[go: up one dir, main page]
More Web Proxy on the site http://driver.im/
create a website
Measuring common cyclical features during financial turmoil: Evidence of interdependence not contagion. (2005). Verschoor, Willem ; Hecq, Alain ; Candelon, Bertrand ; Verschoor, Willem F. C., .
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:24:y:2005:i:8:p:1317-1334.

Full description at Econpapers || Download paper

Cited: 40

Citations received by this document

Cites: 31

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Measuring financial contagion: Dealing with the volatility Bias in the correlation dynamics. (2023). Tsafack, Georges ; Starkey, Christopher Michael.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:90:y:2023:i:c:s1057521923003794.

    Full description at Econpapers || Download paper

  2. Multi-feature evaluation of financial contagion. (2022). Syrek, Robert ; Gurgul, Henryk ; Duda, Jarosaw.
    In: Central European Journal of Operations Research.
    RePEc:spr:cejnor:v:30:y:2022:i:4:d:10.1007_s10100-021-00756-3.

    Full description at Econpapers || Download paper

  3. The contagion phenomena of the Brexit process on main stock markets. (2021). Iiguez, Cristina ; Escribano, Ana.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:26:y:2021:i:3:p:4462-4481.

    Full description at Econpapers || Download paper

  4. Reduced Rank Regression Models in Economics and Finance. (2021). Hecq, Alain ; Cubadda, Gianluca.
    In: CEIS Research Paper.
    RePEc:rtv:ceisrp:525.

    Full description at Econpapers || Download paper

  5. On Optimal Currency Areas and Common Cycles: Are the Acceding Countries Ready to Join the Euro?. (2021). Steinkamp, Sven ; Westermann, Frank ; Grimm, Louisa.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_9016.

    Full description at Econpapers || Download paper

  6. International equity markets interdependence: bigger shocks or contagion in the 21st century?. (2019). Trecroci, Carmine ; Bua, Giovanna.
    In: Review of World Economics (Weltwirtschaftliches Archiv).
    RePEc:spr:weltar:v:155:y:2019:i:1:d:10.1007_s10290-018-0325-5.

    Full description at Econpapers || Download paper

  7. Integration and risk contagion in financial crises: Evidence from international stock markets. (2019). Vortelinos, Dimitrios I ; Tsagkanos, Athanasios ; Gkillas, Konstantinos.
    In: Journal of Business Research.
    RePEc:eee:jbrese:v:104:y:2019:i:c:p:350-365.

    Full description at Econpapers || Download paper

  8. Global connectedness of MSCI energy equity indices: A system-wide network approach. (2019). Singh, Vipul Kumar ; Nishant, Shreyank ; Kumar, Pawan.
    In: Energy Economics.
    RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319302580.

    Full description at Econpapers || Download paper

  9. THE DETERMINANTS OF A SIMULTANEOUS CRASH IN GOLD AND STOCK MARKETS: AN ORDERED LOGIT APPROACH. (2018). Hamori, Shigeyuki ; Miyazaki, Takashi.
    In: Annals of Financial Economics (AFE).
    RePEc:wsi:afexxx:v:13:y:2018:i:01:n:s2010495218500045.

    Full description at Econpapers || Download paper

  10. Detecting Co-Movements in Noncausal Time Series. (2018). Telg, Sean ; Hecq, Alain ; Cubadda, Gianluca.
    In: CEIS Research Paper.
    RePEc:rtv:ceisrp:430.

    Full description at Econpapers || Download paper

  11. Multiple time-xcales analysis of global stock markets spillovers effects in African stock markets. (2017). Zamereith, Grakolet Arnold ; Ake, Gilbert Marie ; Mendy, Pierre .
    In: MPRA Paper.
    RePEc:pra:mprapa:77632.

    Full description at Econpapers || Download paper

  12. Detecting Co-Movements in Noncausal Time Series. (2017). Telg, Sean ; Hecq, Alain ; Cubadda, Gianluca.
    In: MPRA Paper.
    RePEc:pra:mprapa:77254.

    Full description at Econpapers || Download paper

  13. Discovering pervasive and non-pervasive common cycles. (2017). Real, Guillermo Carlomagno ; Terrades, Antoni Espasa.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:25392.

    Full description at Econpapers || Download paper

  14. International Equity Markets Interdependence: Bigger Shocks or Contagion in the 21st Century?. (2016). Trecroci, Carmine ; Bua, Giovanna.
    In: MPRA Paper.
    RePEc:pra:mprapa:74771.

    Full description at Econpapers || Download paper

  15. Contagion in CDS, banking and equity markets. (2016). Tabak, Benjamin ; da Silva, Mauricio ; de Castro, Rodrigo .
    In: Economic Systems.
    RePEc:eee:ecosys:v:40:y:2016:i:1:p:120-134.

    Full description at Econpapers || Download paper

  16. Oil Prices and African Stock Markets Co-movement: A Time and Frequency Analysis. (2015). Zamereith, Grakolet Arnold ; Mendy, Pierre .
    In: MPRA Paper.
    RePEc:pra:mprapa:75852.

    Full description at Econpapers || Download paper

  17. The 2008 financial crisis: Stock market contagion and its determinants. (2015). Luchtenberg, Kimberly F. ; Vu, Quang Viet .
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:33:y:2015:i:c:p:178-203.

    Full description at Econpapers || Download paper

  18. Forecasting multivariate time series under present-value model short- and long-run co-movement restrictions. (2015). Issler, João ; Hecq, Alain ; Guillén, Osmani ; Guillén, Osmani ; Guillén, Osmani ; Saraiva, Diogo .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:31:y:2015:i:3:p:862-875.

    Full description at Econpapers || Download paper

  19. Detecting financial contagion in a multivariate system. (2014). Candelon, Bertrand ; Manner, Hans ; Blatt, Dominik .
    In: Annual Conference 2014 (Hamburg): Evidence-based Economic Policy.
    RePEc:zbw:vfsc14:100411.

    Full description at Econpapers || Download paper

  20. Network analysis of exchange data: interdependence drives crisis contagion. (2014). Gómez, David ; Ortega, Guillermo ; Matesanz, David.
    In: Quality & Quantity: International Journal of Methodology.
    RePEc:spr:qualqt:v:48:y:2014:i:4:p:1835-1851.

    Full description at Econpapers || Download paper

  21. Interdependence of Stock Markets Before and After the Global Financial Crisis of 2007. (2013). Brzeszczynski, Janusz ; Ibrahim, Boulis .
    In: CFI Discussion Papers.
    RePEc:hwe:cfidps:1305.

    Full description at Econpapers || Download paper

  22. Co-movement of Asia-Pacific with European and US stock market returns: A cross-time-frequency analysis. (2013). Loh, Lixia .
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:29:y:2013:i:c:p:1-13.

    Full description at Econpapers || Download paper

  23. Government bond market dynamics and sovereign risk: systemic or idiosyncratic?. (2012). Candelon, Bertrand ; Andreea, Bicu .
    In: Research Memorandum.
    RePEc:unm:umamet:2012032.

    Full description at Econpapers || Download paper

  24. A Common-Feature Approach for Testing Present-Value Restrictions with Financial Data. (2012). Hecq, Alain ; Joo, Victor Issler .
    In: Research Memorandum.
    RePEc:unm:umamet:2012006.

    Full description at Econpapers || Download paper

  25. No contagion, only globalization and flight to quality. (2012). Szafarz, Ariane ; Chapelle, Ariane ; Brière, Marie ; Briere, Marie.
    In: Working Papers CEB.
    RePEc:sol:wpaper:2013/113071.

    Full description at Econpapers || Download paper

  26. No contagion, only globalization and flight to quality. (2012). Szafarz, Ariane ; Chapelle, Ariane ; Briere, Marie.
    In: Post-Print.
    RePEc:hal:journl:hal-01494525.

    Full description at Econpapers || Download paper

  27. A Common-feature approach for testing present-value restrictions with financial data. (2012). Issler, João ; Hecq, Alain.
    In: FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE).
    RePEc:fgv:epgewp:728.

    Full description at Econpapers || Download paper

  28. No contagion, only globalization and flight to quality. (2012). Szafarz, Ariane ; Brière, Marie ; Chapelle, Ariane ; Briere, Marie.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:31:y:2012:i:6:p:1729-1744.

    Full description at Econpapers || Download paper

  29. Sovereign risk contagion in the Eurozone. (2012). Metiu, Norbert.
    In: Economics Letters.
    RePEc:eee:ecolet:v:117:y:2012:i:1:p:35-38.

    Full description at Econpapers || Download paper

  30. No contagion, only globalization and flight to quality. (2012). Chapelle, Ariane ; Briere, Marie ; Szafarz, Ariane.
    In: Economics Papers from University Paris Dauphine.
    RePEc:dau:papers:123456789/7746.

    Full description at Econpapers || Download paper

  31. Financial contagion in developed sovereign bond markets. (2011). Metiu, Norbert.
    In: Research Memorandum.
    RePEc:unm:umamet:2011004.

    Full description at Econpapers || Download paper

  32. Banking Sector Fragility and the Transmission of Currency Crises. (2010). Raabe, Katharina ; Candelon, Bertrand ; Bruinshoofd, Allard.
    In: Open Economies Review.
    RePEc:kap:openec:v:21:y:2010:i:2:p:263-292.

    Full description at Econpapers || Download paper

  33. Spillover Effects from the US Financial Crises: Some Time-Series Evidence from National Stock Returns. (2010). Angkinand, Apanard Penny ; Barth, James R. ; Kim, Hyeongwoo.
    In: Chapters.
    RePEc:elg:eechap:13642_2.

    Full description at Econpapers || Download paper

  34. TESTING FOR ASSET MARKET LINKAGES: A NEW APPROACH BASED ON TIME-VARYING COPULAS. (2010). Candelon, Bertrand ; Manner, Hans.
    In: Pacific Economic Review.
    RePEc:bla:pacecr:v:15:y:2010:i:3:p:364-384.

    Full description at Econpapers || Download paper

  35. Behavioural heterogeneity and shift-contagion: Evidence from the Asian crisis. (2009). Zwinkels, Remco ; Verschoor, Willem ; de Jong, Eelke ; Zwinkels, Remco C. J., ; Verschoor, Willem F. C., .
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:33:y:2009:i:11:p:1929-1944.

    Full description at Econpapers || Download paper

  36. Network analysis of exchange data: Interdependence drives crisis contagion. (2008). Gómez, David ; Ortega, Guillermo J..
    In: MPRA Paper.
    RePEc:pra:mprapa:7720.

    Full description at Econpapers || Download paper

  37. No contagion, only globalization and flight to quality. (2008). Szafarz, Ariane ; Chapelle, Ariane ; Brière, Marie ; Briere, Marie.
    In: DULBEA Working Papers.
    RePEc:dul:wpaper:08-22rs.

    Full description at Econpapers || Download paper

  38. Testing for Asset Market Linkages: A new Approach based on Time-Varying Copulas. (2007). Candelon, Bertrand ; Manner, Hans.
    In: Research Memorandum.
    RePEc:unm:umamet:2007052.

    Full description at Econpapers || Download paper

  39. Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help?. (2005). Vahid, Farshid ; Anderson, Heather.
    In: ANU Working Papers in Economics and Econometrics.
    RePEc:acb:cbeeco:2005-451.

    Full description at Econpapers || Download paper

  40. On Optimal Currency Areas and Common Cycles: Are the Acceding Countries Ready to Join the Euro?. (2001). Steinkamp, Sven ; Westermann, Frank ; Grimm, Louisa.
    In: IEER Working Papers.
    RePEc:iee:wpaper:wp0120.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Anderson, H.M. ; Vahid, F. Testing multiple equation systems for common nonlinear components. 1998 Journal of Econometrics. 84 1-36

  2. Anderson, T.W. An Introduction to Multivariate Statistical Analysis. 1984 John Wiley & Sons: New York
    Paper not yet in RePEc: Add citation now
  3. Baig, T., Goldfajn, I., 1998. Financial market contagion in the Asian crises. IMF Working Paper No. 98/155.
    Paper not yet in RePEc: Add citation now

  4. Beine, M. ; Hecq, A. Inference in codependence: some Monte Carlo results and applications. 1999 Annales d'Economie et de Statistique. 54 69-90

  5. Beveridge, S. ; Nelson, C.R. A new approach to Decomposition of Economic time series into permanent and transitory components with particular attention to measurement of the ‘Business Cycle’. 1981 Journal of Monetary Economics. 7 151-174

  6. Bollerslev, T. Modelling the coherence in short-run nominal exchange rates: a multivariate generalized ARCH model. 1990 Review of Economics and Statistics. 72 498-505

  7. Calvo, S., Reinhart, C., 1995. Capital inflows to Latin America: is there evidence of contagion effects? World Bank and International Monetary Fund, Mimeo.

  8. Campbell, B. ; Dufour, J.-M. Exact nonparametric orthogonality and random walk tests. 1995 Review of Economics and Statistics. 77 1-16

  9. Campbell, B. ; Dufour, J.-M. Exact nonparametric tests of orthogonality and random walk in the presence of a drift parameter. 1997 International Economics Review. 38 151-173

  10. Candelon, B., Hecq, A., 2002. Multi-regime common cyclical feature. Working Paper, Maastricht University, RM/02/050.

  11. Claessens, S. ; Forbes, K. International Financial Contagion. 2001 Kluwer Academic Publishers: Boston, Dordrecht, London
    Paper not yet in RePEc: Add citation now

  12. Corsetti, G., Pericoli, M., Sbracia, M., 2002. Some contagion, some interdependence, more pitfalls in tests of financial contagion. Working Paper Research Department Bank of Italy.

  13. Cubadda, G. ; Hecq, A. On non-contemporaneous short-run comovements. 2001 Economics Letters. 73 389-397

  14. Eichengreen, B., Rose A., Wyplosz, C., 1996. Contagious currency crises. NBER Working Paper 6756.

  15. Engle, R.F. ; Kozicki, S. Testing for common features. 1993 Journal of Business and Economic Statistics. 11 369-395

  16. Forbes, K.J. ; Rigobon, R. Measuring contagion: conceptual and empirical issues. 2001 En : Claessens, S. ; Forbes, K. International Financial Contagion. Kluwer Academic Publishers:
    Paper not yet in RePEc: Add citation now
  17. Forbes, K.J. ; Rigobon, R. No contagion, only interdependence: measuring stock market co-movements. 2002 Journal of Finance. 57 2223-2261
    Paper not yet in RePEc: Add citation now
  18. Greene, W.H. Econometric Analysis. 2003 Prentice Hall: New-Jersey
    Paper not yet in RePEc: Add citation now
  19. Hamilton, J.D. Time Series Analysis. 1994 Princeton University Press: Princeton and Oxford
    Paper not yet in RePEc: Add citation now
  20. Hayashi, F. Econometrics. 2000 Princeton University Press: Princeton and Oxford
    Paper not yet in RePEc: Add citation now

  21. Hecq, A. Does seasonal adjustment induce common cycles?. 1998 Economics Letters. 59 289-297

  22. Hecq, A. ; Palm, F. ; Urbain, J.P. Permanent–transitory decomposition in VAR models with cointegration and common cycles. 2000 Oxford Bulletin of Economics and Statistics. 62 511-532

  23. Johansen, S. Likelihood-Based Inference in Cointegrated Vector Autoregressive Models. 1995 Oxford University Press: Oxford, UK

  24. Kamin, S.B. The current international financial crisis: how much is new?. 1999 Journal of International and Money and Finance. 18 501-514

  25. Kaminsky, G. ; Reinhart, C. On crises, contagion, and confusion. 2000 Journal of International Economics. 51 145-168

  26. King, M. ; Wadhwani, S. Transmission of volatility between stock markets. 1990 Review of Financial Studies. 3 5-33

  27. Lee, S.B. ; Kim, K.J. Does the October 1987 crash strengthen the co-movement among national stock markets?. 1993 Review of Financial Economics. 3 89-102
    Paper not yet in RePEc: Add citation now
  28. Lomakin, A., Paiz, S., 1999. Measuring contagion in the face of fluctuating volatility. MIT-Sloan Project 15.036.
    Paper not yet in RePEc: Add citation now

  29. Vahid, F. ; Engle, R.F. Codependent cycles. 1997 Journal of Econometrics. 80 199-221

  30. Vahid, F. ; Engle, R.F. Common trends and common cycles. 1993 Journal of Applied Econometrics. 8 341-360

  31. Velu, R.P. ; Reinsel, G.C. ; Wichern, D.W. Reduced rank models for multivariate time series. 1986 Biometrika. 73 105-118
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Common non-linearities in multiple series of stock market volatility. (2013). Vahid, Farshid ; Anderson, Heather.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2013-1.

    Full description at Econpapers || Download paper

  2. Thresholds and Smooth Transitions in Vector Autoregressive Models. (2013). Teräsvirta, Timo ; Hubrich, Kirstin ; Terasvirta, Timo.
    In: CREATES Research Papers.
    RePEc:aah:create:2013-18.

    Full description at Econpapers || Download paper

  3. Testing for co-non-linearity. (2012). Hungnes, HÃ¥vard.
    In: Discussion Papers.
    RePEc:ssb:dispap:699.

    Full description at Econpapers || Download paper

  4. Nonlinear exchange rate pass-through in timber products: the case of oriented strand board in Canada and the United States. (2012). Holt, Matthew ; Goodwin, Barry ; Prestemon, Jeffrey P..
    In: MPRA Paper.
    RePEc:pra:mprapa:40834.

    Full description at Econpapers || Download paper

  5. Testing Common Nonlinear Features in Nonlinear Vector Autoregressive Models. (2012). Li, Dao .
    In: Working Papers.
    RePEc:hhs:oruesi:2012_007.

    Full description at Econpapers || Download paper

  6. Global Hemispheric Temperature Trends and Co–Shifting: A Shifting Mean Vector Autoregressive Analysis. (2012). Teräsvirta, Timo ; Holt, Matthew ; Terasvirta, Timo.
    In: CREATES Research Papers.
    RePEc:aah:create:2012-54.

    Full description at Econpapers || Download paper

  7. Modelling Comovements of Economic Time Series: A Selective Survey. (2011). Cubadda, Gianluca ; Centoni, Marco.
    In: CEIS Research Paper.
    RePEc:rtv:ceisrp:215.

    Full description at Econpapers || Download paper

  8. The effects of terrorist activities on foreign direct investment: nonlinear Evidence. (2011). Omay, Tolga ; Ilalan, Deniz ; Araz, Bahar Takay .
    In: MPRA Paper.
    RePEc:pra:mprapa:31015.

    Full description at Econpapers || Download paper

  9. Fluctuations in Economic and Activity and Stabilization Policies in the CIS. (2011). Kiani, Khurshid.
    In: Computational Economics.
    RePEc:kap:compec:v:37:y:2011:i:2:p:193-220.

    Full description at Econpapers || Download paper

  10. If the Unites States sneezes, does the world need paracetamol?. (2011). Ordóñez, Javier ; Herrerias, Maria Jesus ; Ordoez, Javier.
    In: Working Papers.
    RePEc:jau:wpaper:2011/03.

    Full description at Econpapers || Download paper

  11. Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions. (2011). Vahid, Farshid ; Issler, João ; Guillén, Osmani ; Guillén, Osmani ; Athanasopoulos, George ; de Carvalho Guillen, Osmani Teixeira, ; Guillén, Osmani.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:164:y:2011:i:1:p:116-129.

    Full description at Econpapers || Download paper

  12. Oil Price Shocks and Labor Market Fluctuations. (2011). Silva, José ; Sala, Hector ; Ordóñez, Javier ; Javier Ordoñez, Hector Sala, .
    In: The Energy Journal.
    RePEc:aen:journl:32-3-a04.

    Full description at Econpapers || Download paper

  13. Oil price shocks and labor market fluctuations. (2010). Silva, José ; Sala, Hector ; Ordóñez, Javier ; Lorda, Hector Sala ; Ordoez, Javier.
    In: Working Papers.
    RePEc:uab:wprdea:wpdea1005.

    Full description at Econpapers || Download paper

  14. VARs, Cointegration and Common Cycle Restrictions. (2010). Vahid, Farshid ; Anderson, Heather.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2010-14.

    Full description at Econpapers || Download paper

  15. Oil Price Shocks and Labor Market Fluctuations. (2010). Silva, José ; Sala, Hector ; Ordóñez, Javier ; Ordoez, Javier.
    In: IZA Discussion Papers.
    RePEc:iza:izadps:dp5096.

    Full description at Econpapers || Download paper

  16. Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions. (2010). Vahid, Farshid ; Issler, João ; Guillén, Osmani ; Guillén, Osmani ; Athanasopoulos, George ; Guillén, Osmani ; Osmani Teixeira De Carvalho Guillen, ; Osmani Teixeira de Carvalho Guillen, .
    In: Working Papers Series.
    RePEc:bcb:wpaper:205.

    Full description at Econpapers || Download paper

  17. Asymmetries in Macroeconomic Time Series in Eleven Asian Economies. (2009). Kiani, Khurshid.
    In: International Journal of Business and Economics.
    RePEc:ijb:journl:v:8:y:2009:i:1:p:37-54.

    Full description at Econpapers || Download paper

  18. Neural Networks to Detect Nonlinearities in Time Series: Analysis of Business Cycle in France and the United Kingdom,. (2009). Kiani, Khurshid.
    In: Applied Econometrics and International Development.
    RePEc:eaa:aeinde:v:9:y:2009:i:1_7.

    Full description at Econpapers || Download paper

  19. Traverses of economic growth. An econometric investigation. (2008). Boehm, Bernhard.
    In: Journal of Evolutionary Economics.
    RePEc:spr:joevec:v:18:y:2008:i:2:p:233-247.

    Full description at Econpapers || Download paper

  20. HOW DO PUBLIC ANNOUNCEMENTS AFFECT THE FREQUENCY OF TRADING IN U.S. AIRLINE STOCKS?. (2008). Nowak, Sylwia.
    In: CAMA Working Papers.
    RePEc:een:camaaa:2008-38.

    Full description at Econpapers || Download paper

  21. Common smooth transition trend-stationarity in European unemployment. (2008). Ordóñez, Javier ; Franchi, Massimo ; Ordoez, Javier.
    In: Economics Letters.
    RePEc:eee:ecolet:v:101:y:2008:i:2:p:106-109.

    Full description at Econpapers || Download paper

  22. The Relationship Between Wages and Productivity: TAR Unit Root and TAR Cointegration Approach. (2008). Bildirici, Melike ; Aykaç Alp, Elçin ; Kiani, Khurshid M. ; Aykaç Alp, Elçin.
    In: International Journal of Applied Econometrics and Quantitative Studies.
    RePEc:eaa:ijaeqs:v:5:y2008:i:1_7.

    Full description at Econpapers || Download paper

  23. Asymmetric Business Cycle Fluctuations and Contagion Effects in G7 Countries. (2007). Kiani, Khurshid.
    In: International Journal of Business and Economics.
    RePEc:ijb:journl:v:6:y:2007:i:3:p:237-253.

    Full description at Econpapers || Download paper

  24. A Complete VARMA Modelling Methodology Based on Scalar Components. (2006). Vahid, Farshid ; Athanasopoulos, George.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2006-2.

    Full description at Econpapers || Download paper

  25. A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones. (2006). Marcucci, Juri ; Engle, Robert.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:132:y:2006:i:1:p:7-42.

    Full description at Econpapers || Download paper

  26. The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test. (2006). Swanson, Norman ; Corradi, Valentina.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:132:y:2006:i:1:p:195-229.

    Full description at Econpapers || Download paper

  27. Common cyclical features analysis in VAR models with cointegration. (2006). Urbain, Jean-Pierre ; Palm, Franz ; Hecq, Alain.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:132:y:2006:i:1:p:117-141.

    Full description at Econpapers || Download paper

  28. Using Macro-Financial Variables To Forecast Recessions. An Analysis Of Canada, 1957-2002. (2006). Kiani, Khurshid ; Kastens, Terry L..
    In: Applied Econometrics and International Development.
    RePEc:eaa:aeinde:v:6:y:2006:i:3_7.

    Full description at Econpapers || Download paper

  29. A multi-level panel STAR model for US manufacturing sectors. (2005). van Dijk, Dick ; Franses, Philip Hans ; Fok, Dennis.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:20:y:2005:i:6:p:811-827.

    Full description at Econpapers || Download paper

  30. Measuring common cyclical features during financial turmoil: Evidence of interdependence not contagion. (2005). Verschoor, Willem ; Hecq, Alain ; Candelon, Bertrand ; Verschoor, Willem F. C., .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:24:y:2005:i:8:p:1317-1334.

    Full description at Econpapers || Download paper

  31. Nonlinear dynamics of interest rate and inflation. (2004). Lanne, Markku.
    In: Macroeconomics.
    RePEc:wpa:wuwpma:0405014.

    Full description at Econpapers || Download paper

  32. A range unit root test. (2004). Escribano, Alvaro ; Garcia, Ana ; Aparicio, Felipe M..
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws041104.

    Full description at Econpapers || Download paper

  33. The Effect of Data Transformation on Common Cycle, Cointegration and Unit Root Tests: Monte Carlo Results and a Simple Test. (2003). Swanson, Norman ; Corradi, Valentina.
    In: Departmental Working Papers.
    RePEc:rut:rutres:200322.

    Full description at Econpapers || Download paper

  34. Common Shocks, Common Dynamics, and the International Business Cycle. (2003). Hecq, Alain ; Cubadda, Gianluca ; Centoni, Marco.
    In: Economics & Statistics Discussion Papers.
    RePEc:mol:ecsdps:esdp03007.

    Full description at Econpapers || Download paper

  35. The missing link: using the NBER recession indicator to construct coincident and leading indices economic activity. (2003). Vahid, Farshid ; Issler, João.
    In: FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE).
    RePEc:fgv:epgewp:492.

    Full description at Econpapers || Download paper

  36. A multi-level panel smooth transition autoregression for US sectoral production. (2003). van Dijk, Dick ; Franses, Philip Hans ; Fok, Dennis ; van Dijk, D. J. C., ; Franses, Ph. H. B. F., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:1054.

    Full description at Econpapers || Download paper

  37. Range unit root tests. (2003). Escribano, Alvaro ; Garcia, Ana ; Aparicio, Felipe M..
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws031126.

    Full description at Econpapers || Download paper

  38. SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS. (2002). van Dijk, Dick ; Teräsvirta, Timo ; Franses, Philip Hans ; Terasvirta, Timo.
    In: Econometric Reviews.
    RePEc:taf:emetrv:v:21:y:2002:i:1:p:1-47.

    Full description at Econpapers || Download paper

  39. The missing link: using the NBER recession indicator to construct coincident and leading indices economic activity. (2002). Vahid, Farshid ; Issler, João.
    In: FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE).
    RePEc:fgv:epgewp:450.

    Full description at Econpapers || Download paper

  40. The missing link: using the NBER recession indicator to construct coincident and leading indices economic activity. (2002). Vahid, Farshid ; Issler, João.
    In: FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE).
    RePEc:fgv:epgewp:445.

    Full description at Econpapers || Download paper

  41. U.S. and Canadian industrial production indices as coupled oscillators. (2002). Anderson, Heather ; Ramsey, James B..
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:26:y:2002:i:1:p:33-67.

    Full description at Econpapers || Download paper

  42. Market Architecture and Nonlinear Dynamics of Australian Stock and Future Indices.. (2001). Vahid, Farshid ; Anderson, Heather.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2001-3.

    Full description at Econpapers || Download paper

  43. Testing for Common Cyclical Features in Var Models with Cointegration. (2001). Urbain, Jean-Pierre ; Palm, Franz ; Hecq, Alain.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_451.

    Full description at Econpapers || Download paper

  44. Assessing a Perfect European Optimum Currency Area: A Common Cycles Approach. (2000). Hecq, Alain ; Candelon, Bertrand ; Beine, Michel.
    In: Empirica.
    RePEc:kap:empiri:v:27:y:2000:i:2:p:115-132.

    Full description at Econpapers || Download paper

  45. Business cycle non-linearities in UK consumption and production. (2000). Osborn, Denise ; Ocal, Nadir .
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:15:y:2000:i:1:p:27-43.

    Full description at Econpapers || Download paper

  46. Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes. (2000). White, Halbert ; Swanson, Norman ; Corradi, Valentina.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:96:y:2000:i:1:p:39-73.

    Full description at Econpapers || Download paper

  47. Asymmetric and Common Absorption of Shocks in Nonlinear Autoregressive Models. (2000). van Dijk, Dick ; Franses, Philip Hans ; Boswijk, H. Peter.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0765.

    Full description at Econpapers || Download paper

  48. Clustering Regression Functions in a Panel. (2000). Vahid, Farshid.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0251.

    Full description at Econpapers || Download paper

  49. Testing for Common Cyclical Features in Nonstationary Panel Data Models. (2000). Urbain, Jean-Pierre ; Palm, Franz ; Hecq, Alain.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_248.

    Full description at Econpapers || Download paper

  50. Nonlinear Persistence and Copersistence. (1999). Jasiak, Joann ; gourieroux, christian.
    In: Working Papers.
    RePEc:yca:wpaper:2000_1.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-02-06 01:15:29 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.