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Do We Need a Stochastic Trend in Cay Estimation? Yes

Costola, Michele - 2016

The paper investigates the importance of modeling in cay estimations from a statistical and economic perspective by observing the stochastic trend, a thus far neglected component. In order to do this, we perform an empirical analysis on US secular annual data from 1900 to 2015 considering the...

Persistent link: https://www.econbiz.de/10012980100

Asymmetry and leverage in GARCH models : a News Impact Curve perspective

Caporin, Massimiliano; Costola, Michele - In: Applied economics 51 (2019) 31, pp. 3345-3364

Persistent link: https://www.econbiz.de/10012196836

Business cycle analysis with multivariate Markov switching models

Anas, Jacques; Billio, Monica; Ferrara, Laurent; Lo … - In: Growth and cycle in the Euro-zone, (pp. 249-260). 2006

Persistent link: https://www.econbiz.de/10003412214

Business cycle analysis with multivariate Markov switching models

Anas, Jacques; Billio, Monica; Ferrara, Laurent; Lo … - 2007

Persistent link: https://www.econbiz.de/10003912305

Combining predictive densities using Bayesian filtering with applications to US economics data

Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - 2011

Persistent link: https://www.econbiz.de/10008809881

Beta autoregressive transition Markov-switching models for business cycle analysis

Billio, Monica; Casarin, Roberto - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 15 (2011) 4, pp. 1-30

Persistent link: https://www.econbiz.de/10009521858

Time-varying combinations of predictive densities using nonlinear filtering

Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - 2012

Persistent link: https://www.econbiz.de/10009724346

Evaluation of regime switching models for real-time business cycle analysis of the euro area

Billio, Monica; Ferrara, Laurent; Guégan, Dominique; … - In: Journal of forecasting 32 (2013) 7, pp. 577-586

Persistent link: https://www.econbiz.de/10010202176

Nonlinear dynamics and recurrence plots for detecting financial crisis

Addo, Peter Martey; Billio, Monica; Guégan, Dominique - In: The North American journal of economics and finance : a … 26 (2013), pp. 416-435

Persistent link: https://www.econbiz.de/10010367574

Time-varying combinations of predictive densities using nonlinear filtering

Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - In: Journal of econometrics 177 (2013) 2, pp. 213-232

Persistent link: https://www.econbiz.de/10010254875

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