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Business cycle durations
11 references·16 citing·34 second hop
Business cycle durations (1998)Business cycle durationsAsymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models (1998)Asymptotic Null Distribution …Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)Inference When a Nuisance Par…Erratum: The likelihood ratio test under nonstandard conditions: Testing the Markov switching model of GNP (1996)Erratum: The likelihood ratio…Nonstationary Time Series Analysis and Cointegration (1994)Nonstationary Time Series Ana…Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth (1994)Duration-Dependent Transition…Business-Cycle Phases and Their Transitional Dynamics (1994)Business-Cycle Phases and The…Business Cycles, Indicators, and Forecasting (1993)Business Cycles, Indicators, …The likelihood ratio test under nonstandard conditions: Testing the markov switching model of gnp (1992)The likelihood ratio test und…Business Cycle Durations and Postwar Stabilization of the U.S. Economy (1992)Business Cycle Durations and …A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…A Guide to Simulation. (1985)A Guide to Simulation.Financial conditions and density forecasts for US output and inflation (2017)Financial conditions and dens…Macroeconomic Regimes and Regime Shifts (2016)Macroeconomic Regimes and Reg…Regime switching model of US crude oil and stock market prices: 1859 to 2013 (2015)Regime switching model of US …Hedging with Futures: Does Anything Beat the Naïve Hedging Strategy? (2015)Hedging with Futures: Does An…A regime-dependent assessment of the information transmission dynamics between oil prices, precious metal prices and exchange rates (2015)A regime-dependent assessment…Which Democracies Will Last? Coups, Incumbent Takeovers, and the Dynamic of Democratic Consolidation (2014)Which Democracies Will Last? …The effects of crude oil shocks on stock market shifts behaviour: A regime switching approach (2009)The effects of crude oil shoc…The duration of economic expansions and recessions: More than duration dependence (2009)The duration of economic expa…Modeling and forecasting stock return volatility using a random level shift model (2009)Modeling and forecasting stoc…Is housing the business cycle? Evidence from US cities (2009)Is housing the business cycle…Comparing smooth transition and Markov switching autoregressive models of US unemployment (2008)Comparing smooth transition a…Level Shifts and the Illusion of Long Memory in Economic Time Series (2005)Level Shifts and the Illusion…Early Warning Systems (2003)Early Warning SystemsBusiness Cycle Asymmetries (2003)Business Cycle AsymmetriesNonlinear Features of Realized FX Volatility (2002)Nonlinear Features of Realize…New index of coincident indicators: A multivariate Markov switching factor model approach (1995)New index of coincident indic…New Indexes of Coincident and Leading Economic Indicators (1989)The federal funds rate and the channels of monetary transmission (1989)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Stock market volatility and the business cycle (1996)Vulnerable Growth (2019)Long Swings in the Dollar: Are They in the Data and Do Markets Know It? (1990)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)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)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Term Structure of Interest Rates with Regime Shifts (2002)Regime Changes and Financial Markets (2012)The impact of energy consumption and economic development on Ecological Footprint and CO2 emissions: Evidence from a Markov Switching Equilibrium Correction Model (2017)The General Theory of Employment, Interest and Money. (1936)The General Theory of Employment, Interest and Money. (1936)Identifying Bull and Bear Markets in Stock Returns (2000)A simple framework for analysing bull and bear markets (2002)Testing for the Constancy of Parameters Over Time (1989)Autoregressive conditional heteroskedasticity and changes in regime (1994)Threshold effects in non-dynamic panels: Estimation, testing, and inference (1999)Sample Splitting and Threshold Estimation (2000)Convergence empirics across economies with (some) capital mobility (1996)Energy consumption in China: past trends and future directions (2004)Understanding the Evolution of World Business Cycles (2005)The Asymptotic Efficiency of Simulation Estimators (1992)Introduction to the art and science of simulation (1998)Model Transparency and Validation: A Report of the ISPOR-SMDM Modeling Good Research Practices Task Force-7 (2012)Relationships among U.S. oil prices and oil industry equity indices (2003)Estimation of Markov regime-switching regression models with endogenous switching (2007)A model of carbon price interactions with macroeconomic and energy dynamics (2011)
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
  • 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis2,282 cited
  • 1994Business-Cycle Phases and Their Transitional Dynamics883 cited
  • 1996Erratum: The likelihood ratio test under nonstandard conditions: Testing the Markov switching model of GNP645 cited
  • 1992The likelihood ratio test under nonstandard conditions: Testing the markov switching model of gnp623 cited
  • 1998Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models551 cited
  • 1985A Guide to Simulation.426 cited
  • 1993Business Cycles, Indicators, and Forecasting364 cited
  • 1994Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth288 cited
  • 1994Nonstationary Time Series Analysis and Cointegration284 cited
  • 1992Business Cycle Durations and Postwar Stabilization of the U.S. Economy258 cited

Cited by

  • 2014Which Democracies Will Last? Coups, Incumbent Takeovers, and the Dynamic of Democratic Consolidation265 cited
  • 2009The effects of crude oil shocks on stock market shifts behaviour: A regime switching approach260 cited
  • 1995New index of coincident indicators: A multivariate Markov switching factor model approach

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169 cited
  • 2015Regime switching model of US crude oil and stock market prices: 1859 to 2013166 cited
  • 2003Business Cycle Asymmetries148 cited
  • 2009Is housing the business cycle? Evidence from US cities131 cited
  • 2015Hedging with Futures: Does Anything Beat the Naïve Hedging Strategy?119 cited
  • 2002Nonlinear Features of Realized FX Volatility112 cited
  • 2017Financial conditions and density forecasts for US output and inflation103 cited
  • 2016Macroeconomic Regimes and Regime Shifts101 cited
  • 2009The duration of economic expansions and recessions: More than duration dependence98 cited
  • 2003Early Warning Systems97 cited
  • 2015A regime-dependent assessment of the information transmission dynamics between oil prices, precious metal prices and exchange rates92 cited
  • 2005Level Shifts and the Illusion of Long Memory in Economic Time Series91 cited
  • 2008Comparing smooth transition and Markov switching autoregressive models of US unemployment87 cited
  • 2009Modeling and forecasting stock return volatility using a random level shift model76 cited