Structural change and phase variation : a re-examination of the q-model usinge wavelet exploratory analysis
Year of publication: |
2013
|
---|---|
Authors: | Gallegati, Marco ; Ramsey, James B. |
Published in: |
Structural change and economic dynamics : SC+ED. - Amsterdam : Elsevier, ISSN 0954-349X, ZDB-ID 1055942-5. - Vol. 25.2013, p. 60-73
|
Subject: | q-Model | Structural breaks | Wavelet exploratory analysis | Phase variation | Strukturbruch | Structural break | Zustandsraummodell | State space model | Strukturwandel | Structural change | Zeitreihenanalyse | Time series analysis |
-
Forecasting return volatility : level shifts with varying jump probability and mean reversion
Xu, Jiawen, (2014)
-
Detecting structural changes using wavelets
Yazgan, Mustafa Ege, (2015)
-
Forecasting in the presence of in-sample and out-of-sample breaks
Xu, Jiawen, (2023)
- More ...
-
Bond vs stock market's Q: Testing for stability across frequencies and over time
Gallegati, Marco, (2013)
-
The forward looking information content of equity and bond markets for aggregate investments
Gallegati, Marco, (2014)
-
Gallegati, Marco, (2013)
- More ...