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Testing common deterministic seasonality, with an application to industrial production
Franses, Philip Hans; Kunst, Robert M. - 1999
Persistent link: https://www.econbiz.de/10001495863
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UK natural gas : gas-specific or oil driven pricing?
Asche, Frank; Oglend, Atle; Osmundsen, Petter - 2013
In this paper we investigate the time-varying relationship between oil and natural gas in the UK. We develop a model where relative prices can move between pricing-regimes; markets switch between being decoupled and integrated. Our model endogenously accounts for periods where oil and natural...
Persistent link: https://www.econbiz.de/10010212645
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Modelling business cycle nonlinearity in conditional mean and conditional variance : some international and sectoral evidence
Peel, David - In: Economica 65 (1998) 258, pp. 211-229
Persistent link: https://www.econbiz.de/10001242307
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An index of uncertainty for business cycle leading indicators
Hatekar, Neeraj R.; Iyer, Minakshy; Vora, Vibhuti; … - In: Asian African journal of economics and econometrics 11 (2011) 2, pp. 207-214
Persistent link: https://www.econbiz.de/10009571397
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Commodity prices : how important are real and nominal shocks?
Bloch, Harry; Fraser, Patricia; McDonald, Garry A. - In: Applied economics 44 (2012) 16/18, pp. 2347-2357
Persistent link: https://www.econbiz.de/10009572733
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More international evidence on the historical properties of business cycles
A'Hearn, Brian; Woitek, Ulrich - 1999
Persistent link: https://www.econbiz.de/10001491914
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Do banks affect the level and composition of industrial volatility?
Larrain, Borja - In: The journal of finance : the journal of the American … 61 (2006) 4, pp. 1897-1925
Persistent link: https://www.econbiz.de/10003357819
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Conditional growth volatility and sectoral comovement in U.S. industrial production, 1828-1915
Freire, Gustavo; Resende, Marcelo - In: Empirical economics : a journal of the Institute for … 59 (2020) 6, pp. 3063-3084
Persistent link: https://www.econbiz.de/10012504357
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Impactos de la COVID-19 en el sistema internacional y en la integración regional
Vieira Posada, Edgar (ed.); Peña, Félix (ed.) - 2021
Recesión global, COVID-19 y viabilidad de estrategias poskeynesianas : la perspectiva en América del Norte / Miguel Ángel Vázquez Ruiz, Carmen O. Bocanegra Gastelum -- Desafíos de la pandemia a la gobernanza multinivel en América Latina y el rol de la academia : consideraciones desde...
Persistent link: https://www.econbiz.de/10012698412
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Modelling Business Cycle Nonlinearity in Conditional Mean and Conditional Variance : Some International and Sectoral Evidence
Peel, David A.; Speight, Alan E.H - 2003
This paper tests for the presence of output mean and variance nonlinearities in international industrial production and UK and US sectoral production growth rates using ARMA-GQARCH, bilinear (BL) and joint BL-GQARCH models. ARMA-GQARCH models confirm the presence of asymmetric variance effects...
Persistent link: https://www.econbiz.de/10014075635