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A Comparison of the Statistical Properties of Financial Variables in the USA, UK and Germany over the Business Cycle
16 references·15 citing·43 second hop
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this work references cited by second hop

References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1996A test for independence based on the correlation dimension3,526 cited
  • 1990Stock Returns, Expected Returns, and Real Activity1,553 cited
  • 1994Business-Cycle Phases and Their Transitional Dynamics883 cited
  • 1996Stock market volatility and the business cycle779 cited
  • 1990Stock Returns and Real Activity: A Century of Evidence733 cited
  • 1992Asymmetric Effects of Positive and Negative Money-Supply Shocks541 cited
  • 1989Business Cycles, Financial Crises, and Stock Volatility367 cited
  • 1994International term structures and real economic growth358 cited
  • 1994Stylized facts of business cycles in the G7 from a real business cycles perspective293 cited
  • 1997Business Cycles for G7 and European Countries270 cited
  • 1997A single-blind controlled competition among tests for nonlinearity and chaos248 cited
  • 2001Testing for Neglected Nonlinearity in Time Series Models: A Comparison of Neural Network Methods and Alternative Tests

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212 cited
  • 2002Are the Effects of Monetary Policy Asymmetric?185 cited
  • Cited by

    • 2016Stock market volatility and business cycle: Evidence from linear and nonlinear causality tests121 cited
    • 2007The Recent Behaviour of Financial Market Volatility85 cited
    • 2005Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers82 cited
    • 2001Debt Revolvers for Self Control64 cited
    • 2012THE IMPACT OF BANKS' CAPITAL ADEQUACY REGULATION ON THE ECONOMIC SYSTEM: AN AGENT-BASED APPROACH61 cited
    • 2016Testing for Granger causality in large mixed-frequency VARs48 cited
    • 2001Modelling Business Cycle Movements in the UK Economy46 cited
    • 2015What does financial volatility tell us about macroeconomic fluctuations?44 cited
    • 2006Intertemporal pricing and price discrimination: a semiparametric hedonic analysis of the personal computer market43 cited
    • 2008The Recent Behaviour of Financial Market Volatility36 cited
    • 2003Stockholding: Recent Lessons from Theory and Computations30 cited
    • 2002Asymmetric dynamics in UK real interest rates27 cited
    • 2005THE PROPERTIES OF CYCLES IN SOUTH AFRICAN FINANCIAL VARIABLES AND THEIR RELATION TO THE BUSINESS CYCLE26 cited
    • 2004Non‐Linear Error Correction: Evidence for UK Interest Rates25 cited
    • 2003Regularidades empíricas en los ciclos económicos de México: producción, inversión, inflación y balanza comercial23 cited