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Statistical Analysis of Cointegrated VAR Processes with Markovian Regime Shifts
11 references·16 citing·36 second hop
Statistical Analysis of Cointegrated VAR Processes with Markovian Regime Shifts (1996)Statistical Analysis of Cointegrated VAR …Testing cointegration in infinite order vector autoregressive processes (1997)Testing cointegration in infi…Short‐Run Dynamics in Cointegrated Systems (1997)Short‐Run Dynamics in Cointeg…Markov-Switching Vector Autoregressions: Modelling, Statistical Inference, and Application to Business Cycle Analysis (1997)Markov-Switching Vector Autor…Making wald tests work for cointegrated VAR systems (1996)Making wald tests work for co…Introduction to Multiple Time Series Analysis (1993)Introduction to Multiple Time…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Empirical analysis of macroeconomic time series (1991)Empirical analysis of macroec…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES (1986)DEVELOPMENTS IN THE STUDY OF …Supply and demand driven oil price changes and their non-linear impact on precious metal returns: A Markov regime switching approach (2018)Supply and demand driven oil …Regime switching model of US crude oil and stock market prices: 1859 to 2013 (2015)Regime switching model of US …Cointegration tests under multiple regime shifts: An application to the stock price–dividend relationship (2010)Cointegration tests under mul…Dynamic Linkages Between the China and International Stock Markets (2009)Dynamic Linkages Between the …The asymmetric effects of oil shocks on output growth: A Markov–Switching analysis for the G-7 countries (2008)The asymmetric effects of oil…Monetary Policy in a Markov-Switching Vector Error-Correction Model (2005)Monetary Policy in a Markov-S…Monetary and fiscal policy interactions in Brazil: an application of the fiscal theory of the price level (2005)Monetary and fiscal policy in…Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers (2005)Modelling and forecasting sto…A Markov regime switching approach for hedging stock indices (2004)A Markov regime switching app…A Markov-switching vector equilibrium correction model of the UK labour market (2002)A Markov-switching vector equ…The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond (2001)The Out-of-Sample Success of …Markov-Switching Procedures for Dating the Euro-Zone Business Cycle (2001)Markov-Switching Procedures f…The cost of carry model and regime shifts in stock index futures markets: An empirical investigation (2000)The cost of carry model and r…Predicting Markov-Switching Vector Autoregressive Processes (2000)Predicting Markov-Switching V…A Disaggregated Markov‐Switching Model of the Business Cycle in UK Manufacturing (2000)A Disaggregated Markov‐Switch…A New Approach to the Analysis of Shocks and the Cycle in a Model of Output and Employment (1999)A New Approach to the Analysi…Macroeconomics and Reality (1980)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Progressive Modeling of Macroeconomic Time Series The LSE Methodology (1995)Intercept corrections and structural change (1996)Economic forecasting: some lessons from recent research (2003)Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Some recent development in a concept of causality (1988)Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Economic Growth in a Cross Section of Countries (1991)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Wavelet decomposition and regime shifts: Assessing the effects of crude oil shocks on stock market returns (2009)The energy consumption-real GDP nexus revisited: Empirical evidence from 93 countries (2011)How do U.S. stock returns respond differently to oil price shocks pre-crisis, within the financial crisis, and post-crisis? 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this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1986DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES2,567 cited
  • 1993Introduction to Multiple Time Series Analysis1,912 cited
  • 1996Making wald tests work for cointegrated VAR systems900 cited
  • 1997Markov-Switching Vector Autoregressions: Modelling, Statistical Inference, and Application to Business Cycle Analysis761 cited
  • 1991Empirical analysis of macroeconomic time series168 cited
  • 1997Short‐Run Dynamics in Cointegrated Systems135 cited
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Cited by

  • 2008The asymmetric effects of oil shocks on output growth: A Markov–Switching analysis for the G-7 countries213 cited
  • 2015Regime switching model of US crude oil and stock market prices: 1859 to 2013166 cited
  • 2018Supply and demand driven oil price changes and their non-linear impact on precious metal returns: A Markov regime switching approach

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122 cited
  • 2004A Markov regime switching approach for hedging stock indices115 cited
  • 2000Predicting Markov-Switching Vector Autoregressive Processes98 cited
  • 2002A Markov-switching vector equilibrium correction model of the UK labour market91 cited
  • 2005Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers82 cited
  • 2001The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond73 cited
  • 2000The cost of carry model and regime shifts in stock index futures markets: An empirical investigation70 cited
  • 2001Markov-Switching Procedures for Dating the Euro-Zone Business Cycle58 cited
  • 2005Monetary and fiscal policy interactions in Brazil: an application of the fiscal theory of the price level48 cited
  • 1999A New Approach to the Analysis of Shocks and the Cycle in a Model of Output and Employment48 cited
  • 2010Cointegration tests under multiple regime shifts: An application to the stock price–dividend relationship47 cited
  • 2005Monetary Policy in a Markov-Switching Vector Error-Correction Model34 cited
  • 2000A Disaggregated Markov‐Switching Model of the Business Cycle in UK Manufacturing32 cited
  • 2009Dynamic Linkages Between the China and International Stock Markets29 cited