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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• Analyzing business cycle asymmetries in a multi-level factor model
• Asset allocation with hedge funds on the menu
• Signaling NBER turning points: a sequential approach
• Real-time nowcasting of nominal GDP with structural breaks
• Closed-form approximated pricing of multivariate derivatives under switching regime models
• Inference on Filtered and Smoothed Probabilities in Markov-Switching Autoregressive Models
• Margin-closed regime-switching multivariate time series models
• On using fuzzy clustering for detecting the number of states in Markov switching models
• Pricing catastrophe risk during transitions of physical and economic environments
• How better monetary statistics could have signaled the financial crisis
• A comparison of two business cycle dating methods
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