Chang-Jin Kim : Citation Profile

Are you Chang-Jin Kim?

Korea University (50% share)
University of Washington (50% share)

22

H index

33

i10 index

3021

Citations

RESEARCH PRODUCTION:

35

Articles

55

Papers

1

Books

RESEARCH ACTIVITY:

   25 years (1988 - 2013). See details.
   Cites by year: 120
   Journals where Chang-Jin Kim has often published
   Relations with other researchers
   Recent citing documents: 408.    Total self citations: 40 (1.31 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pki84
   Updated: 2020-08-01    RAS profile: 2015-01-07    
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Relations with other researchers

Works with:

Nelson, Charles (2)

Kim, Jaeho (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Chang-Jin Kim.

Is cited by:

Balcilar, Mehmet (47)

GUPTA, RANGAN (43)

Piger, Jeremy (43)

Morley, James (41)

Chauvet, Marcelle (35)

Camacho, Maximo (35)

Leiva-Leon, Danilo (29)

Owyang, Michael (28)

Miller, Stephen (28)

Billio, Monica (27)

Demirer, Riza (26)

Cites to:

Nelson, Charles (57)

Startz, Richard (27)

Hamilton, James (24)

Gertler, Mark (17)

Watson, Mark (15)

Perron, Pierre (14)

Plosser, Charles (14)

Stock, James (13)

Zha, Tao (12)

Campbell, John (12)

Gali, Jordi (11)

Main data

Where Chang-Jin Kim has published?

Journals with more than one article published# docs
Journal of Money, Credit and Banking5
Journal of Econometrics5
Journal of Business & Economic Statistics4
Journal of Empirical Finance4
Journal of Applied Econometrics3
The Review of Economics and Statistics3
Journal of Monetary Economics2
Empirical Economics2
Studies in Nonlinear Dynamics & Econometrics2

Working Papers Series with more than one paper published# docs
Working Papers / University of Washington, Department of Economics17
Working Papers / Federal Reserve Bank of St. Louis6
Discussion Paper Series / Institute of Economic Research, Korea University4
International Finance Discussion Papers / Board of Governors of the Federal Reserve System (U.S.)3
MPRA Paper / University Library of Munich, Germany3

Recent works citing Chang-Jin Kim (2018 and 2017)

YearTitle of citing document
2017Dynamics of Variance Risk Premia, Investors Sentiment and Return Predictability. (2017). Violante, Francesco ; Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2017-10.

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2017Does the ARFIMA really shift?. (2017). Santucci de Magistris, Paolo ; Grassi, Stefano ; Delle Monache, Davide. In: CREATES Research Papers. RePEc:aah:create:2017-16.

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2017Variance swap payoffs, risk premia and extreme market conditions. (2017). Violante, Francesco ; Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2017-21.

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2019Firm Uncertainty Cycles and the Propagation of Nominal Shocks. (2019). Blanco, Andres ; Baley, Isaac. In: American Economic Journal: Macroeconomics. RePEc:aea:aejmac:v:11:y:2019:i:1:p:276-337.

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2017Modeling of stock indices with HMM-SV models. (2017). Wulu, J T ; Nkemnole, E B. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxiv:y:2017:i:2(611):p:45-60.

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2018Examining the Sustainability of the US Shale Oil Boom. (2018). Bejan, Vladimir . In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:274314.

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2019A regime-switching model for the federal funds rate target. (2019). Sirchenko, Andrei. In: UvA-Econometrics Working Papers. RePEc:ame:wpaper:1901.

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2018Local Parametric Estimation in High Frequency Data. (2018). Potiron, Yoann. In: Papers. RePEc:arx:papers:1603.05700.

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2018Fragmentation, integration and macroprudential surveillance of the US financial industry: Insights from network science. (2018). Gnabo, Jean-Yves ; Geraci, Marco Valerio ; Gandica, Y'Erali . In: Papers. RePEc:arx:papers:1707.00296.

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2018Option Pricing in a Regime Switching Stochastic Volatility Model. (2018). Goswami, Anindya ; Biswas, Arunangshu. In: Papers. RePEc:arx:papers:1707.01237.

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2018Structural Estimation of Behavioral Heterogeneity. (2018). Zheng, Huanhuan ; Shi, Zhentao. In: Papers. RePEc:arx:papers:1802.03735.

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2018The determinants of bank loan recovery rates in good times and bad - new evidence. (2018). Vaz, John ; Fenech, Jean-Pierre ; Forbes, Catherine S ; Wang, Hong. In: Papers. RePEc:arx:papers:1804.07022.

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2019Stochastic model specification in Markov switching vector error correction models. (2019). Zoerner, Thomas ; Huber, Florian ; Zorner, Thomas O. In: Papers. RePEc:arx:papers:1807.00529.

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2019Option Pricing in a Regime Switching Jump Diffusion Model. (2019). , Anjana ; Manjarekar, Omkar ; Goswami, Anindya. In: Papers. RePEc:arx:papers:1811.11379.

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2019Residual Switching Network for Portfolio Optimization. (2019). Wang, Jifei. In: Papers. RePEc:arx:papers:1910.07564.

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2019Making Good on LSTMs Unfulfilled Promise. (2019). Weyde, Tillman ; D'Avila, Artur ; Philps, Daniel. In: Papers. RePEc:arx:papers:1911.04489.

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2020Bayesian state-space modeling for analyzing heterogeneous network effects of US monetary policy. (2019). Pfarrhofer, Michael ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:1911.06206.

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2019A multifactor regime-switching model for inter-trade durations in the limit order market. (2019). Xing, Haipeng ; Li, Zhicheng ; Chen, Xinyun. In: Papers. RePEc:arx:papers:1912.00764.

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2020A multi-country dynamic factor model with stochastic volatility for euro area business cycle analysis. (2020). Huber, Florian ; Piribauer, Philipp ; Pfarrhofer, Michael. In: Papers. RePEc:arx:papers:2001.03935.

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2020Markov Switching. (2020). Wo, Tomasz ; Song, Yong. In: Papers. RePEc:arx:papers:2002.03598.

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2020Hidden Markov Models Applied To Intraday Momentum Trading With Side Information. (2020). Turner, Richard ; Godsill, Simon ; Christensen, Hugh. In: Papers. RePEc:arx:papers:2006.08307.

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2019The interplay between oil and food commodity prices: Has It changed over time?. (2019). Rüth, Sebastian ; Peersman, Gert ; van der Veken, Wouter ; Ruth, Sebastian K. In: Working Papers. RePEc:awi:wpaper:0665.

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2019A Markov Switching Cointegration Analysis of the CDS-Bond Basis Puzzle. (2019). Guidolin, Massimo ; Pedio, Manuela ; Melloni, Francesco. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp19121.

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2017Detecting Scapegoat Effects in the Relationship Between Exchange Rates and Macroeconomic Fundamentals. (2017). Sadaba, Barbara ; Pozzi, Lorenzo. In: Staff Working Papers. RePEc:bca:bocawp:17-22.

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2020Monetary Policy Independence and the Strength of the Global Financial Cycle. (2020). Leiva-Leon, Danilo ; Guérin, Pierre ; Friedrich, Christian. In: Staff Working Papers. RePEc:bca:bocawp:20-25.

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2017Measuring business cycles intra-synchronization in us: a regime-switching interdependence framework. (2017). Leiva-Leon, Danilo. In: Working Papers. RePEc:bde:wpaper:1726.

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2017Model averaging in markov-switching models: predicting national recessions with regional data. (2017). Leiva-Leon, Danilo ; Guérin, Pierre. In: Working Papers. RePEc:bde:wpaper:1727.

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2017Monetary policy, stock market and sectoral comovement. (2017). Leiva-Leon, Danilo ; Guérin, Pierre ; Guerin, Pierre. In: Working Papers. RePEc:bde:wpaper:1731.

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2017Markov-switching three-pass regression filter. (2017). Marcellino, Massimiliano ; Leiva-Leon, Danilo ; Guérin, Pierre. In: Working Papers. RePEc:bde:wpaper:1748.

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2017Using the payment system data to forecast the Italian GDP. (2017). Monteforte, Libero ; Ardizzi, Guerino ; aprigliano, valentina. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1098_17.

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2018What Determines the Neutral Rate of Interest in an Emerging Economy?. (2018). Carrillo, Julio ; Jessica, Roldan-Pea ; Alonso, Rodriguez-Perez Cid ; Rocio, Elizondo ; Julio, Carrillo . In: Working Papers. RePEc:bdm:wpaper:2018-22.

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2017Time-varying fiscal spending multipliers in the UK. (2017). Towbin, Pascal ; Sestieri, Giulia ; Glocker, Christian. In: Working papers. RePEc:bfr:banfra:643.

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2019Bayesian Inference for Markov-switching Skewed Autoregressive Models. (2019). Lhuissier, Stéphane. In: Working papers. RePEc:bfr:banfra:726.

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2020A Plucking Model of Business Cycles. (2020). Dupraz, Stéphane ; Nakamura, Emi ; Steinsson, Jon. In: Working papers. RePEc:bfr:banfra:748.

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2017Chinas evolving monetary policy rule: from inflation-accommodating to anti-inflation policy. (2017). Ma, Guonan ; girardin, eric ; Lunven, Sandrine . In: BIS Working Papers. RePEc:bis:biswps:641.

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2017Oil and the Naira: A Markov Switching Perspective. (2017). Ayodeji, Idowu. In: African Development Review. RePEc:bla:afrdev:v:29:y:2017:i:4:p:562-574.

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2018TAYLOR RULE REACTION COEFFICIENTS AND REAL EXCHANGE RATE PERSISTENCE. (2018). Kempa, Bernd. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:70:y:2018:i:1:p:64-73.

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2019REGIME DEPENDENT EFFECT OF OUTPUT GROWTH ON OUTPUT GROWTH UNCERTAINTY: EVIDENCE FROM OECD COUNTRIES. (2019). Sarkar, Nityananda ; Chowdhury, Kushal Banik. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:71:y:2019:i:3:p:257-282.

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2017OUTPUT GROWTH AND STRUCTURAL REFORM IN LATIN AMERICA: HAVE BUSINESS CYCLES CHANGED?. (2017). Fossati, Sebastian. In: Contemporary Economic Policy. RePEc:bla:coecpo:v:35:y:2017:i:1:p:62-75.

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2018DOES THE GREAT RECESSION IMPLY THE END OF THE GREAT MODERATION? INTERNATIONAL EVIDENCE. (2018). Darné, Olivier ; Charles, Amlie ; Ferrara, Laurent ; Darne, Olivier. In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:2:p:745-760.

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2017The Dynamic Behaviour of Implicit Inflation Targets for ‘Inflation Targeting Lite’ Economies. (2017). Kishor, N ; Hosny, Amr ; Bhatt, Vipul. In: The Economic Record. RePEc:bla:ecorec:v:93:y:2017:i:300:p:67-88.

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2018The Econometric Analysis of Recurrent Events in Macroeconomics and Finance. (2018). Morley, James. In: The Economic Record. RePEc:bla:ecorec:v:94:y:2018:i:306:p:338-340.

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2017Aggregate and Firm-level Volatility in the Japanese Economy. (2017). KWON, Hyeog Ug ; Kim, YoungGak ; Ug, Hyeog. In: The Japanese Economic Review. RePEc:bla:jecrev:v:68:y:2017:i:2:p:158-172.

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2017Time-Varying Transition Probabilities for Markov Regime Switching Models. (2017). Lucas, Andre ; Koopman, Siem Jan ; Blasques, Francisco ; Bazzi, Marco . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:3:p:458-478.

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2017A Robbins–Monro Algorithm for Non-Parametric Estimation of NAR Process with Markov Switching: Consistency. (2017). Fermin, Lisandro Javier ; Rodriguez, Luis Angel ; Rios, Ricardo. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:6:p:809-837.

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2017Measuring Business Cycles Intra-Synchronization in US: A Regime-switching Interdependence Framework. (2017). Leiva-Leon, Danilo. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:79:y:2017:i:4:p:513-545.

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2020Estimating Excess Sensitivity and Habit Persistence in Consumption Using Greenbook Forecasts. (2020). Kishor, N ; Bhatt, Vipul ; Marfatia, Hardik. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:82:y:2020:i:2:p:257-284.

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2018Spline‐based nonparametric inference in general state‐switching models. (2018). Langrock, Roland ; Papastamatiou, Yannis P ; Miller, David L ; Mews, Sina ; Leosbarajas, Vianey ; Adam, Timo . In: Statistica Neerlandica. RePEc:bla:stanee:v:72:y:2018:i:3:p:179-200.

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2017IDENTIFYING US BUSINESS CYCLE REGIMES USING FACTOR AUGMENTED NEURAL NETWORK MODELS. (2017). Soybilgen, Baris . In: Working Papers. RePEc:bli:wpaper:1703.

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2017Oil and macroeconomic (in)stability. (2017). Maih, Junior ; Larsen, Vegard ; Bjørnland, Hilde. In: Working Papers. RePEc:bny:wpaper:0055.

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2018State Space Models with Endogenous Regime Switching. (2018). Tan, Fei ; Maih, Junior ; Chang, Yoosoon. In: Working Papers. RePEc:bny:wpaper:0067.

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2019Is Monetary Policy Always Effective? Incomplete Interest Rate Pass-through in a DSGE Model. (2019). Maih, Junior ; Bjørnland, Hilde ; Binning, Andrew . In: Working Papers. RePEc:bny:wpaper:0081.

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2019Official demand for US debt: implications for US real rates. (2019). Zinna, Gabriele ; Kaminska, Iryna. In: Bank of England working papers. RePEc:boe:boeewp:0796.

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2018Is Chinese monetary policy forward-looking?. (2018). Zhang, Chengsi ; Dang, Chao. In: BOFIT Discussion Papers. RePEc:bof:bofitp:2018_006.

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2017The Role of Unobservable Fundamentals in Korea Exchange Rate Fluctuations: Bayesian Approach. (2017). Kim, Youngmin ; Lee, Seojin. In: Economic Analysis (Quarterly). RePEc:bok:journl:v:23:y:2017:i:3:p:1-22.

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2017Inflation and the steeplechase between economic activity variables: evidence for G7 countries. (2017). Vašíček, Bořek ; Plašil, Miroslav ; Boek, Vaiek ; Miroslav, Plail ; Jaromir, Baxa . In: The B.E. Journal of Macroeconomics. RePEc:bpj:bejmac:v:17:y:2017:i:1:p:42:n:3.

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2017Detecting Change-Point via Saddlepoint Approximations. (2017). Zhaoyuan, LI ; Maozai, Tian. In: Journal of Systems Science and Information. RePEc:bpj:jossai:v:5:y:2017:i:1:p:48-73:n:4.

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2017On the estimation of regime-switching Lévy models. (2017). Goutte, Stéphane ; Chevallier, Julien ; Stephane, Goutte ; Julien, Chevallier . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:1:p:3-29:n:4.

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2017Specification analysis in regime-switching continuous-time diffusion models for market volatility. (2017). Ruijun, BU ; Kaddour, Hadri ; Jie, Cheng . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:1:p:65-80:n:3.

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2018Examining the success of the central banks in inflation targeting countries: the dynamics of the inflation gap and institutional characteristics. (2018). Kishor, N ; Kundan, Kishor N ; Omid, Ardakani. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:22:y:2018:i:1:p:19:n:7.

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2018Markov-switching quantile autoregression: a Gibbs sampling approach. (2018). Luger, Richard ; Liu, Xiaochun ; Richard, LUGER ; Xiaochun, Liu. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:22:y:2018:i:2:p:0:n:4.

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2019A regime switching skew-normal model of contagion. (2019). Fry-McKibbin, Renee ; Chan, Joshua ; Yu-Ling, Hsiao Cody ; Renee, Fry-Mckibbin. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:23:y:2019:i:1:p:24:n:3.

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2018Optimal Asset Allocation with Multivariate Bayesian Dynamic Linear Models. (2018). Pettenuzzo, Davide ; Fisher, Jared D ; Carvalho, Carlos. In: Working Papers. RePEc:brd:wpaper:123.

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2019State-dependent Monetary Policy Regimes. (2019). Zakipour-Saber, Shayan. In: Research Technical Papers. RePEc:cbi:wpaper:4/rt/19.

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2017Predicting Ordinary and Severe Recessions with a Three-State Markov-Switching Dynamic Factor Model. An Application to the German Business Cycle. (2017). Wolters, Maik ; Reif, Magnus ; Carstensen, Kai ; Heinrich, Markus . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6457.

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2018The Impact of Business and Political News on the GCC Stock Markets. (2018). Spagnolo, Nicola ; Caporale, Guglielmo Maria ; Al-Maadid, Alanoud. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7353.

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2019The Interplay between Oil and Food Commodity Prices: Has It Changed over Time?. (2019). Peersman, Gert ; van der Veken, Wouter ; Ruth, Sebastian K. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7826.

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2020Macroeconomics, Nonlinearities, and the Business Cycle. (2020). Reif, Magnus. In: ifo Beiträge zur Wirtschaftsforschung. RePEc:ces:ifobei:87.

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2018Forecasting using mixed-frequency VARs with time-varying parameters. (2018). Reif, Magnus ; Heinrich, Markus. In: ifo Working Paper Series. RePEc:ces:ifowps:_273.

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2018Bayesian Vector Autoregressions. (2018). Ricco, Giovanni ; Miranda-Agrippino, Silvia. In: Discussion Papers. RePEc:cfm:wpaper:1808.

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2019Trend, Seasonal, and Sectoral Inflation in the Euro Area. (2019). Watson, Mark W ; Stock, James H. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:847.

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2019Identification des points de retournement du cycle économique au Canada. (2019). Kotchoni, Rachidi ; Surprenant, Stephane ; Stevanovic, Dalibor. In: CIRANO Project Reports. RePEc:cir:cirpro:2019rp-05.

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2018Banking Technology in a Markov Switching Economy. (2018). Serletis, Apostolos ; Isakin, Maksim. In: Working Papers. RePEc:clg:wpaper:2018-18.

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2019Consumption, Leisure, and Money. (2019). Serletis, Apostolos ; Xu, Lobo. In: Working Papers. RePEc:clg:wpaper:2019-08.

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2018Monetary policy and structural changes in Colombia, 1990-2016: A Markov Switching approach. (2018). Cadavid-Sánchez, Sebastián ; Sanchez, Sebastian Cadavid. In: Documentos CEDE. RePEc:col:000089:016970.

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2017Dissecting US recoveries. (2017). Perez Quiros, Gabriel ; Gómez-Loscos, Ana ; Gadea, María ; Perez-Quiros, Gabriel. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11997.

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2020Global Macro-Financial Cycles and Spillovers. (2020). Ha, Jongrim ; Kose, Ayhan ; Otrok, Christopher ; Prasad, Eswar. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14404.

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2018Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions. (2018). Geraci, Marco Valerio ; Gnabo, Jean-Yves. In: Journal of Financial and Quantitative Analysis. RePEc:cup:jfinqa:v:53:y:2018:i:03:p:1371-1390_00.

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2017POLICY PREFERENCES AND POLICY MAKERS BELIEFS: THE GREAT INFLATION. (2017). Best, Gabriela. In: Macroeconomic Dynamics. RePEc:cup:macdyn:v:21:y:2017:i:08:p:1957-1995_00.

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2018The natural rate of interest: estimates, drivers, and challenges to monetary policy JEL Classification: E52, E43. (2018). Brand, Claus ; Bielecki, Marcin ; Penalver, Adrian. In: Occasional Paper Series. RePEc:ecb:ecbops:2018217.

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2017How to predict financial stress? An assessment of Markov switching models. (2017). Klaus, Benjamin ; Duprey, Thibaut. In: Working Paper Series. RePEc:ecb:ecbwps:20172057.

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2017Macroeconomic implications of oil price fluctuations: a regime-switching framework for the euro area. (2017). Hubrich, Kirstin ; Holm-Hadulla, Fédéric. In: Working Paper Series. RePEc:ecb:ecbwps:20172119.

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2019Taylor-rule consistent estimates of the natural rate of interest. (2019). Mazelis, Falk ; Brand, Claus. In: Working Paper Series. RePEc:ecb:ecbwps:20192257.

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2019Uncertainty shocks, monetary policy and long-term interest rates. (2019). amisano, gianni ; Tristani, Oreste. In: Working Paper Series. RePEc:ecb:ecbwps:20192279.

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2019Modelling the real yen–dollar rate and inflation dynamics based on international parity conditions. (2019). Kurita, Takamitsu ; Almaas, Synne S. In: Journal of Asian Economics. RePEc:eee:asieco:v:61:y:2019:i:c:p:51-64.

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2019Harmful diversification: Evidence from alternative investments. (2019). Sutcliffe, Charles ; Sakkas, Athanasios ; Platanakis, Emmanouil. In: The British Accounting Review. RePEc:eee:bracre:v:51:y:2019:i:1:p:1-23.

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2020Bayesian variable selection in non-homogeneous hidden Markov models through an evolutionary Monte Carlo method. (2020). Spezia, Luigi. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:143:y:2020:i:c:s0167947319301951.

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2017Job flows, jobless recoveries, and the Great Moderation. (2017). Faberman, Jason. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:76:y:2017:i:c:p:152-170.

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2017Structural vector autoregressions with smooth transition in variances. (2017). Netšunajev, Aleksei ; Lütkepohl, Helmut ; Netunajev, Aleksei ; Lutkepohl, Helmut. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:84:y:2017:i:c:p:43-57.

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2017Testing the dependency theory on small island economies: The case of Cyprus. (2017). YAYA, MEHMET ; Kutan, Ali ; Balcilar, Mehmet. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:1-11.

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2017Parameter instability, stochastic volatility and estimation based on simulated likelihood: Evidence from the crude oil market. (2017). Nonejad, Nima. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:388-408.

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2017The growth-volatility nexus: New evidence from an augmented GARCH-M model. (2017). Trypsteen, Steven. In: Economic Modelling. RePEc:eee:ecmode:v:63:y:2017:i:c:p:15-25.

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2017Asset prices and economic fluctuations: The implications of stochastic volatility. (2017). Chen, Junping ; Zhu, Xiaoneng ; Xiong, Xiong. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:128-140.

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2017Trend inflation estimates for Thailand from disaggregated data. (2017). Limjaroenrat, Vorada ; Manopimoke, Pym. In: Economic Modelling. RePEc:eee:ecmode:v:65:y:2017:i:c:p:75-94.

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2017Estimating general equilibrium models with stochastic volatility and changing parameters. (2017). Higgins, Richard C. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:163-170.

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2017A dynamic Nelson-Siegel yield curve model with Markov switching. (2017). Levant, Jared ; Ma, Jun. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:73-87.

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2018Fitting and forecasting yield curves with a mixed-frequency affine model: Evidence from China. (2018). Shang, Yuhuang ; Zheng, Tingguo . In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:145-154.

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2018Monetary policy rules in emerging countries: Is there an augmented nonlinear taylor rule?. (2018). catik, nazif ; Caporale, Guglielmo Maria ; Akdeniz, Cokun ; Ali, Faek Menla ; Helmi, Mohamad Husam. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:306-319.

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2018Volatility spillover shifts in global financial markets. (2018). Bensaida, Ahmed ; Abdallah, Oussama ; Litimi, Houda. In: Economic Modelling. RePEc:eee:ecmode:v:73:y:2018:i:c:p:343-353.

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2018Identifying the nonlinear correlation between business cycle and monetary policy rule: Evidence from China and the U.S.. (2018). Liu, Dayu ; Song, Yang ; Zhao, Tingting ; Xu, Ning. In: Economic Modelling. RePEc:eee:ecmode:v:73:y:2018:i:c:p:45-54.

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2018On the sources of the Great Moderation: Role of monetary policy and intermediate inputs. (2018). Batabyal, Sourav ; Khaznaji, Maher ; Islam, Faridul. In: Economic Modelling. RePEc:eee:ecmode:v:74:y:2018:i:c:p:1-9.

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More than 100 citations found, this list is not complete...

Works by Chang-Jin Kim:

YearTitleTypeCited
1993Unobserved-Component Time Series Models with Markov-Switching Heteroscedasticity: Changes in Regime and the Link between Inflation Rates and Inflation Uncertainty. In: Journal of Business & Economic Statistics.
[Citation analysis]		article63
1992Unobserved-Component Time-Series Models with Markov- Switching Heteroskedasticity: Changes in Regimes and the Link between Inflation Rates and Inflation Uncertainty..(1992) In: York (Canada) - Department of Economics.
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This paper has another version. Agregated cites: 63		paper
2004The Less-Volatile U.S. Economy: A Bayesian Investigation of Timing, Breadth, and Potential Explanations. In: Journal of Business & Economic Statistics.
[Citation analysis]		article102
2001The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations.(2001) In: International Finance Discussion Papers.
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2003The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations.(2003) In: Working Papers.
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This paper has another version. Agregated cites: 102		paper
2005The Structural Break in the Equity Premium In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article30
1989The Time-Varying-Parameter Model for Modeling Changing Conditional Variance: The Case of the Lucas Hypothesis. In: Journal of Business & Economic Statistics.
[Citation analysis]		article24
2008Is the Backward-Looking Component Important in a New Keynesian Phillips Curve? In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article10
2009Changes in U.S. Inflation Persistence In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article29
2002Exchange Rate Regimes and Monetary Independence in East Asia In: Finance Working Papers.
[Full Text][Citation analysis]		paper1
2000Common Stochastic Trends, Common Cycles, and Asymmetry in Economic Fluctuations In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]		paper32
2002Common stochastic trends, common cycles, and asymmetry in economic fluctuations.(2002) In: Journal of Monetary Economics.
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This paper has another version. Agregated cites: 32		article
2000Common stochastic trends, common cycles, and asymmetry in economic fluctuations.(2000) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
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2001Common stochastic trends, common cycles, and asymmetry in economic fluctuations.(2001) In: Working Papers.
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2000Common Stochastic Trends, Common Cycles, and Asymmetry in Economic Fluctuations.(2000) In: Discussion Papers in Economics at the University of Washington.
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2000Common Stochastic Trends, Common Cycles, and Asymmetry in Economic Fluctuations.(2000) In: Working Papers.
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2011Dealing with endogeneity in a time‐varying parameter model: joint estimation and two‐step estimation procedures In: Econometrics Journal.
[Full Text][Citation analysis]		article11
2006Time-varying parameter models with endogenous regressors In: Economics Letters.
[Full Text][Citation analysis]		article47
2004Markov-switching models with endogenous explanatory variables In: Journal of Econometrics.
[Full Text][Citation analysis]		article31
2008Estimation of Markov regime-switching regression models with endogenous switching In: Journal of Econometrics.
[Full Text][Citation analysis]		article104
2004Estimation of Markov regime-switching regression models with endogenous switching.(2004) In: Working Papers.
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This paper has another version. Agregated cites: 104		paper
2008Markov-switching and the Beveridge-Nelson decomposition: Has US output persistence changed since 1984? In: Journal of Econometrics.
[Full Text][Citation analysis]		article1
2009Markov-switching models with endogenous explanatory variables II: A two-step MLE procedure In: Journal of Econometrics.
[Full Text][Citation analysis]		article11
1994Dynamic linear models with Markov-switching In: Journal of Econometrics.
[Full Text][Citation analysis]		article536
1991Dynamic Linear Models with Markov-Switching..(1991) In: York (Canada) - Department of Economics.
[Citation analysis]
This paper has another version. Agregated cites: 536		paper
2007Why are stock returns and volatility negatively correlated? In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article34
1998Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization1 In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article69
1998Testing for mean reversion in heteroskedastic data II: Autoregression tests based on Gibbs-sampling-augmented randomization1 In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article37
2001Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices? In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article11
2000Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?.(2000) In: Discussion Papers in Economics at the University of Washington.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		paper
1999Does an Intertemporal Tradeoff between Risk and Return Explain Mean Reversion in Stock Prices?.(1999) In: Discussion Papers in Economics at the University of Washington.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		paper
2000Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?.(2000) In: Working Papers.
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This paper has another version. Agregated cites: 11		paper
1999Does an Intertemporal Tradeoff between Risk and Return Explain Mean Reversion in Stock Prices?.(1999) In: Working Papers.
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This paper has another version. Agregated cites: 11		paper
2006Estimation of a forward-looking monetary policy rule: A time-varying parameter model using ex post data In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article84
2001Permanent and transitory components of business cycles: their relative importance and dynamic relationship In: International Finance Discussion Papers.
[Full Text][Citation analysis]		paper2
2005The dynamic relationship between permanent and transitory components of U.S. business cycles In: Working Papers.
[Citation analysis]		paper9
2007The Dynamic Relationship between Permanent and Transitory Components of U.S. Business Cycles.(2007) In: Journal of Money, Credit and Banking.
[Citation analysis]
This paper has another version. Agregated cites: 9		article
2003The Dynamic Relationship Between Permanent and Transitory Components of U.S. Business Cycle.(2003) In: Working Papers.
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This paper has another version. Agregated cites: 9		paper
2003Nonlinearity and the permanent effects of recessions In: Working Papers.
[Full Text][Citation analysis]		paper93
2005Nonlinearity and the permanent effects of recessions.(2005) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 93		article
2006A Bayesian approach to counterfactual analysis of structural change In: Working Papers.
[Full Text][Citation analysis]		paper2
2006A Bayesian Approach to Counterfactual Analysis of Structural Change.(2006) In: Computing in Economics and Finance 2006.
[Citation analysis]
This paper has another version. Agregated cites: 2		paper
2000Is There a Positive Relationship between Stock Market Volatility and the Equity Premium? In: Discussion Papers in Economics at the University of Washington.
[Full Text][Citation analysis]		paper46
2004Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?.(2004) In: Journal of Money, Credit and Banking.
[Citation analysis]
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2000Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?.(2000) In: Working Papers.
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2000Is There a Structural Break in the Equity Premium? In: Discussion Papers in Economics at the University of Washington.
[Full Text][Citation analysis]		paper1
2000Is There a Structural Break in the Equity Premium?.(2000) In: Working Papers.
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This paper has another version. Agregated cites: 1		paper
1999A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models In: Discussion Papers in Economics at the University of Washington.
[Full Text][Citation analysis]		paper17
1998A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models.(1998) In: Discussion Papers in Economics at the University of Washington.
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2001A Bayesian Approach to Testing for Markov-Switching in Univariate and Dynamic Factor Models..(2001) In: International Economic Review.
[Citation analysis]
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1999A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models.(1999) In: Working Papers.
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1998A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models.(1998) In: Working Papers.
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1999Permanent and Transitory Nature of Recessions In: Discussion Papers in Economics at the University of Washington.
[Full Text][Citation analysis]		paper1
1999Permanent and Transitory Nature of Recessions.(1999) In: Working Papers.
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This paper has another version. Agregated cites: 1		paper
1988THE TIME-VARYING-PARAMETER MODEL AS AN ALTERNATIVE TO ARCH FOR MODELING CHANGING CONDITIONAL VARIANCE: THE CASE OF THE LUCAS HYPOTHESIS. In: Discussion Papers in Economics at the University of Washington.
[Citation analysis]		paper3
1988The Time-Varying-Parameter Model as an Alternative to ARCH for Modeling Changing Conditional Variance: The Case of Lucas Hypothesis.(1988) In: NBER Technical Working Papers.
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This paper has another version. Agregated cites: 3		paper
1988THE TIME-VARYING-PARAMETER MODEL AS AN ALTERNATIVE TO ARCH FOR MODELING CHANGING CONDITIONAL VARIANCE: THE CASE OF THE LUCAS HYPOTHESIS..(1988) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 3		paper
1996Testing for Men reversion in Heteroskedastic data Based on Gibbs-Simpling-Augmented Randomization. In: Discussion Papers in Economics at the University of Washington.
[Citation analysis]		paper0
1996Testing for Men reversion in Heteroskedastic data Based on Gibbs-Simpling-Augmented Randomization..(1996) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 0		paper
1996The Long-Run U.S./U.K. real Exchange Rate. In: Discussion Papers in Economics at the University of Washington.
[Citation analysis]		paper42
1999The Long-Run U.S./U.K. Real Exchange Rate..(1999) In: Journal of Money, Credit and Banking.
[Citation analysis]
This paper has another version. Agregated cites: 42		article
1996The Long-Run U.S./U.K. Real Exchange Rate.(1996) In: NBER Working Papers.
[Full Text][Citation analysis]
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1996The Long-Run U.S./U.K. real Exchange Rate..(1996) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 42		paper
1997Friedmans Plucking Model of Business Fluctuations : Tests and Estimates of Permanent and Transitory Components. In: Discussion Papers in Economics at the University of Washington.
[Citation analysis]		paper70
1999Friedmans Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components..(1999) In: Journal of Money, Credit and Banking.
[Citation analysis]
This paper has another version. Agregated cites: 70		article
1997Friedmans Plucking Model of Business Fluctuations : Tests and Estimates of Permanent and Transitory Components..(1997) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 70		paper
1997Testing for Mean Reversion in Heteroskedastic Data II : Autoregression Tests Based on Gibbs-Sampling-Augmented Randomization. In: Discussion Papers in Economics at the University of Washington.
[Citation analysis]		paper0
1997Testing for Mean Reversion in Heteroskedastic Data II : Autoregression Tests Based on Gibbs-Sampling-Augmented Randomization..(1997) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 0		paper
1989SOURCES OF MONETARY GROWTH UNCERTAINTY: AN ENCOMPASSING APPROACH BASED ON MONTE CARLO EXPERIMENT. In: York (Canada) - Department of Economics.
[Citation analysis]		paper0
2011The Evolution of the Monetary Policy Regimes in the U.S. In: Discussion Paper Series.
[Full Text][Citation analysis]		paper13
2012The evolution of the monetary policy regimes in the U.S..(2012) In: Empirical Economics.
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2012Disappearing Dividends: Implications for the Dividend-Price Ratio and Return Predictability In: Discussion Paper Series.
[Full Text][Citation analysis]		paper5
2013Disappearing Dividends: Implications for the Dividend-Price Ratio and Return Predictability.(2013) In: Journal of Money, Credit and Banking.
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2013Trend Inflation and the Nature of Structural Breaks in the New Keynesian Phillips Curve In: Discussion Paper Series.
[Full Text][Citation analysis]		paper0
2013Trend Inflation and the Nature of Structural Breaks in the New Keynesian Phillips Curve.(2013) In: MPRA Paper.
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2013Bayesian Inference in Regime-Switching ARMA Models with Absorbing States: The Dynamics of the Ex-Ante Real Interest Rate Under Structural Breaks In: Discussion Paper Series.
[Full Text][Citation analysis]		paper3
2013Bayesian Inference in Regime-Switching ARMA Models with Absorbing States: The Dynamics of the Ex-Ante Real Interest Rate Under Structural Breaks.(2013) In: MPRA Paper.
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This paper has another version. Agregated cites: 3		paper
1996Transient Fads and the Crash of 87. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article12
2008Bayesian counterfactual analysis of the sources of the great moderation In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article12
1999State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications In: MIT Press Books.
[Citation analysis]		book724
2010Dealing with Endogeneity in Regression Models with Dynamic Coefficients In: Foundations and Trends(R) in Econometrics.
[Full Text][Citation analysis]		article2
2013The `Pile-up Problem in Trend-Cycle Decomposition of Real GDP: Classical and Bayesian Perspectives In: MPRA Paper.
[Full Text][Citation analysis]		paper3
2002Permanent and transitory components of recessions In: Empirical Economics.
[Full Text][Citation analysis]		article49
2012Markov-Switching Models with Evolving Regime-Specific Parameters: Are Post-War Booms or Recessions All Alike? In: Working Papers.
[Full Text][Citation analysis]		paper16
2000Capital Accumulation And Trade Policy:The Case Of Korea In: International Economic Journal.
[Full Text][Citation analysis]		article2
1993Sources of Monetary Growth Uncertainty and Economic Activity: The Time-Varying-Parameter Model with Heteroskedastic Disturbances. In: The Review of Economics and Statistics.
[Full Text][Citation analysis]		article22
1998Business Cycle Turning Points, A New Coincident Index, And Tests Of Duration Dependence Based On A Dynamic Factor Model With Regime Switching In: The Review of Economics and Statistics.
[Full Text][Citation analysis]		article197
1999Has The U.S. Economy Become More Stable? A Bayesian Approach Based On A Markov-Switching Model Of The Business Cycle In: The Review of Economics and Statistics.
[Full Text][Citation analysis]		article391
2003A Markov Switching Model of Congressional Partisan Regimes In: Working Papers.
[Full Text][Citation analysis]		paper0
2008Pricing Stock Market Volatility: Does It Matter Whether the Volatility is Related to the Business Cycle? In: Working Papers.
[Full Text][Citation analysis]		paper6
2006A Time-Varying Parameter Model for a Forward-Looking Monetary Policy Rule Based on Real-Time Data In: Working Papers.
[Full Text][Citation analysis]		paper11

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