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Business Cycle Turning Points, A New Coincident Index, And Tests Of Duration Dependence Based On A Dynamic Factor Model With Regime Switching
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- Lahiri, Kajal & Yao, Vincent Wenxiong, 2006. "Economic indicators for the US transportation sector," Transportation Research Part A: Policy and Practice, Elsevier, vol. 40(10), pages 872-887, December.
- Michael T. Owyang & Jeremy Piger & Daniel Soques, 2022.
"Contagious switching,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(2), pages 415-432, March.
- Michael T. Owyang & Jeremy M. Piger & Daniel Soques, 2019. "Contagious Switching," Working Papers 2019-014, Federal Reserve Bank of St. Louis, revised 28 Feb 2021.
- Carstensen, Kai & Heinrich, Markus & Reif, Magnus & Wolters, Maik H., 2020.
"Predicting ordinary and severe recessions with a three-state Markov-switching dynamic factor model,"
International Journal of Forecasting, Elsevier, vol. 36(3), pages 829-850.
- Heinrich, Markus & Carstensen, Kai & Reif, Magnus & Wolters, Maik, 2017. "Predicting Ordinary and Severe Recessions with a Three-State Markov-Switching Dynamic Factor Model. An Application to the German Business Cycle," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168206, Verein für Socialpolitik / German Economic Association.
- Kai Carstensen & Markus Heinrich & Magnus Reif & Maik H. Wolters, 2017. "Predicting Ordinary and Severe Recessions with a Three-State Markov-Switching Dynamic Factor Model. An Application to the German Business Cycle," CESifo Working Paper Series 6457, CESifo.
- Kai Carstensen & Markus Heinrich & Magnus Reif & Maik H. Wolters, 2019. "Predicting Ordinary and Severe Recessions with a Three-State Markov-Switching Dynamic Factor Model," Jena Economics Research Papers 2019-006, Friedrich-Schiller-University Jena.
- Monokroussos, George & Zhao, Yongchen, 2020.
"Nowcasting in real time using popularity priors,"
International Journal of Forecasting, Elsevier, vol. 36(3), pages 1173-1180.
- Monokroussos, George, 2015. "Nowcasting in Real Time Using Popularity Priors," MPRA Paper 68594, University Library of Munich, Germany.
- George Monokroussos & Yongchen Zhao, 2020. "Nowcasting in Real Time Using Popularity Priors," Working Papers 2020-01, Towson University, Department of Economics, revised Feb 2020.
- Valentina Aprigliano & Danilo Liberati, 2021.
"Using Credit Variables to Date Business Cycle and to Estimate the Probabilities of Recession in Real Time,"
Manchester School, University of Manchester, vol. 89(S1), pages 76-96, September.
- Valentina Aprigliano & Danilo Liberati, 2019. "Using credit variables to date business cycle and to estimate the probabilities of recession in real time," Temi di discussione (Economic working papers) 1229, Bank of Italy, Economic Research and International Relations Area.
- Drew Creal & Siem Jan Koopman & Eric Zivot, 2008. "The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model," Tinbergen Institute Discussion Papers 08-069/4, Tinbergen Institute.
- Kose, M. Ayhan & Ha, Jongrim & Otrok, Christopher & Prasad, Eswar, 2020.
"Global Macro-Financial Cycles and Spillovers,"
CEPR Discussion Papers
14404, C.E.P.R. Discussion Papers.
- Ha, Jongrim & Kose, M. Ayhan & Otrok, Christopher & Prasad, Eswar, 2020. "Global Macro-Financial Cycles and Spillovers," IZA Discussion Papers 13000, Institute of Labor Economics (IZA).
- Jongrim Ha & M. Ayhan Kose & Christopher Otrok & Eswar S. Prasad, 2020. "Global Macro-Financial Cycles and Spillovers," Koç University-TUSIAD Economic Research Forum Working Papers 2004, Koc University-TUSIAD Economic Research Forum.
- Jongrim Ha & M. Ayhan Kose & Christopher Otrok & Eswar S. Prasad, 2020. "Global Macro-Financial Cycles and Spillovers," NBER Working Papers 26798, National Bureau of Economic Research, Inc.
- Jongrim Ha & M. Ayhan Kose & Christopher Otrok & Eswar S. Prasad, 2020. "Global macro-financial cycles and spillovers," CAMA Working Papers 2020-12, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Catherine Doz & Laurent Ferrara & Pierre-Alain Pionnier, 2020.
"Business cycle dynamics after the Great Recession: An Extended Markov-Switching Dynamic Factor Model,"
Working Papers
halshs-02443364, HAL.
- Catherine Doz & Laurent Ferrara & Pierre-Alain Pionnier, 2020. "Business cycle dynamics after the Great Recession: An extended Markov-Switching Dynamic Factor Model," OECD Statistics Working Papers 2020/01, OECD Publishing.
- Catherine Doz & Laurent Ferrara & Pierre-Alain Pionnier, 2020. "Business cycle dynamics after the Great Recession: An Extended Markov-Switching Dynamic Factor Model," PSE Working Papers halshs-02443364, HAL.
- Andrea Carriero & Massimiliano Marcellino, 2011.
"Sectoral Survey‐based Confidence Indicators for Europe,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 73(2), pages 175-206, April.
- Andrea Carriero & Massimiliano Marcellino, 2007. "Sectoral Survey-based Confidence Indicators for Europe," Working Papers 320, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
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- Sylvia Kaufmann, 2002.
"Is there an asymmetric effect of monetary policy over time? A Bayesian analysis using Austrian data,"
Empirical Economics, Springer, vol. 27(2), pages 277-297.
- Sylvia Kaufmann, 2001. "Is there an asymmetric effect on monetary policy over time? A bayesian analysis using Austrian data," Working Papers 45, Oesterreichische Nationalbank (Austrian Central Bank).
- Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2015. "Was the recent downturn in US real GDP predictable?," Applied Economics, Taylor & Francis Journals, vol. 47(28), pages 2985-3007, June.
- Congressional Budget Office, 2022. "A Markov-Switching Model of the Unemployment Rate: Working Paper 2022-05," Working Papers 57582, Congressional Budget Office.
- Michael T. Owyang, 2002. "Modeling Volcker as a non-absorbing state: agnostic identification of a Markov-switching VAR," Working Papers 2002-018, Federal Reserve Bank of St. Louis.
- Kim, Chang-Jin & Nelson, Charles R, 2001.
"A Bayesian Approach to Testing for Markov-Switching in Univariate and Dynamic Factor Models,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(4), pages 989-1013, November.
- Chang-Jin Kim & Charles Nelson, 1998. "A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models," Discussion Papers in Economics at the University of Washington 0059, Department of Economics at the University of Washington.
- 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.
- Chang-Jin Kim & Charles Nelson, 1999. "A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models," Discussion Papers in Economics at the University of Washington 0035, Department of Economics at the University of Washington.
- Chang-Jin Kim & Charles Nelson, 1998. "A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models," Working Papers 0059, University of Washington, Department of Economics.
- Owyang, Michael T. & Piger, Jeremy M. & Wall, Howard J. & Wheeler, Christopher H., 2008.
"The economic performance of cities: A Markov-switching approach,"
Journal of Urban Economics, Elsevier, vol. 64(3), pages 538-550, November.
- Michael T. Owyang & Jeremy M. Piger & Howard J. Wall & Christopher H. Wheeler, 2007. "The economic performance of cities: a Markov-switching approach," Working Papers 2006-056, Federal Reserve Bank of St. Louis.
- Sarantis Tsiaplias, 2009. "Examining Feedback, Momentum and Overreaction in National Equity Markets," Melbourne Institute Working Paper Series wp2009n18, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- 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.
- Sarantis Tsiaplias & Chew Lian Chua, 2013. "A Multivariate GARCH Model Incorporating the Direct and Indirect Transmission of Shocks," Econometric Reviews, Taylor & Francis Journals, vol. 32(2), pages 244-271, February.
- Donato Ceci & Andrea Silvestrini, 2023.
"Nowcasting the state of the Italian economy: The role of financial markets,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1569-1593, November.
- Donato Ceci & Andrea Silvestrini, 2022. "Nowcasting the state of the Italian economy: the role of financial markets," Temi di discussione (Economic working papers) 1362, Bank of Italy, Economic Research and International Relations Area.
- Camacho, Maximo & Martinez-Martin, Jaime, 2015.
"Monitoring the world business cycle,"
Economic Modelling, Elsevier, vol. 51(C), pages 617-625.
- Maximo Camacho & Jaime Martinez-Martin, 2015. "Monitoring the world business cycle," Working Papers 1509, Banco de España.
- Maximo Camacho & Jaime Martinez-Martin, 2015. "Monitoring the world business cycle," Globalization Institute Working Papers 228, Federal Reserve Bank of Dallas.
- Maximo Camacho & Jaime Martinez Martin, 2015. "Monitoring the world business cycle," Working Papers 1506, BBVA Bank, Economic Research Department.
- Nataša Erjavec & Petar Soriæ & Mirjana Èižmešija, 2016. "Predicting the probability of recession in Croatia: Is economic sentiment the missing link?," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 34(2), pages 555-579.
- 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.
- Owyang, Michael T. & Ramey, Garey, 2004.
"Regime switching and monetary policy measurement,"
Journal of Monetary Economics, Elsevier, vol. 51(8), pages 1577-1597, November.
- Owyang, Michael T. & Ramey, Garey, 2001. "Regime Switching and Monetary Policy Measurement," University of California at San Diego, Economics Working Paper Series qt24q32688, Department of Economics, UC San Diego.
- Michael T. Owyang & Garey Ramey, 2003. "Regime switching and monetary policy measurement," Working Papers 2001-002, Federal Reserve Bank of St. Louis.
- Jonas Krampe & Luca Margaritella, 2021. "Factor Models with Sparse VAR Idiosyncratic Components," Papers 2112.07149, arXiv.org, revised May 2022.
- Petre Caraiani & Adrian Cantemir Călin, 2020. "Housing markets, monetary policy, and the international co‐movement of housing bubbles," Review of International Economics, Wiley Blackwell, vol. 28(2), pages 365-375, May.
- Maheu, John M. & McCurdy, Thomas H., 2000.
"Volatility dynamics under duration-dependent mixing,"
Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 345-372, November.
- John M. Maheu & Tom McCurdy, 2000. "Volatility Dynamics Under Duration-Dependent Mixing," Econometric Society World Congress 2000 Contributed Papers 1427, Econometric Society.
- Huang, Yu-Fan & Startz, Richard, 2020. "Improved recession dating using stock market volatility," International Journal of Forecasting, Elsevier, vol. 36(2), pages 507-514.
- Katsuhiro Sugita, 2016. "Bayesian inference in Markov switching vector error correction model," Economics Bulletin, AccessEcon, vol. 36(3), pages 1534-1546.
- Stock, James H. & Watson, Mark, 2011. "Dynamic Factor Models," Scholarly Articles 28469541, Harvard University Department of Economics.
- 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.
- Fabio Canova & Matteo Ciccarelli, 2009.
"Estimating Multicountry Var Models,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 50(3), pages 929-959, August.
- Fabio Canova & Matteo Ciccarelli, 2002. "Estimating multi-country VAR models," Economics Working Papers 920, Department of Economics and Business, Universitat Pompeu Fabra, revised Apr 2008.
- Matteo Ciccarelli & Fabio Canova, 2006. "Estimating Multi-country VAR models," Computing in Economics and Finance 2006 478, Society for Computational Economics.
- Canova, Fabio & Ciccarelli, Matteo, 2006. "Estimating multi-country VAR models," Working Paper Series 603, European Central Bank.
- Fabio Canova & Matteo Ciccarelli, 2007. "Estimating Multi-country VAR models," Discussion Papers 7_2007, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy.
- Camacho, Maximo & Perez-Quiros, Gabriel & Poncela, Pilar, 2018.
"Markov-switching dynamic factor models in real time,"
International Journal of Forecasting, Elsevier, vol. 34(4), pages 598-611.
- Pérez-Quirós, Gabriel & Poncela, Pilar & Camacho, Máximo, 2012. "Markov-switching dynamic factor models in real time," CEPR Discussion Papers 8866, C.E.P.R. Discussion Papers.
- Maximo Camacho & Gabriel Perez-Quiros & Pilar Poncela, 2012. "Markov-switching dynamic factor models in real time," Working Papers 1205, Banco de España.
- Stöber, Jakob & Czado, Claudia, 2014. "Regime switches in the dependence structure of multidimensional financial data," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 672-686.
- Michael T. Owyang & Jeremy Piger & Howard J. Wall, 2005.
"Business Cycle Phases in U.S. States,"
The Review of Economics and Statistics, MIT Press, vol. 87(4), pages 604-616, November.
- Michael T. Owyang & Jeremy M. Piger & Howard J. Wall, 2004. "Business cycle phases in U.S. states," Working Papers 2003-011, Federal Reserve Bank of St. Louis.
- Olivier Darné & Laurent Ferrara, 2011.
"Identification of Slowdowns and Accelerations for the Euro Area Economy,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 73(3), pages 335-364, June.
- Ferrara, Laurent & Darné, Olivier, 2009. "Identification of slowdowns and accelerations for the euro area economy," CEPR Discussion Papers 7376, C.E.P.R. Discussion Papers.
- Darné, O. & Ferrara, L., 2009. "Identification of slowdowns and accelerations for the euro area economy," Working papers 239, Banque de France.
- Florian Huber & Manfred M. Fischer, 2018.
"A Markov Switching Factor‐Augmented VAR Model for Analyzing US Business Cycles and Monetary Policy,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 80(3), pages 575-604, June.
- Huber, Florian & Fischer, Manfred M., 2015. "A Markov switching factor-augmented VAR model for analyzing US business cycles and monetary policy," Department of Economics Working Paper Series 201, WU Vienna University of Economics and Business.
- Florian Huber & Manfred M. Fischer, 2015. "A Markov switching factor-augmented VAR model for analyzing US business cycles and monetary policy," Department of Economics Working Papers wuwp201, Vienna University of Economics and Business, Department of Economics.
- 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.
- Sergey V. Smirnov & Nikolai V. Kondrashov & Anna V. Petronevich, 2016. "Dating Cyclical Turning Points for Russia: Formal Methods and Informal Choices," HSE Working papers WP BRP 122/EC/2016, National Research University Higher School of Economics.
- Sergey Smirnov & Nikolay Kondrashov & Anna Petronevich, 2017. "Dating Cyclical Turning Points for Russia: Formal Methods and Informal Choices," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01692230, HAL.
- Sergey Smirnov & Nikolay Kondrashov & Anna Petronevich, 2017. "Dating Cyclical Turning Points for Russia: Formal Methods and Informal Choices," Post-Print hal-01692230, HAL.
- 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.
- Giner, Javier & Zakamulin, Valeriy, 2023. "A regime-switching model of stock returns with momentum and mean reversion," Economic Modelling, Elsevier, vol. 122(C).
- Sylvia Kaufmann, 2014. "K-state switching models with time-varying transition distributions – Does credit growth signal stronger effects of variables on inflation?," Working Papers 14.04, Swiss National Bank, Study Center Gerzensee.
- Shintani, Mototsugu, 2008.
"A dynamic factor approach to nonlinear stability analysis,"
Journal of Economic Dynamics and Control, Elsevier, vol. 32(9), pages 2788-2808, September.
- Mototsugu Shintani, 2004. "A Dynamic Factor Approach to Nonlinear Stability Analysis," Levine's Bibliography 122247000000000621, UCLA Department of Economics.
- Mototsugu Shintani, 2004. "A Dynamic Factor Approach to Nonlinear Stability Analysis," Vanderbilt University Department of Economics Working Papers 0418, Vanderbilt University Department of Economics.
- Mototsugu Shintani, 2004. "A Dynamic Factor Approach to Nonlinear Stability Analysis," Econometric Society 2004 Far Eastern Meetings 538, Econometric Society.
- Nicholas Sly & Caroline Weber, 2013. "International Fiscal Policy Coordination and GDP Comovement," CESifo Working Paper Series 4358, CESifo.
- Ritschl, Albrecht & Sarferaz, Samad, 2009.
"Crisis? What Crisis? Currency vs. Banking in the Financial Crisis of 1931,"
CEPR Discussion Papers
7610, C.E.P.R. Discussion Papers.
- Ritschl, Albrecht & Sarferaz, Samad, 2010. "Crisis? What crisis? Currency vs. banking in the Financial Crisis of 1931," SFB 649 Discussion Papers 2010-014, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Albrecht Ritschl & Samad Salferaz, 2010. "Crisis? What Crisis? Currency vs. Banking in the Financial Crisis of 1931," CEP Discussion Papers dp0977, Centre for Economic Performance, LSE.
- Ritschl, Albrecht & Salferaz, Samad, 2010. "Crisis?: What crisis?: currency vs. banking in the financial crisis of 1931," LSE Research Online Documents on Economics 28726, London School of Economics and Political Science, LSE Library.
- Yoon & Jae Ho, 2004. "Has the G7 business cycle become more synchronized ?," Econometric Society 2004 Far Eastern Meetings 782, Econometric Society.
- J. Polzehl & V. Spokoiny & C. Starica, 2004.
"When did the 2001 recession really start?,"
Econometrics
0411017, University Library of Munich, Germany.
- Polzehl, Jörg & Spokoiny, Vladimir & Stărică, Cătălin, 2006. "When did the 2001 recession really start?," SFB 649 Discussion Papers 2006-032, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Konstantin A. Kholodilin, 2006.
"Using the Dynamic Bi-Factor Model with Markov Switching to Predict the Cyclical Turns in the Large European Economies,"
Discussion Papers of DIW Berlin
554, DIW Berlin, German Institute for Economic Research.
- Konstantin A. Kholodilin, 2007. "Using the Dynamic Bi-Factor Model with Markov Switching to Predict the Cyclical Turns in the Large European Economies," Money Macro and Finance (MMF) Research Group Conference 2006 13, Money Macro and Finance Research Group.
- Monica Billio & Laurent Ferrara & Dominique Guegan & Gian Luigi Mazzi, 2009.
"Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro,"
Documents de travail du Centre d'Economie de la Sorbonne
09053, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Monica Billio & Laurent Ferrara & Dominique Guegan & Gian Luigi Mazzi, 2009. "Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro area," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00423890, HAL.
- Monica Billio & Laurent Ferrara & Dominique Guegan & Gian Luigi Mazzi, 2009. "Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro area," Post-Print halshs-00423890, HAL.
- Tomoyuki Yagi & Masako Takahashi, 2016. "Business cycle turning points based on DEA-discriminant analysis," Applied Economics, Taylor & Francis Journals, vol. 48(44), pages 4251-4256, September.
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"How to Predict Financial Stress? An Assessment of Markov Switching Models,"
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- Travis J. Berge & Damjan Pfajfar, 2019. "Duration Dependence, Monetary Policy Asymmetries, and the Business Cycle," Finance and Economics Discussion Series 2019-020, Board of Governors of the Federal Reserve System (U.S.).
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Journal of Property Research, Taylor & Francis Journals, vol. 37(4), pages 289-307, October.
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"Nonlinear Forecasting Analysis Using Diffusion Indexes: An Application to Japan,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(3), pages 517-538, June.
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"A comparison of methods for the construction of composite coincident and leading indexes for the UK,"
International Journal of Forecasting, Elsevier, vol. 23(2), pages 219-236.
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Economics Letters, Elsevier, vol. 157(C), pages 45-49.
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"The Dynamic Relationship between Permanent and Transitory Components of U.S. Business Cycles,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(1), pages 187-204, February.
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- Chang-Jin Kim & Jeremy Piger & Richard Startz, 2003. "The Dynamic Relationship Between Permanent and Transitory Components of U.S. Business Cycle," Working Papers UWEC-2003-36, University of Washington, Department of Economics.
- Chang-Jin Kim & Jeremy M. Piger & Richard Startz, 2005. "The dynamic relationship between permanent and transitory components of U.S. business cycles," Working Papers 2001-017, Federal Reserve Bank of St. Louis.
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"On the consistency of the two-step estimates of the MS-DFM: a Monte Carlo study,"
Working Papers
halshs-01592863, HAL.
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- Hamilton, James D., 2011.
"Calling recessions in real time,"
International Journal of Forecasting, Elsevier, vol. 27(4), pages 1006-1026, October.
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- Roberto S. Mariano & Yasutomo Murasawa, 2003. "A new coincident index of business cycles based on monthly and quarterly series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 427-443.
- 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.
- Castro, Vítor, 2008. "The duration of economic expansions and recessions : More than duration dependence," The Warwick Economics Research Paper Series (TWERPS) 860, University of Warwick, Department of Economics.
- Vítor Castro, 2008. "The duration of economic expansions and recessions: More than duration dependence," NIPE Working Papers 18/2008, NIPE - Universidade do Minho.
- Castro, Vitor, 2008. "The duration of economic expansions and recessions: More than duration dependence," Economic Research Papers 269858, University of Warwick - Department of Economics.
- Shyh-Wei Chen & Chung-Hua Shen, 2007. "Evidence of the duration-dependence from the stock markets in the Pacific Rim economies," Applied Economics, Taylor & Francis Journals, vol. 39(11), pages 1461-1474.
- Giovanni Urga & Fa Wang, 2022.
"Estimation and Inference for High Dimensional Factor Model with Regime Switching,"
Papers
2205.12126, arXiv.org, revised Apr 2023.
- Urga, Giovanni & Wang, Fa, 2022. "Estimation and inference for high dimensional factor model with regime switching," MPRA Paper 113172, University Library of Munich, Germany.
- Maximo Camacho, 2004. "Vector smooth transition regression models for US GDP and the composite index of leading indicators," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(3), pages 173-196.
- Chun-Chang Lee & Chih-Min Liang & Hsing-Jung Chou, 2013. "Identifying Taiwan real estate cycle turning points- An application of the multivariate Markov-switching autoregressive Model," Advances in Management and Applied Economics, SCIENPRESS Ltd, vol. 3(2), pages 1-1.
- John M. Maheu & Thomas H. McCurdy, 2002.
"Nonlinear Features of Realized FX Volatility,"
The Review of Economics and Statistics, MIT Press, vol. 84(4), pages 668-681, November.
- John M. Maheu & Thomas McCurdy, 2001. "Nonlinear Features of Realized FX Volatility," CIRANO Working Papers 2001s-42, CIRANO.
- Toshiya Ishikawa, 2004. "Technology Diffusion and Business Cycle Asymmetry," DEGIT Conference Papers c009_016, DEGIT, Dynamics, Economic Growth, and International Trade.
- Sarantis Tsiaplias, 2007. "A Metropolis-in-Gibbs Sampler for Estimating Equity Market Factors," Melbourne Institute Working Paper Series wp2007n18, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- Reuben Ellul, "undated". "Timing the Maltese business cycle: A historical perspective," CBM Working Papers WP/01/2021, Central Bank of Malta.
- Roberto Casarin & Komla Mawulom Agudze & Monica Billio & Eric Girardin, 2014. "Growth-cycle phases in China�s provinces: A panel Markov-switching approach," Working Papers 2014:19, Department of Economics, University of Venice "Ca' Foscari".
- 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.
- Chen, Shyh-Wei, 2007. "Measuring business cycle turning points in Japan with the Markov Switching Panel model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 76(4), pages 263-270.
- Kishor, Narayan K. & Neanidis, Kyriakos C., 2015.
"What Is Driving Financial Dollarization In Transition Economies? A Dynamic Factor Analysis,"
Macroeconomic Dynamics, Cambridge University Press, vol. 19(4), pages 816-835, June.
- Narayan K. Kishor & Kyriakos C. Neanidis, 2012. "What is Driving Financial Dollarization in Transition Economies? A Dynamic Factor Analysis," Centre for Growth and Business Cycle Research Discussion Paper Series 171, Economics, The University of Manchester.
- Baris Soybilgen, 2017. "Identifying Us Business Cycle Regimes Using Factor Augmented Neural Network Models," Working Papers 1703, The Center for Financial Studies (CEFIS), Istanbul Bilgi University.
- Monica Billio & Roberto Casarin & Matteo Iacopini, 2024.
"Bayesian Markov-Switching Tensor Regression for Time-Varying Networks,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 119(545), pages 109-121, January.
- Monica Billio & Roberto Casarin & Matteo Iacopini, 2018. "Bayesian Markov Switching Tensor Regression for Time-varying Networks," Working Papers 2018:14, Department of Economics, University of Venice "Ca' Foscari".
- Balcilar, Mehmet & Gupta, Rangan & Miller, Stephen M., 2015.
"Regime switching model of US crude oil and stock market prices: 1859 to 2013,"
Energy Economics, Elsevier, vol. 49(C), pages 317-327.
- 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.
- Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2014. "Regime Switching Model of US Crude Oil and Stock Market Prices: 1859 to 2013," Working papers 2014-26, University of Connecticut, Department of Economics.
- Giordani, Paolo & Kohn, Robert & van Dijk, Dick, 2007.
"A unified approach to nonlinearity, structural change, and outliers,"
Journal of Econometrics, Elsevier, vol. 137(1), pages 112-133, March.
- Giordani, P. & Kohn, R. & van Dijk, D.J.C., 2005. "A unified approach to nonlinearity, structural change and outliers," Econometric Institute Research Papers EI 2005-09, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Danilo Leiva-Leon & Gabriel Perez-Quiros & Eyno Rots, 2020.
"Real-time weakness of the global economy: a first assessment of the coronavirus crisis,"
Working Papers
2015, Banco de España.
- Danilo Leiva-Leon & Gabriel Pérez-Quirós & Eyno Rots, 2020. "Real-Time Weakness of the Global Economy: A First Assessment of the Coronavirus Crisis," MNB Working Papers 2020/4, Magyar Nemzeti Bank (Central Bank of Hungary).
- Perez-Quiros, Gabriel & Rots, Eyno & Leiva-Leon, Danilo, 2020. "Real-time weakness of the global economy: a first assessment of the coronavirus crisis," Working Paper Series 2381, European Central Bank.
- Pérez-Quirós, Gabriel & Leiva-León, Danilo & Rots, Eyno, 2020. "Real-Time Weakness of the Global Economy: A First Assessment of the Coronavirus Crisis," CEPR Discussion Papers 14484, C.E.P.R. Discussion Papers.
- Dovern, Jonas & Huber, Florian, 2015.
"Global prediction of recessions,"
Economics Letters, Elsevier, vol. 133(C), pages 81-84.
- Dovern, Jonas & Huber, Florian, 2015. "Global Prediction of Recessions," Working Papers 0585, University of Heidelberg, Department of Economics.
- 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.).
- Andrey Feliksovich Bedin & Alexander Vladimirovich Kulikov & Andrey Vladimirovich Polbin, 2021. "A Markov Switching VECM Model for Russian Real GDP, Real Exchange Rate and Oil Prices," International Journal of Energy Economics and Policy, Econjournals, vol. 11(2), pages 402-412.
- Kajal Lahiri & Wenxiong Yao, 2004.
"A dynamic factor model of the coincident indicators for the US transportation sector,"
Applied Economics Letters, Taylor & Francis Journals, vol. 11(10), pages 595-600.
- Lahiri, Kajal & Yao, Wenxiong, 2004. "A dynamic factor model of the coincident indicators for the US transportation sector," MPRA Paper 22360, University Library of Munich, Germany.
- 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.
- Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2012. "Was the Recent Downturn in US GDP Predictable?," Working Papers 1210, University of Nevada, Las Vegas , Department of Economics.
- Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2012. "Was the Recent Downturn in US GDP Predictable?," Working papers 2012-38, University of Connecticut, Department of Economics, revised Dec 2013.
- Hauzenberger Niko & Huber Florian & Pfarrhofer Michael & Zörner Thomas O., 2021.
"Stochastic model specification in Markov switching vector error correction models,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(2), pages 1-17, April.
- Niko Hauzenberger & Florian Huber & Michael Pfarrhofer & Thomas O. Zorner, 2018. "Stochastic model specification in Markov switching vector error correction models," Papers 1807.00529, arXiv.org, revised Sep 2019.
- Huber, Florian & Pfarrhofer, Michael & Zörner, Thomas O., 2018. "Stochastic model specification in Markov switching vector error correction models," Working Papers in Economics 2018-3, University of Salzburg.
- Monfort, Alain & Vitale, Giovanni & Rüffer, Rasmus & Renne, Jean-Paul, 2003. "Is Economic Activity in the G7 Synchronized? Common Shocks versus Spillover Effects," CEPR Discussion Papers 4119, C.E.P.R. Discussion Papers.
- Mototsugu Shintani & Zi-Yi Guo, 2018.
"Improving the finite sample performance of autoregression estimators in dynamic factor models: A bootstrap approach,"
Econometric Reviews, Taylor & Francis Journals, vol. 37(4), pages 360-379, April.
- Mototsugu Shintani & Zi-yi Guo, 2015. "Improving the Finite Sample Performance of Autoregression Estimators in Dynamic Factor Models: A Bootstrap Approach," Vanderbilt University Department of Economics Working Papers 15-00013, Vanderbilt University Department of Economics.
- Xinlong Li & Andrew T. Ching, 2024. "How Does a Firm Adapt in a Changing World? The Case of Prosper Marketplace," Marketing Science, INFORMS, vol. 43(3), pages 673-693, May.
- Catherine Doz & Peter Fuleky, 2019.
"Dynamic Factor Models,"
Working Papers
2019-4, University of Hawaii Economic Research Organization, University of Hawaii at Manoa.
- Catherine Doz & Peter Fuleky, 2019. "Dynamic Factor Models," PSE Working Papers halshs-02262202, HAL.
- Catherine Doz & Peter Fuleky, 2020. "Dynamic Factor Models," Post-Print halshs-02491811, HAL.
- Catherine Doz & Peter Fuleky, 2020. "Dynamic Factor Models," PSE-Ecole d'économie de Paris (Postprint) halshs-02491811, HAL.
- Catherine Doz & Peter Fuleky, 2019. "Dynamic Factor Models," Working Papers halshs-02262202, HAL.
- Li, Yushu & Reese, Simon, 2012.
"Wavelet Improvement in Turning Point Detection using a Hidden Markov Model,"
Working Papers
2012:14, Lund University, Department of Economics, revised 05 Apr 2014.
- Li, Yushu & Reese, Simon, 2014. "Wavelet improvement in turning point detection using a Hidden Markov Model," Discussion Papers 2014/10, Norwegian School of Economics, Department of Business and Management Science.
- Marius M. Mihai, 2020. "Do credit booms predict US recessions?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(6), pages 887-910, September.
- Cendejas Bueno, José Luis, 2023. "Recessions and flattening of the yield curve (1960–2021): A two-way road under a regime switching approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 88(C), pages 8-20.
- Chadwick, Meltem Gülenay & Fazilet, Fatih & Tekatli, Necati, 2015. "Understanding the common dynamics of the emerging market currencies," Economic Modelling, Elsevier, vol. 49(C), pages 120-136.
- Xialu Liu & Elynn Y. Chen, 2022. "Identification and estimation of threshold matrix‐variate factor models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(3), pages 1383-1417, September.
- E. Andersson & D. Bock & M. Frisen, 2006. "Some statistical aspects of methods for detection of turning points in business cycles," Journal of Applied Statistics, Taylor & Francis Journals, vol. 33(3), pages 257-278.
- 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.
- Bram van Os & Dick van Dijk, 2020. "Accelerating Peak Dating in a Dynamic Factor Markov-Switching Model," Tinbergen Institute Discussion Papers 20-057/VI, Tinbergen Institute, revised 14 Dec 2020.
- Eraslan, Sercan & Nöller, Marvin, 2020. "Recession probabilities falling from the STARs," Discussion Papers 08/2020, Deutsche Bundesbank.
- Sungyup Chung, 2016. "Assessing the regional business cycle asymmetry in a multi-level structure framework: a study of the top 20 US MSAs," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 56(1), pages 229-252, January.
- Tsiaplias, Sarantis, 2008. "Factor estimation using MCMC-based Kalman filter methods," Computational Statistics & Data Analysis, Elsevier, vol. 53(2), pages 344-353, December.
- 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.
- Grace Lee, 2011.
"Aggregate shocks decomposition for eight East Asian countries,"
Journal of the Asia Pacific Economy, Taylor & Francis Journals, vol. 16(2), pages 215-232.
- Grace H.Y. Lee, 2009. "Aggregate Shocks Decomposition For Eight East Asian Countries," Monash Economics Working Papers 17-09, Monash University, Department of Economics.
- Erick Elder & Gary A. Wagner, 2007. "How well are the states of the Eighth Federal Reserve District prepared for the next recession?," Regional Economic Development, Federal Reserve Bank of St. Louis, issue Nov, pages 75-87.
- Shyh-Wei Chen, 2006. "Enhanced reliability of the leading indicator in identifying turning points in Taiwan? an evaluation," Economics Bulletin, AccessEcon, vol. 5(10), pages 1-17.
- Drew Creal & Siem Jan Koopman & Eric Zivot, 2010.
"Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 695-719.
- Drew Creal & Siem Jan Koopman & Eric Zivot, 2008. "Extracting a Robust U.S. Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter," Working Papers UWEC-2008-15-FC, University of Washington, Department of Economics.
- Jaeho Kim & Sora Chon, 2022. "Bayesian estimation of the long-run trend of the US economy," Empirical Economics, Springer, vol. 62(2), pages 461-485, February.
- Roberto Gómez‐Cram, 2022. "Late to Recessions: Stocks and the Business Cycle," Journal of Finance, American Finance Association, vol. 77(2), pages 923-966, April.
- Dagum, Estela Bee, 2010. "Business Cycles and Current Economic Analysis/Los ciclos económicos y el análisis económico actual," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 28, pages 577-594, Diciembre.
- Hans-Martin Krolzig, 2000. "Predicting Markov-Switching Vector Autoregressive Processes," Economics Series Working Papers 2000-W31, University of Oxford, Department of Economics.
- Cruz-Rodríguez, Alexis, 2004. "Un análisis del ciclo económico de la República Dominicana bajo cambios de régimen [Analysis of business cycle of the Dominican Republic using Markov Switching model]," MPRA Paper 54352, University Library of Munich, Germany.
- Mark W. French, 2005. "A nonlinear look at trend MFP growth and the business cycle: result from a hybrid Kalman/Markov switching model," Finance and Economics Discussion Series 2005-12, Board of Governors of the Federal Reserve System (U.S.).
- Erick Michael Elder & Gary A. Wagner, 2012. "A simple approach to balancing government budgets over the business cycle," Applied Economics Letters, Taylor & Francis Journals, vol. 19(7), pages 677-681, May.
- Moradi, Alireza, 2016. "Modeling Business Cycle Fluctuations through Markov Switching VAR:An Application to Iran," MPRA Paper 73608, University Library of Munich, Germany.
- Cheng, Tingting & Gao, Jiti & Yan, Yayi, 2019.
"Regime switching panel data models with interactive fixed effects,"
Economics Letters, Elsevier, vol. 177(C), pages 47-51.
- Tingting Cheng & Jiti Gao & Yayi Yan, 2018. "Regime switching panel data models with interative fixed effects," Monash Econometrics and Business Statistics Working Papers 21/18, Monash University, Department of Econometrics and Business Statistics.
- Vitor Castro, 2013.
"The duration of business cycle expansions and contractions: are there change-points in duration dependence?,"
Empirical Economics, Springer, vol. 44(2), pages 511-544, April.
- Vitor Castro, 2010. "The duration of business cycle expansions and contractions: Are there change-points in duration dependence?," GEMF Working Papers 2010-18, GEMF, Faculty of Economics, University of Coimbra.
- Vítor Castro, 2010. "The duration of business cycle expansions and contractions: Are there change-points in duration dependence?," NIPE Working Papers 24/2010, NIPE - Universidade do Minho.
- Maximo Camacho & Gabriel Perez‐Quiros & Pilar Poncela, 2015.
"Extracting Nonlinear Signals from Several Economic Indicators,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(7), pages 1073-1089, November.
- Maximo Camacho & Gabriel Perez-Quiros & Pilar Poncela, 2012. "Extracting non-linear signals from several economic indicators," Working Papers 1202, Banco de España.
- Pérez-Quirós, Gabriel & Poncela, Pilar & Camacho, Máximo, 2012. "Extracting nonlinear signals from several economic indicators," CEPR Discussion Papers 8865, C.E.P.R. Discussion Papers.
- Uchiyama, Hirokuni, 2006. "The index of agency cost and the financial accelerator: the case of Japan," Japan and the World Economy, Elsevier, vol. 18(1), pages 22-48, January.
- Maciejowska, Katarzyna, 2013. "Assessing the number of components in a normal mixture: an alternative approach," MPRA Paper 50303, University Library of Munich, Germany.
- Chen, Shyh-Wei & Shen, Chung-Hua, 2006. "Can the identification puzzle of Taiwan's turning points after 1990 be solved?," Economic Modelling, Elsevier, vol. 23(1), pages 174-195, January.
- Michael Funke & Harm Bandholz, 2003.
"In search of leading indicators of economic activity in Germany,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(4), pages 277-297.
- Harm Bandholz & Michael Funke, 2001. "In Search of Leading Indicators of Economic Activity in Germany," CESifo Working Paper Series 571, CESifo.
- Harm Bandholz & Michael Funke, 2003. "In Search of Leading Indicators of Economic Activity in Germany," Quantitative Macroeconomics Working Papers 20307, Hamburg University, Department of Economics.
- Trojan, Sebastian, 2013. "Regime Switching Stochastic Volatility with Skew, Fat Tails and Leverage using Returns and Realized Volatility Contemporaneously," Economics Working Paper Series 1341, University of St. Gallen, School of Economics and Political Science, revised Aug 2014.
- Roberto S. Mariano & Yasutomo Murasawa, 2004.
"Constructing a Coincident Index of Business Cycles without Assuming a One-factor Model,"
Working Papers
22-2004, Singapore Management University, School of Economics, revised Oct 2004.
- Yasutomo Murasawa & Roberto S. Mariano, 2004. "Constructing a Coincident Index of Business Cycles Without Assuming a One-Factor Model," Econometric Society 2004 Far Eastern Meetings 710, Econometric Society.
- Kholodilin, Konstantin A. & Yao, Vincent W., 2005. "Measuring and predicting turning points using a dynamic bi-factor model," International Journal of Forecasting, Elsevier, vol. 21(3), pages 525-537.
- Carriero, Andrea & Marcellino, Massimiliano, 2007.
"A comparison of methods for the construction of composite coincident and leading indexes for the UK,"
International Journal of Forecasting, Elsevier, vol. 23(2), pages 219-236.
- Andrea Carriero & Massimiliano Marcellino, 2007. "A Comparison of Methods for the Construction of Composite Coincident and Leading Indexes for the UK," Working Papers 590, Queen Mary University of London, School of Economics and Finance.
- Andrea Carriero & Massimiliano Marcellino, 2007. "A Comparison of Methods for the Construction of Composite Coincident and Leading Indexes for the UK," Working Papers 590, Queen Mary University of London, School of Economics and Finance.
- Sonia de Lucas Santos & M. Jesús Delgado Rodríguez & Inmaculada Álvarez Ayuso & José Luis Cendejas Bueno, 2011. "Los ciclos económicos internacionales: antecedentes y revisión de la literatura," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, vol. 34(95), pages 73-84, Agosto.
- Vitor Castro, 2015.
"The Portuguese business cycle: chronology and duration dependence,"
Empirical Economics, Springer, vol. 49(1), pages 325-342, August.
- Vítor Castro, 2011. "The Portuguese Business Cycle: Chronology and Duration Dependence," NIPE Working Papers 11/2011, NIPE - Universidade do Minho.
- Vitor Castro, 2011. "The Portuguese Business Cycle: Chronology and Duration Dependence," GEMF Working Papers 2011-07, GEMF, Faculty of Economics, University of Coimbra.
- Keisuke Kondo, 2022.
"Spatial dependence in regional business cycles: evidence from Mexican states,"
Journal of Spatial Econometrics, Springer, vol. 3(1), pages 1-46, December.
- Keisuke Kondo, 2015. "Spatial Dependence in Regional Business Cycles: Evidence from Mexican States," Discussion Paper Series DP2015-27, Research Institute for Economics & Business Administration, Kobe University, revised Jun 2021.
- Wagner, Gary A & Elder, Erick M., 2007. "Revenue Cycles and the Distribution of Shortfalls in U.S. States: Implications for an "Optimal" Rainy Day Fund," National Tax Journal, National Tax Association;National Tax Journal, vol. 60(4), pages 727-742, December.
- Terence C. Mills & Ping Wang, 2003. "Multivariate Markov Switching Common Factor Models for the UK," Bulletin of Economic Research, Wiley Blackwell, vol. 55(2), pages 177-193, April.
- Jaehee Kim & Sooyoung Cheon, 2010. "A Bayesian regime‐switching time‐series model," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(5), pages 365-378, September.
- Liu, Xialu & Chen, Rong, 2020. "Threshold factor models for high-dimensional time series," Journal of Econometrics, Elsevier, vol. 216(1), pages 53-70.
- Kholodilin Konstantin A., 2005. "Forecasting the German Cyclical Turning Points: Dynamic Bi-Factor Model with Markov Switching," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 225(6), pages 653-674, December.
- Fang Zhang, 2017. "Rational Inattention in Uncertain Business Cycles," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(1), pages 215-253, February.
- Luke Hartigan & James Morley, 2020.
"A Factor Model Analysis of the Australian Economy and the Effects of Inflation Targeting,"
The Economic Record, The Economic Society of Australia, vol. 96(314), pages 271-293, September.
- Hartigan, Luke & Morley, James, 2019. "A Factor Model Analysis of the Australian Economy and the Effects of Inflation Targeting," Working Papers 2019-10, University of Sydney, School of Economics, revised Nov 2019.
- Jorge L.M. Andraz & Pedro M.D.C.B. Gouveia & Paulo M.M. Rodrigues, 2009. "Modelling and Forecasting the UK Tourism Growth Cycle in Algarve," Tourism Economics, , vol. 15(2), pages 323-338, June.
- Roberto Tatiwa Ferreira & Herman Bierens & Ivan Castelar, 2005.
"Forecasting Quarterly Brazilian GDP Growth Rate With Linear and NonLinear Diffusion Index Models,"
Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 6(3), pages 261-292.
- Roberto Tatiwa Ferreira & Luiz Ivan de Melo Castelar, 2005. "Forecasting Quarterly Brazilian Gdp Growth Rate With Linear And Nonlinear Diffusion Index Models," Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33rd Brazilian Economics Meeting] 029, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
- Kaufmann, Sylvia, 2015. "K-state switching models with time-varying transition distributions—Does loan growth signal stronger effects of variables on inflation?," Journal of Econometrics, Elsevier, vol. 187(1), pages 82-94.
- Christina V. Atanasova & Jianhua Gang, 2008. "The Decline In The Volatility Of The Business Cycles In The Uk," Manchester School, University of Manchester, vol. 76(s1), pages 14-36, September.
- Ana Inés Arbiza, 2018. "¿Es estable la demanda de dinero? Análisis del caso Uruguayo," Documentos de trabajo 2018009, Banco Central del Uruguay.
- Laura E. Jackson & M. Ayhan Kose & Christopher Otrok & Michael T. Owyang, 2016.
"Specification and Estimation of Bayesian Dynamic Factor Models: A Monte Carlo Analysis with an Application to Global House Price Comovement,"
Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 361-400,
Emerald Group Publishing Limited.
- Laura E. Jackson & M. Ayhan Kose & Christopher Otrok & Michael T. Owyang, 2015. "Specification and Estimation of Bayesian Dynamic Factor Models: A Monte Carlo Analysis with an Application to Global House Price Comovement," Working Papers 2015-31, Federal Reserve Bank of St. Louis.
- Nonejad, Nima, 2017. "Parameter instability, stochastic volatility and estimation based on simulated likelihood: Evidence from the crude oil market," Economic Modelling, Elsevier, vol. 61(C), pages 388-408.
- Heinrich, Markus & Carstensen, Kai & Reif, Magnus & Wolters, Maik, 2017.
"Predicting Ordinary and Severe Recessions with a Three-State Markov-Switching Dynamic Factor Model. An Application to the German Business Cycle,"
VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking
168206, Verein für Socialpolitik / German Economic Association.
- Carstensen, Kai & Heinrich, Markus & Reif, Magnus & Wolters, Maik H., 2020. "Predicting ordinary and severe recessions with a three-state Markov-switching dynamic factor model An application to the German business cycle," Munich Reprints in Economics 84736, University of Munich, Department of Economics.
- Kai Carstensen & Markus Heinrich & Magnus Reif & Maik H. Wolters, 2017. "Predicting Ordinary and Severe Recessions with a Three-State Markov-Switching Dynamic Factor Model. An Application to the German Business Cycle," CESifo Working Paper Series 6457, CESifo.
- Arie Marom & Yigal Menashe & Tanya Suchoy, 2003. "The State-of-The-Economy Index and The probability of Recession: The Markov Regime-Switching Model," Bank of Israel Working Papers 2003.05, Bank of Israel.
- Wang, Jin-ming & Gao, Tie-mei & McNown, Robert, 2009. "Measuring Chinese business cycles with dynamic factor models," Journal of Asian Economics, Elsevier, vol. 20(2), pages 89-97, March.
- Fangnan Cui & Yue Tan & Bangwen Lu, 2024. "How Do Macroeconomic Cycles and Government Policies Influence Cash Holdings? Evidence from Listed Firms in China," Sustainability, MDPI, vol. 16(18), pages 1-15, September.
- 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.
- Caballero, Ricardo J. & Panageas, Stavros, 2008.
"Hedging sudden stops and precautionary contractions,"
Journal of Development Economics, Elsevier, vol. 85(1-2), pages 28-57, February.
- Ricardo J. Caballero & Stavros Panageas, 2003. "Hedging Sudden Stops and Precautionary Contractions," NBER Working Papers 9778, National Bureau of Economic Research, Inc.
- Camacho, Maximo & Perez Quiros, Gabriel & Poncela, Pilar, 2014.
"Green shoots and double dips in the euro area: A real time measure,"
International Journal of Forecasting, Elsevier, vol. 30(3), pages 520-535.
- Pérez-Quirós, Gabriel & Poncela, Pilar & Camacho, Máximo, 2012. "Green Shoots and Double Dips in the Euro Area. A Real Time Measure," CEPR Discussion Papers 8896, C.E.P.R. Discussion Papers.
- Fuh, Cheng-Der, 2021. "Asymptotic behavior for Markovian iterated function systems," Stochastic Processes and their Applications, Elsevier, vol. 138(C), pages 186-211.
- Louise Holm, 2016. "The Swedish business cycle, 1969-2013," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2015(2), pages 1-22.
- Luke Hartigan & James Morley, 2018. "A Factor Model Analysis of the Effects on Inflation Targeting on the Australian Economy," RBA Annual Conference Volume (Discontinued), in: John Simon & Maxwell Sutton (ed.),Central Bank Frameworks: Evolution or Revolution?, Reserve Bank of Australia.
- 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.
- Vítor Castro, 2011. "The Portuguese Stock Market Cycle: Chronology and Duration Dependence," NIPE Working Papers 13/2011, NIPE - Universidade do Minho.
- Vitor Castro, 2011. "The Portuguese Stock Market Cycle: Chronology and Duration Dependence," GEMF Working Papers 2011-17, GEMF, Faculty of Economics, University of Coimbra.
- Raffaella Giacomini & Barbara Rossi, 2013. "Forecasting in macroeconomics," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 17, pages 381-408, Edward Elgar Publishing.
- Francis X. Diebold & Glenn D. Rudebusch, 2001. "Five questions about business cycles," Economic Review, Federal Reserve Bank of San Francisco, pages 1-15.
- Sylvia Kaufmann, 2011. "K-state switching models with endogenous transition distributions," Working Papers 2011-13, Swiss National Bank.
- 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.
- Muriel Nguiffo-Boyom, 2008. "A monthly indicator of Economic activity for Luxembourg," BCL working papers 31, Central Bank of Luxembourg.
- Abbigail J. Chiodo & Michael T. Owyang, 2002. "Duration dependence in monetary policy: international evidence," Working Papers 2002-021, Federal Reserve Bank of St. Louis.
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