Advances in Markov-Switching Models

Applications in Business Cycle Research and Finance

AvJames D. Hamilton,Baldev Raj

Häftad, Engelska, 2013

Del i serien Studies in Empirical Economics

1 062 kr

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Beskrivning

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.

Produktinformation

Utgivningsdatum:2013-01-19
Mått:213 x 140 x 19 mm
Vikt:358 g
Format:Häftad
Språk:Engelska
Serie:Studies in Empirical Economics
Antal sidor:267
Förlag:Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN:9783642511844

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Innehållsförteckning

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.