Search Results

There are 20130 results for: content related to: Comparing smooth transition and Markov switching autoregressive models of US unemployment

  1. Maximum likelihood estimation of STAR and STAR-GARCH models: theory and Monte Carlo evidence

    Journal of Applied Econometrics

    Volume 17, Issue 5, September/October 2002, Pages: 509–534, Felix Chan and Michael McAleer

    Version of Record online : 28 OCT 2002, DOI: 10.1002/jae.686

  2. Censored latent effects autoregression, with an application to US unemployment

    Journal of Applied Econometrics

    Volume 17, Issue 4, July/August 2002, Pages: 347–366, Philip Hans Franses and Professor Richard Paap

    Version of Record online : 4 MAR 2002, DOI: 10.1002/jae.627

  3. Land of addicts? an empirical investigation of habit-based asset pricing models

    Journal of Applied Econometrics

    Volume 24, Issue 7, November/December 2009, Pages: 1057–1093, Xiaohong Chen and Sydney C. Ludvigson

    Version of Record online : 11 AUG 2009, DOI: 10.1002/jae.1091

  4. You have free access to this content
    Market fundamentals versus rational bubbles in stock prices: a Bayesian perspective

    Journal of Applied Econometrics

    Volume 24, Issue 1, January/February 2009, Pages: 35–75, Nathan S. Balke and Mark E. Wohar

    Version of Record online : 5 SEP 2008, DOI: 10.1002/jae.1025

  5. Dating and forecasting turning points by Bayesian clustering with dynamic structure: a suggestion with an application to Austrian data

    Journal of Applied Econometrics

    Volume 25, Issue 2, March 2010, Pages: 309–344, Sylvia Kaufmann

    Version of Record online : 28 SEP 2009, DOI: 10.1002/jae.1076

  6. Conditional Markov chain and its application in economic time series analysis

    Journal of Applied Econometrics

    Volume 26, Issue 5, August 2011, Pages: 715–734, Jushan Bai and Peng Wang

    Version of Record online : 5 FEB 2010, DOI: 10.1002/jae.1140

  7. Jumps in cross-sectional rank and expected returns: a mixture model

    Journal of Applied Econometrics

    Volume 23, Issue 5, August 2008, Pages: 585–606, Gloria González-Rivera, Tae-Hwy Lee and Santosh Mishra

    Version of Record online : 19 AUG 2008, DOI: 10.1002/jae.1015

  8. Nonlinear autoregressive leading indicator models of output in G-7 countries

    Journal of Applied Econometrics

    Volume 22, Issue 1, January/February 2007, Pages: 63–87, Heather M. Anderson, George Athanasopoulos and Farshid Vahid

    Version of Record online : 13 MAR 2007, DOI: 10.1002/jae.935

  9. You have free access to this content
    Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables

    Journal of Applied Econometrics

    Volume 20, Issue 3, March/April 2005, Pages: 423–437, Fabio Spagnolo, Zacharias Psaradakis and Martin Sola

    Version of Record online : 14 APR 2005, DOI: 10.1002/jae.773

  10. On detrending and cyclical asymmetry

    Journal of Applied Econometrics

    Volume 18, Issue 3, May/June 2003, Pages: 271–289, Zacharias Psaradakis and Martin Sola

    Version of Record online : 8 OCT 2002, DOI: 10.1002/jae.681

  11. How well do Markov switching models describe actual business cycles? The case of synchronization

    Journal of Applied Econometrics

    Volume 20, Issue 2, 2005, Pages: 253–274, Penelope A. Smith and Peter M. Summers

    Version of Record online : 24 MAR 2005, DOI: 10.1002/jae.845

  12. Asymmetric power distribution: Theory and applications to risk measurement

    Journal of Applied Econometrics

    Volume 22, Issue 5, August 2007, Pages: 891–921, Ivana Komunjer

    Version of Record online : 23 JUL 2007, DOI: 10.1002/jae.961

  13. You have free access to this content
    Identifying the new Keynesian Phillips curve

    Journal of Applied Econometrics

    Volume 23, Issue 5, August 2008, Pages: 525–551, James M. Nason and Gregor W. Smith

    Version of Record online : 19 AUG 2008, DOI: 10.1002/jae.1011

  14. You have free access to this content
    Does the option market produce superior forecasts of noise-corrected volatility measures?

    Journal of Applied Econometrics

    Volume 24, Issue 1, January/February 2009, Pages: 77–104, Gael M. Martin, Andrew Reidy and Jill Wright

    Version of Record online : 4 DEC 2008, DOI: 10.1002/jae.1033

  15. You have free access to this content
    Realising the future: forecasting with high-frequency-based volatility (HEAVY) models

    Journal of Applied Econometrics

    Volume 25, Issue 2, March 2010, Pages: 197–231, Professor Neil Shephard and Kevin Sheppard

    Version of Record online : 27 JAN 2010, DOI: 10.1002/jae.1158

  16. You have free access to this content
    Markov switching causality and the money–output relationship

    Journal of Applied Econometrics

    Volume 20, Issue 5, July/August 2005, Pages: 665–683, Professor Zacharias Psaradakis, Morten O. Ravn and Martin Sola

    Version of Record online : 27 JUL 2005, DOI: 10.1002/jae.819

  17. You have free access to this content
    Rethinking an old empirical puzzle: econometric evidence on the forward discount anomaly

    Journal of Applied Econometrics

    Volume 16, Issue 6, November/December 2001, Pages: 671–708, Professor Alex Maynard and Peter C. B. Phillips

    Version of Record online : 13 DEC 2001, DOI: 10.1002/jae.624

  18. Modelling the conditional volatility of commodity index futures as a regime switching process

    Journal of Applied Econometrics

    Volume 16, Issue 2, March/April 2001, Pages: 133–163, Wai Mun Fong and Kim Hock See

    Version of Record online : 23 APR 2001, DOI: 10.1002/jae.590

  19. Factor analysis of permanent and transitory dynamics of the US economy and the stock market

    Journal of Applied Econometrics

    Volume 26, Issue 6, September/October 2011, Pages: 975–998, Zeynep Senyuz

    Version of Record online : 9 JUN 2010, DOI: 10.1002/jae.1193

  20. Regime shifts in stock–flow I(2)–I(1) systems: the case of US fiscal sustainability

    Journal of Applied Econometrics

    Volume 26, Issue 2, March 2011, Pages: 298–321, Vanessa Berenguer-Rico and Josep Lluís Carrion-i-Silvestre

    Version of Record online : 1 FEB 2010, DOI: 10.1002/jae.1139