bogazici Journal, Review of Social, Economic and Administrative Studies, Bogazici University, Department of Economics, vol. 26(2), pages 115-129.
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  132. Daniel F. Waggoner & Tao Zha, 2010. "Confronting model misspecification in macroeconomics," FRB Atlanta Working Paper 2010-18, Federal Reserve Bank of Atlanta.
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