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Citations for "Further Evidence on Business-Cycle Duration Dependence"

by Francis X. Diebold & Glenn Rudebusch & Daniel Sichel

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  1. Vitor Castro, 2010. "The duration of business cycle expansions and contractions: Are there change-points in duration dependence?," GEMF Working Papers 2010-18, GEMF - Faculdade de Economia, Universidade de Coimbra.
  2. Michael J. Dueker & Andreas M. Fischer, 1997. "The FOMC in 1996: "watchful waiting"," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 7-23.
  3. Claessens, Stijn & Kose, M. Ayhan & Terrones, Marco E., 2012. "How do business and financial cycles interact?," Journal of International Economics, Elsevier, vol. 87(1), pages 178-190.
  4. Michael P. Clements & Hans-Martin Krolzig, 2004. "Can regime-switching models reproduce the business cycle features of US aggregate consumption, investment and output?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(1), pages 1-14.
  5. Francis X. Diebold & Glenn D. Rudebusch, 1994. "Measuring Business Cycles: A Modern Perspective," NBER Working Papers 4643, National Bureau of Economic Research, Inc.
  6. Douglas Sutherland & Peter Hoeller, 2013. "Growth-promoting Policies and Macroeconomic Stability," OECD Economics Department Working Papers 1091, OECD Publishing.
  7. Di Guilmi, C. & Gaffeo, E. & Gallegati, M. & Palestrini, A., 2005. "International Evidence on Business Cycle Magnitude Dependence: An Analyisis of 16 Industrialized Countries, 1881-2000," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 2(1), pages 5-16.
  8. Lunde A. & Timmermann A., 2004. "Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 253-273, July.
  9. Chang-Jin Kim & Chris Murray, 1999. "Permanent and Transitory Nature of Recessions," Working Papers 0041, University of Washington, Department of Economics.
  10. Thomas C. Melzer, 1997. "To conclude: keep inflation low and, in principle, eliminate it," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 3-7.
  11. Vitor Castro, 2013. "The Portuguese stock market cycle: Chronology and duration dependence," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing,Centre for International Research on Economic Tendency Surveys, vol. 2013(1), pages 1-23.
  12. 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.
  13. Vitor Castro, 2011. "The Portuguese Business Cycle: Chronology and Duration Dependence," GEMF Working Papers 2011-07, GEMF - Faculdade de Economia, Universidade de Coimbra.
  14. repec:wyi:journl:002127 is not listed on IDEAS
  15. 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.
  16. 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.
  17. Barrera, Carlos, 2009. "Ciclos sectoriales de los negocios en el Perú e indicadores anticipados para el crecimiento del PBI no primario," Working Papers 2009-013, Banco Central de Reserva del Perú.
  18. Massimo Guidolin & Carrie Fangzhou Na, 2007. "The economic and statistical value of forecast combinations under regime switching: an application to predictable U.S. returns," Working Papers 2006-059, Federal Reserve Bank of St. Louis.
  19. Marco Terrones & M. Ayhan Kose & Stijn Claessens, 2011. "Financial Cycles: What? How? When?," IMF Working Papers 11/76, International Monetary Fund.
  20. Vitor Castro, 2015. "The Portuguese business cycle: chronology and duration dependence," Empirical Economics, Springer, vol. 49(1), pages 325-342, August.
  21. Matteo Pelagatti, 2003. "Duration Dependent Markov-Switching Vector Autoregression: Properties, Bayesian Inference, Software and Application," Working Papers 20051101, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica, revised Nov 2005.
  22. 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.
  23. Andrew J. Filardo & Stephen F. Gordon, 1993. "Business cycle durations," Research Working Paper 93-11, Federal Reserve Bank of Kansas City.
  24. Harman, Yvette S. & Zuehlke, Thomas W., 2007. "Nonlinear duration dependence in stock market cycles," Review of Financial Economics, Elsevier, vol. 16(4), pages 350-362.
  25. Ángel Guillén & Gabriel Rodríguez, 2014. "Trend-cycle decomposition for Peruvian GDP: application of an alternative method," Latin American Economic Review, Springer, vol. 23(1), pages 1-44, December.
  26. Terence Mills, 2001. "Business cycle asymmetry and duration dependence: An international perspective," Journal of Applied Statistics, Taylor & Francis Journals, vol. 28(6), pages 713-724.
  27. Castro, Vítor, 2010. "The duration of economic expansions and recessions: More than duration dependence," Journal of Macroeconomics, Elsevier, vol. 32(1), pages 347-365, March.
  28. Liu, Ming, 2000. "Modeling long memory in stock market volatility," Journal of Econometrics, Elsevier, vol. 99(1), pages 139-171, November.
  29. Francis X. Diebold & Glenn D. Rudebusch, 2001. "Five questions about business cycles," Economic Review, Federal Reserve Bank of San Francisco, pages 1-15.
  30. du Plessis, S. A., 2004. "Stretching the South African business cycle," Economic Modelling, Elsevier, vol. 21(4), pages 685-701, July.
  31. Rodriguez Gabriel, 2007. "Application of Three Alternative Approaches to Identify Business Cycles in Peru," Working Papers 2007-007, Banco Central de Reserva del Perú.
  32. 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.
  33. Taamouti, Abderrahim, 2009. "Analytical Value-at-Risk and Expected Shortfall under regime-switching," Finance Research Letters, Elsevier, vol. 6(3), pages 138-151, September.
  34. 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.
  35. 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.
  36. Philip Lowe, 2002. "Credit risk measurement and procyclicality," BIS Working Papers 116, Bank for International Settlements.
  37. Hui, Eddie Chi-Man & Wang, Ziyou, 2015. "Can we predict the property cycle? A study of securitized property market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 426(C), pages 72-87.
  38. Matteo M. Pelagatti, 2005. "Time Series Modeling with Duration Dependent Markov-Switching Vector Autoregressions: MCMC Inference, Software and Applications," Econometrics 0503008, EconWPA.
  39. Rose Cunningham & Ilan Kolet, 2007. "Housing Market Cycles and Duration Dependence in the United States and Canada," Working Papers 07-2, Bank of Canada.
  40. Everts, Martin, 2006. "Duration of Business Cycles," MPRA Paper 1219, University Library of Munich, Germany.
  41. Corrado Di Guilmi & Edoardo Gaffeo & Mauro Gallegati & Antonio Palestrini, 2004. "International evidence on business cycle magnitude dependence," Papers cond-mat/0401495,
  42. de Bruijn, B. & Franses, Ph.H.B.F., 2015. "Stochastic levels and duration dependence in US unemployment," Econometric Institute Research Papers EI2015-20, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.