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Climate risk and the volatility of agricultural commodity price fluctuations : a prediction experiment
Gupta, Rangan; Pierdzioch, Christian - In: Behavioral Finance and Asset Prices : The Influence of …, (pp. 23-44). 2023
Persistent link: https://www.econbiz.de/10014282545
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Markov switching rationality
Odendahl, Florens; Rossi, Barbara; Sekhposyan, Tatevik - In: Essays in honor of Joon Y. Park : econometric …, (pp. 35-64). 2023
Persistent link: https://www.econbiz.de/10014315144
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Regime switches in the yield curve-credit spread relationship and the prediction of recessions
Georgoutsos, Demetris A.; Kounitis, Thomas I. - In: Money, trade and finance : recent trends and …, (pp. 169-191). 2021
regime shifts. Through the estimation of an asymmetric Markov-Switching Vector Equilibrium Correction Model (MS …-VECM), comprising the short- and the long-term risk-free rate and the Moody's Baa-rated bond rate, we arrive at three basic results …
Persistent link: https://www.econbiz.de/10012696793
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Seasonality, nonstationarity and the structural forecasting of the index of industrial production
Kouassi, Eugène; Labys, Walter C. - In: New trends in macroeconomics : with 38 tables, (pp. 195-221). 2005
Persistent link: https://www.econbiz.de/10003022405
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Real-time detection of the business cycle using SETAR models
Ferrara, Laurent; Guégan, Dominique - In: Growth and cycle in the Euro-zone, (pp. 221-232). 2006
Persistent link: https://www.econbiz.de/10003412187
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Wie Konjunkturdiagnosen treffsicherer werden
Schmidt, Jürgen - In: Wirtschafts- und Sozialstatistik heute : Theorie und …, (pp. 185-199). 1997
Persistent link: https://www.econbiz.de/10001296669
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Financial stress, regime switching and macrodynamics
Chen, Pu; Semmler, Willi - In: Nonlinearities in economics : an interdisciplinary …, (pp. 315-335). 2021
in the USA as well as in the EU. In this paper, the authors study two regimes of monetary responses. While the …
Persistent link: https://www.econbiz.de/10012648051
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Heterogeneous switching in FAVAR models
Guérin, Pierre; Leiva-León, Danilo - In: Essays in honour of Fabio Canova, (pp. 65-98). 2022
Persistent link: https://www.econbiz.de/10013443910
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Modeling fixed investment and its components: an application of non-linear error correction
Jumah, Adusei; Kunst, Robert M. - In: Advances in macroeconometric modeling : papers and …, (pp. 133-167). 2005
Persistent link: https://www.econbiz.de/10002832558
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The importance of nonlinearity in reproducing business cycle features
Morley, James C.; Piger, Jeremy Max - In: Nonlinear time series analysis of business cycles, (pp. 75-95). 2006
This paper considers the ability of simulated data from linear and nonlinear time-series models to reproduce features in U.S. real GDP data related to business cycle phases. We focus our analysis on a number of linear ARIMA models and nonlinear Markov-switching models. To determine the timing of...
Persistent link: https://www.econbiz.de/10003309160