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Asymmetries in Business Cycles: Econometric Techniques and Empirical Evidence
16 references·1 citing·29 second hop
Asymmetries in Business Cycles: Econometric Techniques and Empirical Evidence (1994)Asymmetries in Business Cycles: Econometr…The General Theory of Employment, Interest, and Money (2018)The General Theory of Employm…Characterizing nonlinearities in business cycles using smooth transition autoregressive models (1992)Characterizing nonlinearities…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…The dynamics of exchange rate volatility: A multivariate latent factor ARCH model (1989)The dynamics of exchange rate…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Expected stock returns and volatility (1987)Expected stock returns and vo…Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Estimating Time Varying Risk …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Generalized autoregressive conditional heteroscedasticity (1986)Generalized autoregressive co…Are Economic Time Series Asymmetric over the Business Cycle? (1984)Are Economic Time Series Asym…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Macroeconomics and Reality (1980)Macroeconomics and RealityA Contribution to the Theory of the Trade Cycle (1950)A Contribution to the Theory …The General Theory of Employment, Interest and Money. (1936)The General Theory of Employm…The General Theory of Employment, Interest and Money. (1936)The General Theory of Employm…Detecting and modelling nonlinearity in flexible exchange rate time series (1994)Detecting and modelling nonli…Specification Tests in Econometrics (1978)Illiquidity and stock returns: cross-section and time-series effects (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Pitfalls in Financial Model-Building (1968)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Time to Build and Aggregate Fluctuations (1982)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Generalized impulse response analysis in linear multivariate models (1998)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Introductory Econometrics for Finance (2008)Econometric Analysis of Cross Section and Panel Data (2001)Does the Stock Market Overreact? (1985)Introduction: epistemic communities and international policy coordination (1992)Political Parties and Macroeconomic Policy (1977)Dividend yields and expected stock returns (1988)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)The Categorical Imperative: Securities Analysts and the Illegitimacy Discount (1999)Optimal monetary policy with staggered wage and price contracts (2000)Investor Psychology and Asset Pricing (2001)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1936The General Theory of Employment, Interest and Money.14,486 cited
  • 1980Macroeconomics and Reality12,826 cited
  • 1936The General Theory of Employment, Interest and Money.12,562 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 2018The General Theory of Employment, Interest, and Money4,835 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
  • 1986Generalized autoregressive conditional heteroscedasticity1,810 cited
  • 1984Are Economic Time Series Asymmetric over the Business Cycle?929 cited
  • 1992Characterizing nonlinearities in business cycles using smooth transition autoregressive models890 cited
  • 1989The dynamics of exchange rate volatility: A multivariate latent factor ARCH model

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723 cited
  • 1950A Contribution to the Theory of the Trade Cycle652 cited
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    • 1994Detecting and modelling nonlinearity in flexible exchange rate time series17 cited