This paper examines the issue of international synchronization of cycles. Using spectral methods we analyze the pattern of co-movement (coherences) of growth rate cycles between countries across frequency bands and overtime. We also examine the lead-lag structure (phase shifts) of country cycles...

Granger (1966) describes how the spectral shape of an economic variable concentrates spectral mass at low frequencies, declining smoothly as frequency increases. Despite a discussion about how to assess robustness of his results, the empirical exercise focused on the evidence obtained from a...

An effective and easy-to-implement frequency filter is proposed, obtained by convolving a raised-cosine window with the ideal rectangular filter response function. Three other filters, Hodrick–Prescott, Baxter–King, and Christiano–Fitzgerald, are thoroughly reviewed. A bandpass version of...

The last ten years have witnessed an increasing interest of the econometrics community in spectral theory. In fact, decomposing the series evolution in periodic contributions allows a more insightful view of its structure and on its cyclical behavior at different time scales. In this paper I...

An effective and easy-to-implement frequency filter is designed by convolving a Hamming window with the ideal rectangular filter response function. Three other filters (Hodrick-Prescott, Baxter-King, and Christiano-Fitzgerald) are critically reviewed. The behavior of the Hamming-windowed filter...

Ce papier présente des méthodes courantes d’extraction du cycle :les filtres classiques de Hodrick-Prescott, Baxter-King et Christiano-Fitzgerald, puis les filtres numériques de Butterworth, de Hamming et de Hanning, enfin la modélisation tendance-cycle à composantes inobservables. Ces...

In this paper, we use the Markov chain censoring technique to study infinite state Markov chains whose transition matrices possess block-repeating entries. We demonstrate that a number of important probabilistic measures are invariant under censoring. Informally speaking, these measures involve...

Based on intraday data for a large cross-section of individual stocks and Exchange traded funds, we show that short-term as well as long-term fluctuations of realized market and average idiosyncratic higher moments risks are priced in the crosssectionof asset returns. Specifically, we find that...

(High dimensional) time series which reveal nonstationary and possibly periodic behavior occur frequently in many fields of science. In this article, we separate the modeling of high dimensional time series to time propagation of low dimensional time series and high dimensional time invariant...

Based on intraday data for a large cross-section of individual stocks and Exchange traded funds, we show that short-term as well as long-term fluctuations of realized market and average idiosyncratic higher moments risks are priced in the crosssectionof asset returns. Specifically, we find that...