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Great moderation or "will o' the wisp"? : a time-frequency decomposition of GDP for the US and UK

Crowley, Patrick M.; Hughes Hallett, Andrew - In: Journal of macroeconomics 44 (2015), pp. 82-97

Persistent link: https://www.econbiz.de/10011570305

A multivariate innovations state space BeveridgeNelson decomposition

De Silva, Ashton; Hyndman, Rob J.; Snyder, Ralph D. - In: Economic modelling 26 (2009) 5, pp. 1067-1074

Persistent link: https://www.econbiz.de/10003871265

The great moderation under the microscope : decomposition of macroeconomic cycles in US and UK aggregate demand

Crowley, Patrick M.; Hughes Hallett, Andrew - In: Wavelet applications in economics and finance, (pp. 47-71). 2014

Persistent link: https://www.econbiz.de/10010411185

The great moderation under the microscope : decomposition of macroeconomic cycles in US and UK aggregate demand

Crowley, Patrick M.; Hughes Hallett, Andrew - 2011

Persistent link: https://www.econbiz.de/10009012193

Exchange return co-movements and volatility spillovers before and after the introduction of euro

Antonakakis, Nikolaos - 2012

Persistent link: https://www.econbiz.de/10009559164

Exchange return co-movements and volatility spillovers before and after the introduction of euro

Antonakakis, Nikolaos - 2012

This paper examines co-movements and volatility spillovers in the returns of the euro, the British pound, the Swiss franc and the Japanese yen vis-à-vis the US dollar before and after the introduction of the euro. Based on dynamic correlations, variance decompositions, generalized VAR analysis,...

Persistent link: https://www.econbiz.de/10011347744