Bayesian International Evidence on Heavy Tails, Non-Stationarity and Asymmetry over the Business Cycle

DOI10.1111/J.1751-5823.2003.TB00190.XzbMATH Open1114.62371OpenAlexW1969118670MaRDI QIDQ4832047FDOQ4832047

Authors: Efthymios G. Tsionas 

Publication date: 3 January 2005

Published in: International Statistical Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1751-5823.2003.tb00190.x

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zbMATH Keywords

Business cyclesUnit rootsAsymmetryLeptokurtosisModel comparisonIndustrial production.Markov Chain Carlo

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Applications of statistics in engineering and industry; control charts (62P30)

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Cited In (1)

• Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities

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