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Is the persistence of shocks to output asymmetric?
12 references·5 citing·40 second hop
Is the persistence of shocks to output asymmetric? (1998)Is the persistence of shocks to output as…Unobserved-Component Time Series Models With Markov-Switching Heteroscedasticity: Changes in Regime and the Link Between Inflation Rates and Inflation Uncertainty (1993)Unobserved-Component Time Ser…Do recessions permanently change output? (1993)Do recessions permanently cha…Unobserved component time series models with Arch disturbances (1992)Unobserved component time ser…Forecasting, Structural Time Series Models and the Kalman Filter (1990)Forecasting, Structural Time …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…How Big Is the Random Walk in GNP? (1988)How Big Is the Random Walk in…Are Output Fluctuations Transitory? (1987)Are Output Fluctuations Trans…Further Evidence on the Asymmetric Behavior of Economic Time Series over the Business Cycle (1986)Further Evidence on the Asymm…Are Economic Time Series Asymmetric over the Business Cycle? (1984)Are Economic Time Series Asym…Trends and random walks in macroeconmic time series (1982)Trends and random walks in ma…Asymmetric Time Series (1981)Asymmetric Time SeriesLarge shocks vs. small shocks. (Or does size matter? May be so.) (2005)Large shocks vs. small shocks…An Unobserved-Component Model With Switching Permanent and Transitory Innovations (2005)An Unobserved-Component Model…On Business Cycle Asymmetries in G7 Countries (2004)On Business Cycle Asymmetries…Can non-linear time series models generate US business cycle asymmetric shape? (2002)Can non-linear time series mo…Common Stochastic Trends, Common Cycles, and Asymmetry in Economic Fluctuations (2001)Common Stochastic Trends, Com…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)Time to Build and Aggregate Fluctuations (1982)A Model of Growth Through Creative Destruction (1990)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The arbitrage theory of capital asset pricing (1976)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Identification, estimation and testing of conditionally heteroskedastic factor models (2001)Chapter 15 Volatility and Correlation Forecasting (2006)Oil volatility, oil and gas firms and portfolio diversification (2018)The Behavior of Stock-Market Prices (1965)Bivariate garch estimation of the optimal commodity futures Hedge (1991)Statistical aspects of ARCH and stochastic volatility (1996)High dimensional covariance matrix estimation using a factor model (2008)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)The General Theory of Employment (1937)What drives housing price dynamics in Greece: New evidence from asymmetric ARDL cointegration (2012)Asymmetric impact of oil prices, exchange rate, and inflation on tourism demand in Pakistan: new evidence from nonlinear ARDL (2018)The asymmetric effects of oil price on sectoral Islamic stocks: New evidence from quantile-on-quantile regression approach (2019)Some International Evidence on Output-Inflation Tradeoffs. (1973)Mean reversion in stock prices (1988)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)The Asymmetric Effects of Monetary Policy: A Nonlinear Vector Autoregression Approach (1999)How Business Cycles Contribute to Private-Label Success: Evidence from the United States and Europe (2006)Quantile cointegrating regression (2008)Short-run equilibrium dynamics of unemployment vacancies, and real wages (1985)Rational-expectations econometric analysis of changes in regime (1988)Detrending and business cycle facts (1998)Handbook on Constructing Composite Indicators (2005)Handbook on Constructing Composite Indicators: Methodology and User Guide (2008)
this work references cited by second hop

References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1982Trends and random walks in macroeconmic time series4,670 cited
  • 1990Forecasting, Structural Time Series Models and the Kalman Filter4,101 cited
  • 1988How Big Is the Random Walk in GNP?1,270 cited
  • 1984Are Economic Time Series Asymmetric over the Business Cycle?929 cited
  • 1987Are Output Fluctuations Transitory?811 cited
  • 1989The dynamics of exchange rate volatility: A multivariate latent factor ARCH model723 cited
  • 1993Do recessions permanently change output?478 cited
  • 1992Unobserved component time series models with Arch disturbances329 cited
  • 1986Further Evidence on the Asymmetric Behavior of Economic Time Series over the Business Cycle222 cited
  • 1993Unobserved-Component Time Series Models With Markov-Switching Heteroscedasticity: Changes in Regime and the Link Between Inflation Rates and Inflation Uncertainty167 cited
  • 1981Asymmetric Time Series85 cited

Cited by

  • 2004On Business Cycle Asymmetries in G7 Countries32 cited
  • 2002Can non-linear time series models generate US business cycle asymmetric shape?29 cited
  • 2005

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An Unobserved-Component Model With Switching Permanent and Transitory Innovations
21 cited
  • 2001Common Stochastic Trends, Common Cycles, and Asymmetry in Economic Fluctuations17 cited
  • 2005Large shocks vs. small shocks. (Or does size matter? May be so.)16 cited