โ Scribed by Claude Hillinger
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
Stylized facts of the business cycle in the G7 countries are derived using a stochastic trend model, which allows for structural breaks in the underlying series in various ways. The results are compared to those of Backus and Kehoe's paper (1992) which used the Hoderick -Prescott filter. Numerous st
In two recent papers, Granger and Ding (1995a,b) considered long return series that are ยฎrst dierences of logarithmed price series or price indices. They established a set of temporal and distributional properties for such series and suggested that the returns are well characterized by the double ex
Much business cycle research is based on an assumption of symmetric cycles, though it is frequently argued that the downturns are steeper and more short-lived than the upturns; implying cyclical asymmetries. A new class of nonlinear autoregressive-asymmetric moving average models is introduced. Thes