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Estimating turning points using large data sets

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Cited by:

  1. Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2015. "Dynamic predictive density combinations for large data sets in economics and finance," Working Paper 2015/12, Norges Bank.
  2. Hale, Galina & Lopez, Jose A., 2019. "Monitoring banking system connectedness with big data," Journal of Econometrics, Elsevier, vol. 212(1), pages 203-220.
  3. Hasse, Jean-Baptiste & Lajaunie, Quentin, 2022. "Does the yield curve signal recessions? New evidence from an international panel data analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 9-22.
  4. Monica Billio & Roberto Casarin & Enrica De Cian & Malcolm Mistry & Anthony Osuntuyi, 2020. "The impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach," Papers 2012.14693, arXiv.org.
  5. Sergey V. Smirnov & Nikolay V. Kondrashov & Anna V. Petronevich, 2017. "Dating Cyclical Turning Points for Russia: Formal Methods and Informal Choices," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 13(1), pages 53-73, May.
  6. Agudze, Komla M. & Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco, 2022. "Markov switching panel with endogenous synchronization effects," Journal of Econometrics, Elsevier, vol. 230(2), pages 281-298.
  7. Aastveit, Knut Are & Jore, Anne Sofie & Ravazzolo, Francesco, 2016. "Identification and real-time forecasting of Norwegian business cycles," International Journal of Forecasting, Elsevier, vol. 32(2), pages 283-292.
  8. António Rua, . "Dating the Portuguese business cycle," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
  9. Maximo Camacho & María Dolores Gadea & Ana Gómez-Loscos, 2021. "An Automatic Algorithm to Date the Reference Cycle of the Spanish Economy," Mathematics, MDPI, vol. 9(18), pages 1-17, September.
  10. T. Daniel Coggin, 2023. "CO2, SO2 and economic growth: a cross-national panel study," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(2), pages 437-457, June.
  11. Berge, Travis & De Ridder, Maarten & Pfajfar, Damjan, 2021. "When is the fiscal multiplier high? A comparison of four business cycle phases," European Economic Review, Elsevier, vol. 138(C).
  12. Aastveit, Knut Are & Anundsen, André K. & Herstad, Eyo I., 2019. "Residential investment and recession predictability," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1790-1799.
  13. van Os, Bram & van Dijk, Dick, 2024. "Accelerating peak dating in a dynamic factor Markov-switching model," International Journal of Forecasting, Elsevier, vol. 40(1), pages 313-323.
  14. Pascal Michaillat & Emmanuel Saez, 2024. "Has the Recession Started?," Papers 2408.05856, arXiv.org, revised Sep 2024.
  15. Casarin, Roberto & Costola, Michele, 2019. "Structural changes in large economic datasets: A nonparametric homogeneity test," Economics Letters, Elsevier, vol. 176(C), pages 55-59.
  16. Li, Haixi & Sheng, Xuguang Simon & Yang, Jingyun, 2021. "Monitoring recessions: A Bayesian sequential quickest detection method," International Journal of Forecasting, Elsevier, vol. 37(2), pages 500-510.
  17. Nissilä, Wilma, 2020. "Probit based time series models in recession forecasting – A survey with an empirical illustration for Finland," BoF Economics Review 7/2020, Bank of Finland.
  18. Daniele Massacci, 2017. "Tail Risk Dynamics in Stock Returns: Links to the Macroeconomy and Global Markets Connectedness," Management Science, INFORMS, vol. 63(9), pages 3072-3089, September.
  19. Tan, Zhengxun & Liu, Juan & Chen, Juanjuan, 2021. "Detecting stock market turning points using wavelet leaders method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 565(C).
  20. Grigoraş, Veaceslav & Stanciu, Irina Eusignia, 2016. "New evidence on the (de)synchronisation of business cycles: Reshaping the European business cycle," International Economics, Elsevier, vol. 147(C), pages 27-52.
  21. Joseph Gerald Hirschberg & Jeanette Ngaire Lye, 2020. "Grading Journals In Economics: The Abcs Of The Abdc," Journal of Economic Surveys, Wiley Blackwell, vol. 34(4), pages 876-921, September.
  22. James Mitchell & Gary Koop & Stuart McIntyre & Aubrey Poon, 2020. "Reconciled Estimates of Monthly GDP in the US," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2020-16, Economic Statistics Centre of Excellence (ESCoE).
  23. Arabinda Basistha, "undated". "Estimates of Quarterly and Monthly Episodes of Global Recessions: Evidence from Markov-switching Dynamic Factor Models," Working Papers 24-07, Department of Economics, West Virginia University.
  24. Michael W. McCracken & Serena Ng, 2016. "FRED-MD: A Monthly Database for Macroeconomic Research," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(4), pages 574-589, October.
  25. Palenzuela, Diego Rodriguez & Saiz, Lorena & Stoevsky, Grigor & Tóth, Máté & Warmedinger, Thomas & Grigoraș, Veaceslav, 2024. "The euro area business cycle and its drivers," Occasional Paper Series 354, European Central Bank.
  26. Roberto Casarin & Fausto Corradin & Francesco Ravazzolo & Nguyen Domenico Sartore & Wing-Keung Wong, 2020. "A Scoring Rule for Factor and Autoregressive Models Under Misspecification," Advances in Decision Sciences, Asia University, Taiwan, vol. 24(2), pages 66-103, June.
  27. Gießler Stefan & Heinisch Katja & Holtemöller Oliver, 2021. "(Since When) Are East and West German Business Cycles Synchronised?," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 241(1), pages 1-28, February.
  28. Alexandre Bonnet R. Costa & Pedro Cavalcanti G. Ferreira & Wagner Piazza Gaglianone & Osmani Teixeira C. Guillén & João Victor Issler & Artur Brasil Fialho Rodrigues, 2023. "Predicting Recessions in (almost) Real Time in a Big-data Setting," Working Papers Series 587, Central Bank of Brazil, Research Department.
  29. Rafael R. S. Guimaraes, 2022. "Deep Learning Macroeconomics," Papers 2201.13380, arXiv.org.
  30. Marco Rubilar-González & Gabriel Pino, 2018. "Are Euro-Area expectations about recession phases effective to anticipate consequences of economic crises?," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 9(2), pages 141-161, June.
  31. Juhro, Solikin M. & Iyke, Bernard Njindan & Narayan, Paresh Kumar, 2024. "Capital flow dynamics and the synchronization of financial cycles and business cycles in emerging market economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 92(C).
  32. Knut Are Aastveit & Francesco Ravazzolo & Herman K. van Dijk, 2018. "Combined Density Nowcasting in an Uncertain Economic Environment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(1), pages 131-145, January.
  33. Giusto, Andrea & Piger, Jeremy, 2017. "Identifying business cycle turning points in real time with vector quantization," International Journal of Forecasting, Elsevier, vol. 33(1), pages 174-184.
  34. Daniel Felix Ahelegbey & Monica Billio & Roberto Casarin, 2016. "Sparse Graphical Vector Autoregression: A Bayesian Approach," Annals of Economics and Statistics, GENES, issue 123-124, pages 333-361.
  35. Yongchen Zhao, 2020. "Predicting U.S. Business Cycle Turning Points Using Real-Time Diffusion Indexes Based on a Large Data Set," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 16(2), pages 77-97, November.
  36. van Binsbergen, Jules H. & Koijen, Ralph S.J., 2017. "The term structure of returns: Facts and theory," Journal of Financial Economics, Elsevier, vol. 124(1), pages 1-21.
  37. André Nunes Maranhão, 2024. "Brazilian Business Cycle Analysis in a High-Dimensional and Time-Irregular Span Context," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 20(1), pages 1-58, August.
  38. Urga, Giovanni & Wang, Fa, 2022. "Estimation and Inference for High Dimensional Factor Model with Regime Switching," MPRA Paper 117012, University Library of Munich, Germany, revised 10 Apr 2023.
  39. Eraslan, Sercan & Schröder, Maximilian, 2023. "Nowcasting GDP with a pool of factor models and a fast estimation algorithm," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1460-1476.
  40. André Nunes Maranhão & Nicole Rennó Castro, 2023. "Dissecting Brazilian agriculture business cycles in high-dimensional and time-irregular span contexts," Empirical Economics, Springer, vol. 65(4), pages 1543-1578, October.
  41. Canova, Fabio & Ferroni, Filippo, 2020. "A hitchhiker guide to empirical macro models," CEPR Discussion Papers 15446, C.E.P.R. Discussion Papers.
  42. Joe Hirschberg & Jenny Lye, 2020. "Visualising Time: A Compendium of Time Series Plots," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 53(2), pages 270-291, June.
  43. António Rua, 2017. "Dating the Portuguese business cycle," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
  44. Maximo Camacho & María Dolores Gadea & Ana Gómez Loscos, 2022. "A New Approach to Dating the Reference Cycle," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(1), pages 66-81, January.
  45. Giovanni Urga & Fa Wang, 2022. "Estimation and Inference for High Dimensional Factor Model with Regime Switching," Papers 2205.12126, arXiv.org, revised Apr 2023.
  46. Mariano Kulish & Adrian Pagan, 2021. "Turning point and oscillatory cycles: Concepts, measurement, and use," Journal of Economic Surveys, Wiley Blackwell, vol. 35(4), pages 977-1006, September.
  47. Pawel Dlotko & Simon Rudkin, 2019. "The Topology of Time Series: Improving Recession Forecasting from Yield Spreads," Working Papers 2019-02, Swansea University, School of Management.
  48. Casarin, Roberto & Grassi, Stefano & Ravazzolo, Francesco & van Dijk, Herman K., 2023. "A flexible predictive density combination for large financial data sets in regular and crisis periods," Journal of Econometrics, Elsevier, vol. 237(2).
  49. Gabriele Galati & Irma Hindrayanto & Siem Jan Koopman & Marente Vlekke, 2016. "Measuring financial cycles with a model-based filter: Empirical evidence for the United States and the euro area," DNB Working Papers 495, Netherlands Central Bank, Research Department.
  50. Eraslan, Sercan & Nöller, Marvin, 2020. "Recession probabilities falling from the STARs," Discussion Papers 08/2020, Deutsche Bundesbank.
  51. repec:wrk:wrkemf:37 is not listed on IDEAS
  52. Patrik Kupkovic & Martin Suster, 2020. "Identifying the Financial Cycle in Slovakia," Working and Discussion Papers WP 2/2020, Research Department, National Bank of Slovakia.
  53. Julien Chevallier & Bangzhu Zhu & Lyuyuan Zhang, 2021. "Forecasting Inflection Points: Hybrid Methods with Multiscale Machine Learning Algorithms," Computational Economics, Springer;Society for Computational Economics, vol. 57(2), pages 537-575, February.
  54. Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2019. "Forecast density combinations with dynamic learning for large data sets in economics and finance," Working Paper 2019/7, Norges Bank.
  55. Yasutomo Murasawa, 2016. "The Beveridge–Nelson decomposition of mixed-frequency series," Empirical Economics, Springer, vol. 51(4), pages 1415-1441, December.
  56. Yoshihiro Ohtsuka, 2018. "Large Shocks and the Business Cycle: The Effect of Outlier Adjustments," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 14(1), pages 143-178, April.
  57. Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2020. "A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance," Working Paper series 20-27, Rimini Centre for Economic Analysis.
  58. Urga, Giovanni & Wang, Fa, 2024. "Estimation and inference for high dimensional factor model with regime switching," Journal of Econometrics, Elsevier, vol. 241(2).
  59. Dalia Mansour-Ibrahim, 2023. "Are the Eurozone Financial and Business Cycles Convergent Across Time and Frequency?," Computational Economics, Springer;Society for Computational Economics, vol. 61(1), pages 389-427, January.
  60. Federico Bassetti & Roberto Casarin & Francesco Ravazzolo, 2019. "Density Forecasting," BEMPS - Bozen Economics & Management Paper Series BEMPS59, Faculty of Economics and Management at the Free University of Bozen.
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