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Citations for "Large shocks, small shocks, and economic fluctuations: outliers in macroeconomic times series"

by Nathan S. Balke & Thomas B. Fomby

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  1. Olivier Darné & Amélie Charles, 2011. "Large shocks in U.S. macroeconomic time series: 1860-1988," Post-Print hal-00771828, HAL.
  2. Bidarkota, Prasad V. & Dupoyet, Brice V., 2007. "The impact of fat tails on equilibrium rates of return and term premia," Journal of Economic Dynamics and Control, Elsevier, vol. 31(3), pages 887-905, March.
  3. Grossi, Luigi & Laurini, Fabrizio, 2009. "A robust forward weighted Lagrange multiplier test for conditional heteroscedasticity," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2251-2263, April.
  4. M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2001. "Outliers And Conditional Autoregressive Heteroscedasticity In Time Series," Statistics and Econometrics Working Papers ws010704, Universidad Carlos III, Departamento de Estadística y Econometría.
  5. George Kapetanios & Elias Tzavalis, 2004. "The Impact of Large Structural Shocks on Economic Relationships: Evidence from Oil Price Shocks," Working Papers 524, Queen Mary University of London, School of Economics and Finance.
  6. Reese, Simon & Li, Yushu, 2013. "Testing for Structural Breaks in the Presence of Data Perturbations: Impacts and Wavelet Based Improvements," Working Papers 2013:36, Lund University, Department of Economics.
  7. Ester Ruiz & Fernando Lorenzo, 1998. "The relation between the level and uncertainty of inflation," Documentos de Trabajo (working papers) 0698, Department of Economics - dECON.
  8. Mills, Terence C., 1995. "Business cycle asymmetries and non-linearities in U.K. macroeconomic time series," Ricerche Economiche, Elsevier, vol. 49(2), pages 97-124, June.
  9. van Dijk, D.J.C. & Franses, Ph.H.B.F. & Lucas, A., 1996. "Testing for Smooth Transition Nonlinearity in the Presence of Outliers," Econometric Institute Research Papers EI 9622-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  10. Lee, Jim, 1996. "Testing for a unit root in time series with trend breaks," Journal of Macroeconomics, Elsevier, vol. 18(3), pages 503-519.
  11. George Kapetanios & Elias Tzavalis, 2005. "Nonlinear Modelling of Autoregressive Structural Breaks in a US Diffusion Index Dataset," Working Papers 537, Queen Mary University of London, School of Economics and Finance.
  12. PREMINGER, Arie & FRANCK, Raphael, . "Forecasting exchange rates: a robust regression approach," CORE Discussion Papers RP 1917, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  13. Amélie Charles & Olivier Darné & Laurent Ferrara, 2014. "Does the Great Recession imply the end of the Great Moderation? International evidence," EconomiX Working Papers 2014-21, University of Paris West - Nanterre la Défense, EconomiX.
  14. Charles, Amelie & Darne, Olivier, 2006. "Large shocks and the September 11th terrorist attacks on international stock markets," Economic Modelling, Elsevier, vol. 23(4), pages 683-698, July.
  15. F. Javier Trivez & Beatriz Catalan, 2009. "Detecting level shifts in ARMA-GARCH (1,1) Models," Journal of Applied Statistics, Taylor & Francis Journals, vol. 36(6), pages 679-697.
  16. Candelon, Bertrand & Metiu, Norbert & Straetmans, Stefan, 2013. "Disentangling economic recessions and depressions," Discussion Papers 43/2013, Deutsche Bundesbank, Research Centre.
  17. Man Li & Tao Ye & Peijun Shi & Jian Fang, 2015. "Impacts of the global economic crisis and Tohoku earthquake on Sino–Japan trade: a comparative perspective," Natural Hazards, International Society for the Prevention and Mitigation of Natural Hazards, vol. 75(1), pages 541-556, January.
  18. M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2004. "Spurious And Hidden Volatility," Working Papers. Serie AD 2004-45, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  19. Rossen, Anja, 2014. "On the predictive content of nonlinear transformations of lagged autoregression residuals and time series observations," HWWI Research Papers 157, Hamburg Institute of International Economics (HWWI).
  20. Cízek, Pavel, 2011. "Semiparametrically weighted robust estimation of regression models," Computational Statistics & Data Analysis, Elsevier, vol. 55(1), pages 774-788, January.
  21. Amélie Charles & Olivier Darné, 2012. "Volatility Persistence in Crude Oil Markets," Working Papers hal-00719387, HAL.
  22. Macdonald, Ryan, 2007. "Estimating TFP in the Presence of Outliers and Leverage Points: An Examination of the KLEMS Dataset," Economic Analysis (EA) Research Paper Series 2007047e, Statistics Canada, Analytical Studies Branch.
  23. Amélie Charles & Olivier Darné, 2014. "Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–2013," Post-Print hal-01122507, HAL.
  24. Charles, Amelie & Darne, Olivier, 2005. "Outliers and GARCH models in financial data," Economics Letters, Elsevier, vol. 86(3), pages 347-352, March.
  25. Olivier Darné & Claude Diebolt, 2006. "Chocs temporaires et permanents dans le PIB de la France, du Royaume-Uni et des États-Unis," Revue d'économie politique, Dalloz, vol. 116(1), pages 65-78.
  26. PREMINGER, Arie & SAKATA, Shinichi, 2005. "A model selection method for S-estimation," CORE Discussion Papers 2005073, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  27. Marian Vavra, 2013. "Testing for marginal asymmetry of weakly dependent processes," Working and Discussion Papers WP 1/2013, Research Department, National Bank of Slovakia.
  28. Skalin, Joakim & Teräsvirta, Timo, 1996. "Another Look at Swedish Business Cycles, 1861-1988," SSE/EFI Working Paper Series in Economics and Finance 130, Stockholm School of Economics.
  29. Kyrtsou, Catherine & Malliaris, Anastasios G., 2009. "The impact of information signals on market prices when agents have non-linear trading rules," Economic Modelling, Elsevier, vol. 26(1), pages 167-176, January.
  30. João Paulo Martin Faleiros & Denisard Cnéio de Oliveira Alves, 2006. "Não Linearidade Nos Ciclos De Negócios: Modelo Auto-Regressivo “Smooth Transition” Para O Índice Geral De Produção Industrial Brasileiro E Bens De Capital," Anais do XXXIV Encontro Nacional de Economia [Proceedings of the 34th Brazilian Economics Meeting] 10, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  31. Amélie Charles & Olivier Darné, 2012. "Trends and random walks in macroeconomic time series: A reappraisal," Post-Print hal-00956937, HAL.
  32. WenShwo Fang & Stephen M. Miller, 2012. "Output Growth and Its Volatility: The Gold Standard through the Great Moderation," Working papers 2012-11, University of Connecticut, Department of Economics.
  33. Khurshid Kiani, 2005. "Detecting Business Cycle Asymmetries Using Artificial Neural Networks and Time Series Models," Computational Economics, Society for Computational Economics, vol. 26(1), pages 65-89, August.
  34. Mohamed Ali Houfi & Ghassen El Montasser, 2010. "Effets des points aberrants sur les tests de normalité et de linéarité. Applications à la bourse de Tokyo," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 13(36), pages 15-51, June.
  35. Macdonald, Ryan, 2008. "An Examination of Public Capital's Role in Production," Economic Analysis (EA) Research Paper Series 2008050e, Statistics Canada, Analytical Studies Branch.
  36. Bouaddi, Mohammed & Larocque, Denis & Normandin, Michel, 2015. "Equity premia and state-dependent risks," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 393-409.
  37. WenShwo Fang & Stephen M. Miller, 2009. "Modeling the Volatility of Real GDP Growth: The Case of Japan Revisited," Working Papers 0904, University of Nevada, Las Vegas , Department of Economics.
  38. Pavel Čížek, 2013. "Reweighted least trimmed squares: an alternative to one-step estimators," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 22(3), pages 514-533, September.
  39. Nathan S. Balke, 1991. "Detecting level shifts in time series: misspecification and a proposed solution," Research Paper 9109, Federal Reserve Bank of Dallas.
  40. Franses, Ph.H.B.F. & Paap, R., 1998. "Censored latent effects autoregression, with an application to US unemployment," Econometric Institute Research Papers EI 9841, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  41. Pedersen, Torben Mark & Elmer, Anne Marie, 2003. "International evidence on the connection between business cycles and economic growth," Journal of Macroeconomics, Elsevier, vol. 25(2), pages 255-275, June.
  42. Khurshid M. Kiani, 2009. "Asymmetries in Macroeconomic Time Series in Eleven Asian Economies," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 8(1), pages 37-54, April.
  43. Tokat, Yesim & Rachev, Svetlozar T. & Schwartz, Eduardo S., 2003. "The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 937-969, April.
  44. Darné, Olivier, 2009. "The uncertain unit root in real GNP: A re-examination," Journal of Macroeconomics, Elsevier, vol. 31(1), pages 153-166, March.
  45. E. Ruiz & M.A. Carnero & D. Pereira, 2004. "Effects of Level Outliers on the Identification and Estimation of GARCH Models," Econometric Society 2004 Australasian Meetings 21, Econometric Society.
  46. Hina, Hafsa & Qayyum, Abdul, 2015. "Exchange Rate Determination and Out of Sample Forecasting: Cointegration Analysis," MPRA Paper 61997, University Library of Munich, Germany.
  47. Pavel Cizek & Wolfgang Härdle, 2006. "Robust Econometrics," SFB 649 Discussion Papers SFB649DP2006-050, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  48. Darne, Olivier & Diebolt, Claude, 2004. "Unit roots and infrequent large shocks: new international evidence on output," Journal of Monetary Economics, Elsevier, vol. 51(7), pages 1449-1465, October.
  49. Hina, Hafsa & Qayyum, Abdul, 2013. "Estimation of Keynesian Exchange Rate Model of Pakistan by Considering Critical Events and Multiple Cointegrating Vectors," MPRA Paper 52611, University Library of Munich, Germany.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.