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Wavelet : a new tool for business cycle analysis
Raihan, Sharif Md. (contributor); Wen, Yi (contributor);  … - 2005
"One basic problem in business-cycle studies is how to deal with nonstationary time series. The market economy is an evolutionary system. Economic time series therefore contain stochastic components that are necessarily time dependent. Traditional methods of business cycle analysis, such as the...
Persistent link: https://www.econbiz.de/10002956724
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The dynamic relationship between permanent and transitory components of U.S. business cycles
Kim, Chang-jin (contributor); Piger, Jeremy Max (contributor) - 2003 - [Elektronische Ressource].
Persistent link: https://www.econbiz.de/10001965211
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Nonlinearity and the permanent effects of recessions
Kim, Chang-jin (contributor); Morley, James C. (contributor) - 2003 - [Elektronische Ressource], rev
Persistent link: https://www.econbiz.de/10001973965
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Kalman filtering with truncated normal state variables for Bayesian estimation of macroeconomic models
Dueker, Michael (contributor) - 2005
"A pair of simple modifications to the Kalman filter recursions makes possible the filtering of models in which one or more state variables is truncated normal. Such recursions are broadly applicable to macroeconometric models that have one or more probit-type equation, such as vector...
Persistent link: https://www.econbiz.de/10003115151
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Common stochastic trends, common cycles, and asymmetry in economic fluctuations
Kim, Chang-jin (contributor); Piger, Jeremy Max (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001965274
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Markov regime switching and unit root tests
Nelson, Charles R. (contributor); Zivot, Eric (contributor);  … - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001965291
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Forecasting output with information from business cycle turning points : a qualitative variable VAR
Dueker, Michael (contributor);  … - 2001 - [Elektronische Ressource].
Persistent link: https://www.econbiz.de/10001965117
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Modelling the MIB30 implied volatility surface : does efficiency matter?
Cassese, Gianluca (contributor);  … - 2005
"We analyze the volatility surface vs. moneyness and time to expiration implied by MIBO options written on the MIB30 …, the most important Italian stock index. We specify and fit a number of models of the implied volatility surface and find … that it has a rich and interesting structure that strongly departs from a constant volatility, Black-Scholes benchmark …
Persistent link: https://www.econbiz.de/10002917585
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A comparison of the real-time performance of business cycle dating methods
Chauvet, Marcelle (contributor);  … - 2005
"This paper evaluates the ability of formal rules to establish U.S. business cycle turning point dates in real time. We consider two approaches, a nonparametric algorithm and a parametric Markov-switching dynamic-factor model. In order to accurately assess the real-time performance of these...
Persistent link: https://www.econbiz.de/10002934316
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Estimation of Markov regime-switching regression models with endogenous switching
Kim, Chang-jin (contributor); Piger, Jeremy Max (contributor) - 2003 - [Elektronische Ressource], rev
Persistent link: https://www.econbiz.de/10001979877