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Identifying the Common Component in International Economic Fluctuations
16 references·16 citing·37 second hopsampled
Identifying the Common Component in International Economic Fluctuations (1999)Identifying the Common Component in Inter…Measuring Business Cycles: A Modern Perspective (1996)Measuring Business Cycles: A …Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models (1996)Consistency and Asymptotic No…Global versus country-specific productivity shocks and the current account (1995)Global versus country-specifi…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1995)Autoregressive Conditional He…Measuring Business Cycles: A Modern Perspective (1994)Measuring Business Cycles: A …International Evidence on the Historical Properties of Business Cycles (1991)International Evidence on the…Testing For Common Features (1990)Testing For Common FeaturesModelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…The dynamics of exchange rate volatility: A multivariate latent factor ARCH model (1989)The dynamics of exchange rate…New Indexes of Coincident and Leading Economic Indicators (1989)New Indexes of Coincident and…Business cycles and the exchange-rate regime (1989)Business cycles and the excha…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Business Cycles and the Exchange Rate System: Some International Evidence (1988)Business Cycles and the Excha…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Trends and random walks in macroeconmic time series (1982)Trends and random walks in ma…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Consumption Fluctuations and Expected Returns (2019)Consumption Fluctuations and …Interconnections Between Eurozone and US Booms and Busts Using a Bayesian Panel Markov‐Switching VAR Model (2016)Interconnections Between Euro…Business Cycle Synchronization in the Euro Area and the Impact of the Financial Crisis (2012)Business Cycle Synchronizatio…Global private information in international equity markets☆ (2009)Global private information in…Comovements and heterogeneity in the euro area analyzed in a non‐stationary dynamic factor model (2009)Comovements and heterogeneity…Can Structural Small Open Economy Models Account for the Influence of Foreign Disturbances? (2009)Can Structural Small Open Eco…Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach (2007)Global Yield Curve Dynamics a…Business Cycle Synchronization in the Enlarged EU (2007)Business Cycle Synchronizatio…Foreign Direct Investment and International Business Cycle Comovement (2005)Foreign Direct Investment and…Fiscal Divergence and Business Cycle Synchronization: \nIrresponsibility is Idiosyncratic (2005)Fiscal Divergence and Busines…Determinants of Business Cycle Comovement: A Robust Analysis (2004)Determinants of Business Cycl…Business Cycle Synchronization in the Enlarged EU: Comovements in the New and Old Members (2004)Business Cycle Synchronizatio…Volatility and Comovement in a Globalized World Economy (2003)Volatility and Comovement in …How Does Globalization Affect the Synchronization of Business Cycles? (2003)How Does Globalization Affect…Have National Business Cycles Become More Synchronized? (2003)Have National Business Cycles…Are they All in the Same Boat? the 2000-2001 Growth Slowdown and the G-7 Business Cycle Linkages (2003)Are they All in the Same Boat…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)Chapter 49 Arch models (1994)5 Stochastic volatility (1996)A PANIC Attack on Unit Roots and Cointegration (2004)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)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)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)Testing for a Unit Root in Time Series Regression (1988)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)A Capital Asset Pricing Model with Time-Varying Covariances (1988)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Introductory Econometrics for Finance (2008)Business Cycles: Real Facts and a Monetary Myth (1990)Current Real Business Cycle Theories and Aggregate Labor Market Fluctuations (1990)Tastes and Technology in a Two-Country Model of the Business Cycle : Explaining International Co-Movements (1990)International Real Business Cycles (1992)Inflation crises and long-run growth (1998)International comovement of stock market returns: A wavelet analysis (2009)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)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)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Modeling and Forecasting Realized Volatility (2001)Idiosyncratic risk and the cross-section of expected stock returns (2008)
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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
  • 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
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1995Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation1,960 cited
  • 1989New Indexes of Coincident and Leading Economic Indicators1,795 cited
  • 1991International Evidence on the Historical Properties of Business Cycles823 cited
  • 1989The dynamics of exchange rate volatility: A multivariate latent factor ARCH model723 cited
  • 1990Testing For Common Features470 cited
  • 1988Business Cycles and the Exchange Rate System: Some International Evidence468 cited
  • 1989Business cycles and the exchange-rate regime467 cited
  • 1996Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models458 cited
  • 1994Measuring Business Cycles: A Modern Perspective363 cited

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  • 1995Global versus country-specific productivity shocks and the current account348 cited
  • 1996Measuring Business Cycles: A Modern Perspective315 cited
  • Cited by

    • 2009Global private information in international equity markets☆189 cited
    • 2007Business Cycle Synchronization in the Enlarged EU181 cited
    • 2004Determinants of Business Cycle Comovement: A Robust Analysis173 cited
    • 2003Have National Business Cycles Become More Synchronized?165 cited
    • 2003How Does Globalization Affect the Synchronization of Business Cycles?129 cited
    • 2004Business Cycle Synchronization in the Enlarged EU: Comovements in the New and Old Members115 cited
    • 2009Comovements and heterogeneity in the euro area analyzed in a non‐stationary dynamic factor model88 cited
    • 2005Fiscal Divergence and Business Cycle Synchronization: \nIrresponsibility is Idiosyncratic86 cited
    • 2019Consumption Fluctuations and Expected Returns85 cited
    • 2005Foreign Direct Investment and International Business Cycle Comovement81 cited
    • 2003Are they All in the Same Boat? the 2000-2001 Growth Slowdown and the G-7 Business Cycle Linkages79 cited
    • 2007Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach70 cited
    • 2009Can Structural Small Open Economy Models Account for the Influence of Foreign Disturbances?65 cited
    • 2016Interconnections Between Eurozone and US Booms and Busts Using a Bayesian Panel Markov‐Switching VAR Model58 cited
    • 2003Volatility and Comovement in a Globalized World Economy55 cited
    • 2012Business Cycle Synchronization in the Euro Area and the Impact of the Financial Crisis53 cited