Real and financial cycles: estimates using unobserved component models for the Italian economy
DOI10.1007/S10260-019-00453-1zbMATH Open1435.62317OpenAlexW2740058602MaRDI QIDQ2305035FDOQ2305035
Authors: Guido Bulligan, Lorenzo Burlon, Davide Delle Monache, Andrea Silvestrini 
Publication date: 10 March 2020
Published in: Statistical Methods and Applications (Search for Journal in Brave)
Full work available at URL: http://www.bancaditalia.it/pubblicazioni/qef/2017-0382/QEF_382_17.pdf
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)
Cites Work
- Time series analysis by state space methods.
- Measuring financial cycles in a model-based analysis: empirical evidence for the United States and the Euro area
- ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL
- Modelling phase shifts among stochastic cycles
- A measure of output gap for Italy through structural time series models
Cited In (7)
- A unified approach for jointly estimating the business and financial cycle, and the role of financial factors
- Estimation of the potential GDP by a new robust filter method
- Robust energy-to-peak filter design for a class of unstable polytopic systems with a macroeconomic application
- Regional business cycles in Italy
- Modelled approximations to the ideal filter with application to GDP and its components
- Detecting and measuring financial cycles in heterogeneous agents models: an empirical analysis
- Measuring financial cycles in a model-based analysis: empirical evidence for the United States and the Euro area
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