This paper proposes an empirical study of the shape of recoveries in - nancial markets from a bounce-back augmented Markov Switching model. It relies on models rst applied by Kim, Morley and Piger [2005] to the busi- ness cycle analysis. These models are estimated for monthly stock market...

This paper proposes an empirical study of the shape of recoveries in financial markets from a bounce-back augmented Markov Switching model. This model is estimated for monthly stock market returns data of five developed countries for the post-1970 period. The presence and shape of the...

Since the late nineties, both theoretical and empirical analysis devoted to the real exchange rate suggest that their dynamics might be well approximated by nonlinear models. This paper examines this possibility for post-1970 monthly ASEAN-5 data, extending the existing research in two...

Since the late nineties, both theoretical and empirical analysis devoted to the real exchange rate suggest that their dynamics might be well described by nonlinear models. This paper examines this possibility for post-1970 monthly ASEAN-5 data, extending the existing research in two directions....

In this paper we propose and analyse the Autoregressive Conditional Root (ACR) time series mmodel. It is a multivariate dynamic mixture autoregression which allows for non-stationary epochs. It proves to be an appealing alternative to existing nonlinear models such as e.g. the threshold...

Progresses in fiscal consolidation programs are often expressed in cyclically-adjusted terms, meaning that business cycles have to be accurately estimated. In this paper, we put forward a parametric framework enabling to assess business cycles, especially at the end of recession periods by...

Recent studies on general equilibrium models with transaction costs show that the dynamics of the real exchange rate are necessarily nonlinear. Our contribution to the literature on nonlinear price adjustment mechanisms is threefold. First, we model the real exchange rate by a Multi-Regime...

This paper proposes a two-regime Bounce-Back Function augmented Self-Exciting Threshold AutoRegression (SETAR) model which allows for various shapes of recoveries from the recession regime. It relies on the bounce-back effects which were first analyzed in a Markov-Switching setup by Kim, Morley,...

Recent studies on general equilibrium models with transaction costs show that the dynamics of the real exchange rate are necessarily nonlinear. Our contribution to the literature on nonlinear price adjustment mechanisms is threefold. First, we model the real exchange rate by a Multi-Regime...