Measuring financial cycles in a model-based analysis: empirical evidence for the United States and the Euro area

DOI10.1016/J.ECONLET.2016.05.034zbMath1398.91707OpenAlexW2341785811MaRDI QIDQ1670167

Gabriele Galati, Irma Hindrayanto, Marente Vlekke, Siem Jan Koopman

Publication date: 5 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://papers.tinbergen.nl/16029.pdf

zbMATH Keywords

maximum likelihood estimationKalman filtermedium-term cyclesband-pass filterunobserved component time series model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82) Actuarial science and mathematical finance (91G99)

Related Items (4)

Detecting and measuring financial cycles in heterogeneous agents models: an empirical analysis ⋮ Real and financial cycles: estimates using unobserved component models for the Italian economy ⋮ On the credit-to-GDP gap and spurious medium-term cycles ⋮ A unified approach for jointly estimating the business and financial cycle, and the role of financial factors

Cites Work

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