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" Advances in Markov-Switching Models : "
edited by James D. Hamilton, Baldev Raj.
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BL
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| Record Number
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718999
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b538690
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| Main Entry
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edited by James D. Hamilton, Baldev Raj.
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| Title & Author
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Advances in Markov-Switching Models : : Applications in Business Cycle Research and Finance\ edited by James D. Hamilton, Baldev Raj.
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| Publication Statement
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Heidelberg: Physica-Verlag HD, 2002
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| Series Statement
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Studies in Empirical Economics
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| Page. NO
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1(VIII, 267 Seiten)
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| ISBN
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3642511821
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: 3642511848
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: 9783642511820
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: 9783642511844
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| Contents
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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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| Abstract
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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.
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| Subject
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Econometrics.
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Economics -- Statistics.
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Economics.
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| LC Classification
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HB3711.E358 2002
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| Added Entry
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Baldev Raj
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James D Hamilton
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