Advances in Markov-Switching Models Applications in Business Cycle Research and Finance

Advances in Markov-Switching Models Applications in Business Cycle Research and Finance / edited by James D. Hamilton, Baldev Raj.

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...

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Bibliographic Details
Corporate Author: SpringerLink (Online service)
Other Authors: Hamilton, James D. (Editor), Raj, Baldev (Editor)
Format: eBook
Language:English
Published: Heidelberg : Physica-Verlag HD : Imprint: Physica, 2002.
Edition:1st ed. 2002.
Series:Studies in Empirical Economics,
Springer eBook Collection.
Subjects:
Macroeconomics.
Econometrics.
Statistics .
Finance.
Electronic resources (E-books)
Online Access:Click to view e-book
Holy Cross Note:Loaded electronically.
Electronic access restricted to members of the Holy Cross Community.
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.

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