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Advances in markov-switchin...
This book surveys new advances in Markov-switching models with applications to business cycle research and finance. The extensive editors' introduction surveys the existing methods and new results of the last decade. Individual chapters study features of the U.S. and European business cycles, with particular focus on the role of monetary policy, oil shocks, co-movements among key variables, and the short-run versus long-run consequences of an economic recession. The book also features extensive analysis of currency crises and the possibility of bubbles or fads in stock prices. A concluding chapter offers useful new results on testing for this kind of regime-switching behaviour. Overall, the book provides a state-of-the-art overview of methods and results for estimation and uses of Markov-switching time-series models
Monografía
monografia Rebiun25181580 https://catalogo.rebiun.org/rebiun/record/Rebiun25181580 m o d cr nn|008mamaa 130622s2002 gw ob 000 0 eng d 968651621 1058212584 1086556044 9783642511820 electronic bk.) 3642511821 electronic bk.) 9783642511844 print) 3642511848 print) 10.1007/978-3-642-51182-0 doi AU@ 000057648125 NZ1 15183816 UCLM0841954 NUI eng pn NUI GW5XE OCLCF COO OCLCQ EBLCP OCLCQ YDX UAB OCLCQ AU@ OCLCQ LEAUB OCLCQ KCB bicssc KCBM bicssc BUS039000 bisacsh BUS045000 bisacsh KCB thema KCBM thema 338.5/42/01519233 22 Advances in markov-switching models applications in business cycle research and finance edited by James D. Hamilton, Baldev Raj Heidelberg Physica-Verlag 2002 Heidelberg Heidelberg Physica-Verlag 1 online resource (viii, 267 pages) 1 online resource (viii, 267 pages) Text txt rdacontent computer c rdamedia online resource cr rdacarrier text file PDF rda Studies in empirical economics Originally published in "Empirical Economics", volume 27, issue 2, 2002 Includes bibliographical references Part I: Introduction and Overview -- Part II: The Business Cycle in the U.S -- Part III: The Business Cycle in Other Countries -- Part IV: Financial Applications -- Part V: Methodological Contribution This book surveys new advances in Markov-switching models with applications to business cycle research and finance. The extensive editors' introduction surveys the existing methods and new results of the last decade. Individual chapters study features of the U.S. and European business cycles, with particular focus on the role of monetary policy, oil shocks, co-movements among key variables, and the short-run versus long-run consequences of an economic recession. The book also features extensive analysis of currency crises and the possibility of bubbles or fads in stock prices. A concluding chapter offers useful new results on testing for this kind of regime-switching behaviour. Overall, the book provides a state-of-the-art overview of methods and results for estimation and uses of Markov-switching time-series models English Business cycles- Mathematical models Monetary policy Business cycles- Mathematical models Monetary policy Electronic books Hamilton, James D. Raj, Baldev Printed edition 9783642511844 Studies in empirical economics