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Cyclical Patterns in the Variance of Economic Activity
16 references·16 citing·30 second hopsampled
Cyclical Patterns in the Variance of Economic Activity (1993)Cyclical Patterns in the Variance of Econ…A nonlinear approach to US GNP (1995)A nonlinear approach to US GNPLarge shocks, small shocks, and economic fluctuations: Outliers in macroeconomic time series (1994)Large shocks, small shocks, a…Do recessions permanently change output? (1993)Do recessions permanently cha…BUSINESS CYCLE ASYMMETRY: A DEEPER LOOK (1993)BUSINESS CYCLE ASYMMETRY: A D…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 Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Is the business cycle characterized by deterministic chaos? (1988)Is the business cycle charact…The American Business Cycle: Continuity and Change. (1987)The American Business Cycle: …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Further Evidence on the Asymmetric Behavior of Economic Time Series over the Business Cycle (1986)Further Evidence on the Asymm…ARMA MODELS WITH ARCH ERRORS (1984)ARMA MODELS WITH ARCH ERRORSAre 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…Survey of current business (1921)Survey of current businessThe Great Moderation in Historical Perspective. Is it that Great? (2015)The Great Moderation in Histo…The Impact of Switching Regimes and Monetary Shocks: An Empirical Analysis of REITs (2012)The Impact of Switching Regim…Investment Under Uncertainty (2007)Investment Under UncertaintySome statistical aspects of methods for detection of turning points in business cycles (2006)Some statistical aspects of m…Is the Investment–Uncertainty Relationship Nonlinear? An Empirical Analysis for the Netherlands (2005)Is the Investment–Uncertainty…Detecting Business Cycle Asymmetries Using Artificial Neural Networks and Time Series Models (2005)Detecting Business Cycle Asym…On Business Cycle Asymmetries in G7 Countries (2004)On Business Cycle Asymmetries…The non‐linear dynamics of output and unemployment in the U.S. (2001)The non‐linear dynamics of ou…The Declining Volatility of U.S. Employment: Was Arthur Burns Right? (2000)The Declining Volatility of U…A further note on the three phases of the US business cycle (2000)A further note on the three p…Nonlinear VAR: Some Theory and an Application to US GNP and Unemployment (1998)Nonlinear VAR: Some Theory an…On the Dynamic Properties of Asymmetric Models of Real GNP (1997)On the Dynamic Properties of …Does Growth Vary over the Business Cycle? Some Evidence from the G7 Countries (1997)Does Growth Vary over the Bus…10 Interest rate spreads as predictors of business cycles (1996)10 Interest rate spreads as p…Predicting cyclical turning points with leading index in a markov switching model (1994)Predicting cyclical turning p…On the use of dispersion measures from NAPM surveys in business cycle forecasting (1993)On the use of dispersion meas…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)Multivariate Simultaneous Generalized ARCH (1995)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Introductory Econometrics for Finance (2008)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)The General Theory of Employment, Interest and Money. (1936)The General Theory of Employment, Interest and Money. (1936)Testing the adequacy of smooth transition autoregressive models (1996)The General Theory of Employment (1937)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)The relationship between return and market value of common stocks (1981)Capital-skill Complementarity and Inequality: A Macroeconomic Analysis (2000)The Resurgence of Growth in the Late 1990s: Is Information Technology the Story? (2000)Sample Splitting and Threshold Estimation (2000)Spatial Market Integration in the Presence of Threshold Effects (2001)Analysis of Financial Time Series (2006)Econometric Analysis of Cross Section and Panel Data (2001)The Asymmetric Effects of Monetary Policy: A Nonlinear Vector Autoregression Approach (1999)Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different? (2003)How Business Cycles Contribute to Private-Label Success: Evidence from the United States and Europe (2006)
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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
  • 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
  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 1921Survey of current business2,134 cited
  • 1984Are Economic Time Series Asymmetric over the Business Cycle?929 cited
  • 1992Characterizing nonlinearities in business cycles using smooth transition autoregressive models890 cited
  • 1993BUSINESS CYCLE ASYMMETRY: A DEEPER LOOK580 cited
  • 1995A nonlinear approach to US GNP562 cited
  • 1993Do recessions permanently change output?478 cited
  • 1987The American Business Cycle: Continuity and Change.453 cited
  • 1988Is the business cycle characterized by deterministic chaos?411 cited
  • 1984ARMA MODELS WITH ARCH ERRORS282 cited
  • 1986Further Evidence on the Asymmetric Behavior of Economic Time Series over the Business Cycle222 cited

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  • 1994Large shocks, small shocks, and economic fluctuations: Outliers in macroeconomic time series187 cited
  • Cited by

    • 1994Predicting cyclical turning points with leading index in a markov switching model112 cited
    • 2001The non‐linear dynamics of output and unemployment in the U.S.103 cited
    • 2005Is the Investment–Uncertainty Relationship Nonlinear? An Empirical Analysis for the Netherlands69 cited
    • 2015The Great Moderation in Historical Perspective. Is it that Great?51 cited
    • 1993On the use of dispersion measures from NAPM surveys in business cycle forecasting47 cited
    • 1998Nonlinear VAR: Some Theory and an Application to US GNP and Unemployment43 cited
    • 1997Does Growth Vary over the Business Cycle? Some Evidence from the G7 Countries41 cited
    • 1997On the Dynamic Properties of Asymmetric Models of Real GNP41 cited
    • 2000The Declining Volatility of U.S. Employment: Was Arthur Burns Right?38 cited
    • 2006Some statistical aspects of methods for detection of turning points in business cycles36 cited
    • 2000A further note on the three phases of the US business cycle34 cited
    • 2004On Business Cycle Asymmetries in G7 Countries32 cited
    • 2012The Impact of Switching Regimes and Monetary Shocks: An Empirical Analysis of REITs30 cited
    • 199610 Interest rate spreads as predictors of business cycles28 cited
    • 2007Investment Under Uncertainty28 cited
    • 2005Detecting Business Cycle Asymmetries Using Artificial Neural Networks and Time Series Models27 cited