Journal of Applied Econometrics, Vol. 20, No. 2, Recent Developments in Business Cycle Analysis (2005), pp. 253-274 (22 pages) The objective of this paper is to evaluate the effectiveness of using a ...
This article empirically compares the Markov-switching and stochastic volatility diffusion models of the short rate. The evidence supports the Markov-switching diffusion model. Estimates of the ...
Previous early-warning systems (EWSs) for currency crises have relied on models that require a priori dating of crises. This paper proposes an alternative EWS, based on a Markov-switching model, which ...
Roula Khalaf, Editor of the FT, selects her favourite stories in this weekly newsletter. Not so long ago there was a small debate here on FT Alphaville about the consequences of the Lehman collapse ...
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