عنوان

Advances in Markov-Switching Models :

(Number (ISBN

3642511821

(Number (ISBN

3642511848

(Number (ISBN

9783642511820

(Number (ISBN

9783642511844

Number

b538690

Title Proper

Advances in Markov-Switching Models :

General Material Designation

[Book]

Other Title Information

Applications in Business Cycle Research and Finance

First Statement of Responsibility

edited by James D. Hamilton, Baldev Raj.

Place of Publication, Distribution, etc.

Heidelberg

Name of Publisher, Distributor, etc.

Physica-Verlag HD

Date of Publication, Distribution, etc.

2002

Specific Material Designation and Extent of Item

1(VIII, 267 Seiten)

Series Title

Studies in Empirical Economics

Text of Note

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.

Text of Note

This book is a collection of state-of-the-art papers on the properties of business cycles and financial analysis. Overall, the book provides a state-of-the-art over- view of new directions in methods and results for estimation and inference based on the use of Markov-switching time-series analysis.

Econometrics.

Economics -- Statistics.

Economics.

Class number

Book number

edited by James D. Hamilton, Baldev Raj.

Baldev Raj

James D Hamilton

Electronic name

[Book]

Y