Chapter 1 Dating Business Cycle Turning Points

DOI10.1016/S0573-8555(05)76001-6MaRDI QIDQ5294100zbMATH OpenFDO

Authors Marcelle Chauvet, James D. Hamilton

Publication date 23 July 2007

Published in Nonlinear Time Series Analysis of Business Cycles (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0573-8555(05)76001-6

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

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• Closed-form approximated pricing of multivariate derivatives under switching regime models
• The missing link: using the NBER recession indicator to construct coincident and leading indices of economic activity
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• A comparison of two business cycle dating methods
• Should business rely on business cycle forecasting?
• Pricing catastrophe risk during transitions of physical and economic environments
• Margin-closed regime-switching multivariate time series models
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• How better monetary statistics could have signaled the financial crisis
• Inference on Filtered and Smoothed Probabilities in Markov-Switching Autoregressive Models
• Signaling NBER turning points: a sequential approach
• Business cycles in the euro area defined with coincident economic indicators and predicted with leading economic indicators
• Regime switches in the dependence structure of multidimensional financial data
• Identification of business cycles and the Great Moderation in the post-war U.S. economy
• Some statistical aspects of methods for detection of turning points in business cycles
• Simultaneously modeling the volatility of the growth rate of real GDP and determining business cycle turning points: Evidence from the U.S., Canada and the UK
• A unified approach to validating univariate and multivariate conditional distribution models in time series
• Analyzing business cycle asymmetries in a multi-level factor model
• Identifying turning points in the business cycle
• scientific article; zbMATH DE number 1931844 (Why is no real title available?)
• Dating US business cycles with macro factors
• Asset allocation with hedge funds on the menu

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