论文信息 - Discussion on an approach for identifying and predicting economic recessions in real-time using time-frequency functional models - 字舞流文

Discussion on an approach for identifying and predicting economic recessions in real-time using time-frequency functional models

Katherine B. Ensor | K. Ensor

[1] S. Hart,et al. Bargaining and Value , 1996 .

[2] K. Ensor,et al. Covariance Estimation in Dynamic Portfolio Optimization: A Realized Single Factor Model , 2009 .

[3] K. Ensor,et al. The effect of order estimation on estimating the peak frequency of an autoregressive spectral density , 1988 .

[4] James D. Hamilton. Time Series Analysis , 1994 .

[5] James D. Hamilton. A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle , 1989 .

[6] Francesco C Stingo,et al. BAYESIAN WAVELET-BASED CURVE CLASSIFICATION VIA DISCRIMINANT ANALYSIS WITH MARKOV RANDOM TREE PRIORS. , 2012, Statistica Sinica.

[7] Maria Joana Soares,et al. The Yield Curve and the Macro-economy across Time and Frequencies" (Cef.up Working Paper nº. 2010-04, July 2010) , 2012 .

[8] Drew D. Creal,et al. Extracting a Robust U.S. Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter , 2010 .

[9] Guy P. Nason,et al. Wavelet Methods in Statistics with R , 2008 .

[10] Alejandro Cruz-Marcelo,et al. Estimating the Term Structure With a Semiparametric Bayesian Hierarchical Model: An Application to Corporate Bonds , 2009, Journal of the American Statistical Association.

[11] Katherine B. Ensor,et al. Multivariate Time‐Series Analysis With Categorical and Continuous Variables in an Lstr Model , 2007 .