Advances in Markov-Switching Models Applications in Business Cycle Research and Finance
This book is a collection of state-of-the-art papers on the properties of business cycles and financial analysis. The individual contributions cover new advances in Markov-switching models with applications to business cycle research and finance. The introduction surveys the existing methods and new...
Other Authors: | , |
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Format: | eBook |
Language: | English |
Published: |
Heidelberg
Physica
2002, 2002
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Edition: | 1st ed. 2002 |
Series: | Studies in Empirical Economics
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Subjects: | |
Online Access: | |
Collection: | Springer Book Archives -2004 - Collection details see MPG.ReNa |
Table of Contents:
- I Introduction and Overview
- New directions in business cycle research and financial analysis
- II The Business Cycle in the U.S.
- Permanent and transitory components of recessions
- Can oil shocks explain asymmetries in the US Business Cycle?
- Markov switching in disaggregate unemployment rates
- III The Business Cycle in Other Countries
- A Markov-switching vector equilibrium correction model of the UK labour market
- Plucking models of business cycle fluctuations: Evidence from the G-7 countries
- IV Financial Applications
- Is there an asymmetric effect of monetary policy over time? A Bayesian analysis using Austrian data
- A regime-switching approach to the study of speculative attacks: A focus on EMS crises
- Fads or bubbles?
- Improving GARCH volatility forecasts with regime-switching GARCH
- V Methodological Contribution
- Power issues when testing the Markov switching model with the sup likelihood ratio test using U.S. Output
- List of Referees