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Characterizing the financial cycle: Evidence from a frequency domain analysis
ArticleAbstract: This paper introduces parametric spectrum estimation to the analysis of financial cycles. Our contriPalabras claves:Bootstrapping inference, business cycle, Financial cycle, Indirect spectrum estimationAutores:Christian R. Proãno, Strohsal T., Wolters J.Fuentes:scopusAssessing the cross-country interaction of financial cycles: evidence from a multivariate spectral analysis of the USA and the UK
ArticleAbstract: In recent times, a large number of studies has investigated the empirical properties of financial cyPalabras claves:Coherency, Financial cycle, Granger causality, Indirect spectrum estimation, Vector autoregressionsAutores:Christian R. Proãno, Strohsal T., Wolters J.Fuentes:scopusDissecting the financial cycle with dynamic factor models
ArticleAbstract: The analysis of the financial cycle and its interaction with the macroeconomy has become a central iPalabras claves:Dynamic factor model, dynamic probit models, early warning systems, Financial cycle, Granger causality, Recession forecastingAutores:Christian R. Proãno, Menden C.Fuentes:scopus