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-cycle fluctuations in sales. Specifically, we discuss the notions of cyclical volatility and cyclical comovement, and consider two types … the cyclical sensitivity in their sales evolution. In that way, we (i) derive a novel set of empirical generalizations … observation calls for an explicit consideration of cyclical variation in durable sales. Moreover, even though no evidence is found …
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We examine a trivariate time series model that is subject to a regime switch, where the shifts are governed by an unobserved, two-state variable that follows a Markov process. The analysis is performed in a Bayesian framework developed by Albert and Chib (1993), where the unobserved states are...
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