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Regularized estimation of structural instability in factor models : the US macroeconomy and the great moderation
Callot, Laurent; Kristensen, Johannes Tang - 2015
This paper shows that the parsimoniously time-varying methodology of Callot and Kristensen (2015) can be applied to factor models. We apply this method to study macroeconomic instability in the US from 1959:1 to 2006:4 with a particular focus on the Great Moderation. Models with parsimoniously...
Persistent link: https://www.econbiz.de/10010532582
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International mobility of capital in the United States : robust evidence from time-series tests
Singh, Tarlok - In: Journal of time series econometrics 8 (2016) 2, pp. 193-249
Persistent link: https://www.econbiz.de/10011582774
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The great moderation in historical perspective : is that great?
Gadea, María Dolores; Gómez-Loscos, Ana; … - 2015
Persistent link: https://www.econbiz.de/10011391938
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Some evidence of the US business cycle long-term stabilization: decreasing volatility of the US coincident economic indicator
Cholodilin, Konstantin Arkadʹevič - In: Advances in macroeconometric modeling : papers and …, (pp. 41-64). 2004
Persistent link: https://www.econbiz.de/10002008183
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Macroeconomic factors strike back : a Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section
Bianchi, Daniele; Guidolin, Massimo; Ravazzolo, Francesco - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 1, pp. 110-129
Persistent link: https://www.econbiz.de/10011704120
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Global financial crisis and spillover effects among the U.S. and BRICS stock markets
Mensi, Walid; Hammoudeh, Shawkat; Nguyen, Duc Khuong; … - In: International review of economics & finance : IREF 42 (2016), pp. 257-276
Persistent link: https://www.econbiz.de/10011625114
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Revisiting the anomalous relationship between inflation and real estate investment trust returns in presence of structural breaks : empirical evidence from the USA and the UK
Das, Mahamitra; Sarkar, Nityananda - In: International journal of economics and financial issues … 10 (2020) 1, pp. 250-258
Persistent link: https://www.econbiz.de/10012151329
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Macroeconomic factors strike back : a Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section
Bianchi, Daniele; Guidolin, Massimo; Ravazzolo, Francesco - 2015 - This version: June 6, 2015
Persistent link: https://www.econbiz.de/10011809314
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Breaks and outliers when modelling the volatility of the U.S. stock market
Chatzikonstanti, Vasiliki - In: Applied economics 49 (2017) 46, pp. 4704-4717
Persistent link: https://www.econbiz.de/10011844777
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Long memory and fractional integration in high frequency data on the US dollar/British pound spot exchange rate
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: International review of financial analysis 29 (2013), pp. 1-9
Persistent link: https://www.econbiz.de/10010244148