SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Dynamic Factor Models with Time-Varying Parameters: Measuring Changes in International Business Cycles
16 references·16 citing·36 second hopsampled
Dynamic Factor Models with Time-Varying Parameters: Measuring Changes in International Business Cycles (2008)Dynamic Factor Models with Time-Varying P…Were There Regime Switches in U.S. Monetary Policy? (2006)Were There Regime Switches in…Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Time Varying Structural Vecto…Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)Drifts and volatilities: mone…International Business Cycles: World, Region, and Country-Specific Factors (2003)International Business Cycles…Macroeconomic Forecasting Using Diffusion Indexes (2002)Macroeconomic Forecasting Usi…Has the Business Cycle Changed and Why? (2002)Has the Business Cycle Change…Determining the Number of Factors in Approximate Factor Models (2002)Determining the Number of Fac…The Long and Large Decline in U.S. Output Volatility (2001)The Long and Large Decline in…Evolving Post-World War II U.S. Inflation Dynamics (2001)Evolving Post-World War II U.…The Generalized Dynamic-Factor Model: Identification and Estimation (2000)The Generalized Dynamic-Facto…State-Space Models with Regime Switching (1999)State-Space Models with Regim…Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle (1999)Has the U.S. Economy Become M…Forecasting inflation (1999)Forecasting inflationStochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Stochastic Volatility: Likeli…New Indexes of Coincident and Leading Economic Indicators (1989)New Indexes of Coincident and…Output Fluctuations in the United States: What Has Changed since the Early 1980's?Output Fluctuations in the Un…The Influential Factors of Financial Cycle Spillover: Evidence from China (2019)The Influential Factors of Fi…Common business cycles and volatilities in US states and MSAs: The role of economic uncertainty (2018)Common business cycles and vo…On time-varying factor models: Estimation and testing (2017)On time-varying factor models…Measuring Business Cycles Intra‐Synchronization in US: A Regime‐switching Interdependence Framework (2017)Measuring Business Cycles Int…Macroeconomic Uncertainty Through the Lens of Professional Forecasters (2017)Macroeconomic Uncertainty Thr…Tracking the Slowdown in Long-Run GDP Growth (2016)Tracking the Slowdown in Long…Econometric Analysis of Large Factor Models (2016)Econometric Analysis of Large…Dynamics of global business cycle interdependence (2016)Dynamics of global business c…Short-Term GDP Forecasting With a Mixed-Frequency Dynamic Factor Model With Stochastic Volatility (2015)Short-Term GDP Forecasting Wi…Common Drifting Volatility in Large Bayesian VARs (2015)Common Drifting Volatility in…Identification and Bayesian Estimation of Dynamic Factor Models (2014)Identification and Bayesian E…Do institutional changes affect business cycles? Evidence from Europe (2012)Do institutional changes affe…Assessing the Transmission of Monetary Policy Using Time‐varying Parameter Dynamic Factor Models * (2012)Assessing the Transmission of…Testing for structural breaks in dynamic factor models (2010)Testing for structural breaks…Forecasting in Dynamic Factor Models Subject to Structural Instability* (2009)Forecasting in Dynamic Factor…Comovements and heterogeneity in the euro area analyzed in a non‐stationary dynamic factor model (2009)Comovements and heterogeneity…Tests for Unit Roots: A Monte Carlo Investigation (1989)Inferential Theory for Factor Models of Large Dimensions (2003)A PANIC Attack on Unit Roots and Cointegration (2004)Panel Data Models With Interactive Fixed Effects (2009)Business Cycle Modeling Without Pretending to Have Too Much A Priori Economic Theory (1977)Panels with Nonstationary Multifactor Error Structures (2006)Exploring the international linkages of the euro area: a global VAR analysis (2007)U.S. Monetary Policy and the Global Financial Cycle (2020)Forecasting Using Principal Components From a Large Number of Predictors (2002)Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure (2006)Measuring Uncertainty (2015)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Stochastic Simulation (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Econometric policy evaluation: A critique (1976)Discretion versus policy rules in practice (1993)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference (2009)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2010)Macroeconomic Shocks and Their Propagation (2016)What is an Oil Shock? (2000)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)American Economic Review (2019)INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY (2005)The Conditional CAPM and the Cross-Section of Expected Returns (1996)The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)Measuring the Output Responses to Fiscal Policy (2012)Institutional causes, macroeconomic symptoms: volatility, crises and growth (2003)Why Has U.S. Inflation Become Harder to Forecast? (2007)Credit Spreads and Business Cycle Fluctuations (2012)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 2002Determining the Number of Factors in Approximate Factor Models4,110 cited
  • 2005Time Varying Structural Vector Autoregressions and Monetary Policy3,044 cited
  • 2002Macroeconomic Forecasting Using Diffusion Indexes2,550 cited
  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
  • 2005Drifts and volatilities: monetary policies and outcomes in the post WWII US1,955 cited
  • n.d.Output Fluctuations in the United States: What Has Changed since the Early 1980's?1,867 cited
  • 1989New Indexes of Coincident and Leading Economic Indicators1,795 cited
  • 2000The Generalized Dynamic-Factor Model: Identification and Estimation1,709 cited
  • 2006Were There Regime Switches in U.S. Monetary Policy?1,607 cited
  • 2002Has the Business Cycle Changed and Why?1,515 cited
  • 1999State-Space Models with Regime Switching1,304 cited
  • 1999Forecasting inflation1,273 cited
  • 2003International Business Cycles: World, Region, and Country-Specific Factors1,234 cited
  • 1999Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle1,174 cited
  • 2001The Long and Large Decline in U.S. Output Volatility

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

995 cited
  • 2001Evolving Post-World War II U.S. Inflation Dynamics914 cited
  • Cited by

    • 2009Forecasting in Dynamic Factor Models Subject to Structural Instability*248 cited
    • 2015Short-Term GDP Forecasting With a Mixed-Frequency Dynamic Factor Model With Stochastic Volatility243 cited
    • 2010Testing for structural breaks in dynamic factor models208 cited
    • 2015Common Drifting Volatility in Large Bayesian VARs200 cited
    • 2017On time-varying factor models: Estimation and testing180 cited
    • 2014Identification and Bayesian Estimation of Dynamic Factor Models139 cited
    • 2016Tracking the Slowdown in Long-Run GDP Growth135 cited
    • 2012Do institutional changes affect business cycles? Evidence from Europe133 cited
    • 2012Assessing the Transmission of Monetary Policy Using Time‐varying Parameter Dynamic Factor Models *121 cited
    • 2018Common business cycles and volatilities in US states and MSAs: The role of economic uncertainty109 cited
    • 2017Measuring Business Cycles Intra‐Synchronization in US: A Regime‐switching Interdependence Framework99 cited
    • 2017Macroeconomic Uncertainty Through the Lens of Professional Forecasters99 cited
    • 2009Comovements and heterogeneity in the euro area analyzed in a non‐stationary dynamic factor model88 cited
    • 2016Econometric Analysis of Large Factor Models88 cited
    • 2019The Influential Factors of Financial Cycle Spillover: Evidence from China83 cited
    • 2016Dynamics of global business cycle interdependence82 cited