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Chang-Jin Kim : Citation Profile


Are you Chang-Jin Kim?

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

22

H index

27

i10 index

2492

Citations

RESEARCH PRODUCTION:

35

Articles

55

Papers

1

Books

RESEARCH ACTIVITY:

   25 years (1988 - 2013). See details.
   Cites by year: 99
   Journals where Chang-Jin Kim has often published
   Relations with other researchers
   Recent citing documents: 122.    Total self citations: 40 (1.58 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pki84
   Updated: 2018-02-24    RAS profile: 2015-01-07    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

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 (45)

Piger, Jeremy (43)

GUPTA, RANGAN (35)

Camacho, Maximo (33)

Owyang, Michael (28)

Morley, James (28)

Miller, Stephen (26)

Chauvet, Marcelle (26)

Leiva-Leon, Danilo (25)

Billio, Monica (23)

Demirer, Riza (23)

Cites to:

Nelson, Charles (53)

Startz, Richard (27)

Hamilton, James (24)

Gertler, Mark (18)

Watson, Mark (15)

Plosser, Charles (14)

Perron, Pierre (14)

Stock, James (13)

Campbell, John (12)

Gali, Jordi (12)

Zha, Tao (12)

Main data


Where Chang-Jin Kim has published?


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

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
MPRA Paper / University Library of Munich, Germany3
International Finance Discussion Papers / Board of Governors of the Federal Reserve System (U.S.)3

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 ; Delle Monache, Davide ; Grassi, Stefano . In: CREATES Research Papers. RePEc:aah:create:2017-16.

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

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

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2017Local Parametric Estimation in High Frequency Data. (2017). 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. (2017). 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). Biswas, Arunangshu ; Goswami, Anindya . In: Papers. RePEc:arx:papers:1707.01237.

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

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

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

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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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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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2017Aggregate and Firm-level Volatility in the Japanese Economy. (2017). Kim, Young Gak ; 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 ; Blasques, Francisco ; Koopman, Siem Jan ; 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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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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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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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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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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2017Dissecting US recoveries. (2017). Gómez-Loscos, Ana ; Perez-Quiros, Gabriel ; Gadea, Maria Dolores . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11997.

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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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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 ; Balcilar, Mehmet ; Kutan, Ali M. 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 constrained state space approach for estimating firm efficiency. (2017). Kutlu, Levent. In: Economics Letters. RePEc:eee:ecolet:v:152:y:2017:i:c:p:54-56.

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2017Dissecting US recoveries. (2017). Gómez-Loscos, Ana ; Perez-Quiros, Gabriel ; Gomez-Loscos, Ana ; Gadea, Maria Dolores . In: Economics Letters. RePEc:eee:ecolet:v:154:y:2017:i:c:p:59-63.

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2017The time varying effect of monetary policy on stock returns. (2017). Jansen, Dennis W ; Zervou, Anastasia . In: Economics Letters. RePEc:eee:ecolet:v:160:y:2017:i:c:p:54-58.

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2017A new approach to model regime switching. (2017). Chang, Yoosoon ; Park, Joon Y ; Choi, Yongok . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:127-143.

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2017Federal Reserve credibility and the term structure of interest rates. (2017). Lakdawala, Aeimit ; Wu, Shu. In: European Economic Review. RePEc:eee:eecrev:v:100:y:2017:i:c:p:364-389.

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2017An empirical assessment of Optimal Monetary Policy in the Euro area. (2017). Leith, Campbell ; Kirsanova, Tatiana ; Chen, Xiaoshan. In: European Economic Review. RePEc:eee:eecrev:v:100:y:2017:i:c:p:95-115.

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2017Financial intermediaries’ instability and euro area macroeconomic dynamics. (2017). Lhuissier, Stéphane. In: European Economic Review. RePEc:eee:eecrev:v:98:y:2017:i:c:p:49-72.

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2017Spillovers from the United States to Latin American and G7 stock markets: A VAR quantile analysis. (2017). Uribe, Jorge ; Chuliá, Helena ; Guillen, Montserrat ; Chulia, Helena . In: Emerging Markets Review. RePEc:eee:ememar:v:31:y:2017:i:c:p:32-46.

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2017Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model. (2017). Pan, Zhiyuan ; Yin, Libo ; Wu, Chongfeng ; Wang, Yudong. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:130-142.

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2017Does speculation in the oil market drive investor herding in emerging stock markets?. (2017). Demirer, Riza ; Balcilar, Mehmet ; Ulussever, Talat . In: Energy Economics. RePEc:eee:eneeco:v:65:y:2017:i:c:p:50-63.

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2017Forecasting the realized volatility of the oil futures market: A regime switching approach. (2017). Xu, Weiju ; Huang, Dengshi ; Ma, Feng ; Wahab, M. I. M., . In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:136-145.

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2017Equity premium estimates from economic fundamentals under structural breaks. (2017). Smith, Simon C. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:49-61.

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2017Unprecedented changes in the terms of trade. (2017). Rees, Daniel ; Kulish, Mariano. In: Journal of International Economics. RePEc:eee:inecon:v:108:y:2017:i:c:p:351-367.

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2017Fiscal sustainability in EMU countries: A continued fiscal commitment?. (2017). Tamarit, Cecilio ; Paniagua, Jordi ; Sapena, Juan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:50:y:2017:i:c:p:85-97.

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2017Forecasting GDP with global components: This time is different. (2017). Thorsrud, Leif ; Ravazzolo, Francesco ; Bjørnland, Hilde. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:153-173.

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2017Dependence in credit default swap and equity markets: Dynamic copula with Markov-switching. (2017). Fuertes, Ana-Maria ; Kalotychou, Elena ; Fei, Fei . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:662-678.

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2017Infinite hidden markov switching VARs with application to macroeconomic forecast. (2017). Hou, Chenghan. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:1025-1043.

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2017Systematic errors in growth expectations over the business cycle. (2017). Jannsen, Nils ; Dovern, Jonas. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:760-769.

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2017Can monetary policy cause the uncovered interest parity puzzle?. (2017). Park, Cheolbeom. In: Japan and the World Economy. RePEc:eee:japwor:v:41:y:2017:i:c:p:34-44.

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2017Aggregate earnings and stock market returns: The good, the bad, and the state-dependent. (2017). Zolotoy, Leon ; Lyon, John D ; Frederickson, James R. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:77:y:2017:i:c:p:157-175.

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2017Unfolded risk-return trade-offs and links to Macroeconomic Dynamics. (2017). Liu, Xiaochun. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:82:y:2017:i:c:p:1-19.

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2017Inflation targeting and inflation persistence: New evidence from fractional integration and cointegration. (2017). Miller, Stephen ; Canarella, Giorgio . In: Journal of Economics and Business. RePEc:eee:jebusi:v:92:y:2017:i:c:p:45-62.

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2017Rethinking monetary policy after the crisis. (2017). Mishkin, Frederic. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:73:y:2017:i:pb:p:252-274.

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2017Asymptotic Fisher information matrix of Markov switching VARMA models. (2017). Cavicchioli, Maddalena . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:157:y:2017:i:c:p:124-135.

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2017Fiscal sustainability in an emerging market economy: When does public debt turn bad?. (2017). Soon, Siew-Voon ; Lau, Evan ; Baharumshah, Ahmad Zubaidi. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:39:y:2017:i:1:p:99-113.

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2017The effects of the near-zero interest rate policy in a regime-switching dynamic stochastic general equilibrium model. (2017). Chen, Han . In: Journal of Monetary Economics. RePEc:eee:moneco:v:90:y:2017:i:c:p:176-192.

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2017The asymmetry of U.S. monetary policy: Evidence from a threshold Taylor rule with time-varying threshold values. (2017). Zhu, Yanli ; Chen, Haiqiang . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:473:y:2017:i:c:p:522-535.

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2017An early alarm system for housing bubbles. (2017). Huang, Meichi ; Chiang, Hsiu-Hsuan . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:63:y:2017:i:c:p:34-49.

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2017Clustered housing cycles. (2017). Rubio, Margarita ; Owyang, Michael T ; Hernandez-Murillo, Ruben . In: Regional Science and Urban Economics. RePEc:eee:regeco:v:66:y:2017:i:c:p:185-197.

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2017Financial integration in small Islands: The case of Cyprus. (2017). YAYA, MEHMET ; Balcilar, Mehmet ; Kutan, Ali M. In: International Review of Economics & Finance. RePEc:eee:reveco:v:47:y:2017:i:c:p:201-219.

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2017Markov-switching analysis of exchange rate pass-through: Perspective from Asian countries. (2017). Wohar, Mark ; Soon, Siew-Voon ; Baharumshah, Ahmad Zubaidi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:51:y:2017:i:c:p:245-257.

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2018“How relevant is capital structure for aggregate investment? a regime-switching approach”. (2018). Simmons-Suer, Banu . In: International Review of Economics & Finance. RePEc:eee:reveco:v:53:y:2018:i:c:p:109-117.

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2017Testing the inflation rates in MENA countries: Evidence from quantile regression approach and seasonal unit root test. (2017). Tiwari, Aviral Kumar ; Kyophilavong, Phouphet ; Bolat, Suleyman . In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:1089-1095.

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2017Measuring and Explaining Cross-Country Immigration Policies. (2017). Ruyssen, Ilse ; Rayp, Glenn ; Standaert, Samuel . In: World Development. RePEc:eee:wdevel:v:95:y:2017:i:c:p:141-163.

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2017The Combination of Monetary and Fiscal Policy Shocks: A TVP-FAVAR Approach. (2017). Pappa, Evi ; Molteni, Francesco . In: Economics Working Papers. RePEc:eui:euiwps:mwp2017/13.

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2017An endogenously clustered factor approach to international business cycles. (2017). Owyang, Michael ; Savascin, ozge ; Francis, Neville . In: Working Papers. RePEc:fip:fedlwp:2012-014.

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2017Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach. (2017). Otranto, Edoardo ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2017_05.

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2017Time-Varying Window Length for Correlation Forecasts. (2017). McCurdy, Tom ; Jeon, Yoontae . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:4:p:54-:d:122391.

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2017Do Sustainable Stocks Offer Diversification Benefits for Conventional Portfolios? An Empirical Analysis of Risk Spillovers and Dynamic Correlations. (2017). GUPTA, RANGAN ; Demirer, Riza ; Balcilar, Mehmet. In: Sustainability. RePEc:gam:jsusta:v:9:y:2017:i:10:p:1799-:d:114094.

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2017On the consistency of the two-step estimates of the MS-DFM: a Monte Carlo study. (2017). Doz, Catherine ; Petronevich, Anna. In: PSE Working Papers. RePEc:hal:psewpa:halshs-01592863.

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2017Identifying asymmetric effects of labor market reforms. (2017). Weber, Enzo ; Gehrke, Britta. In: IAB Discussion Paper. RePEc:iab:iabdpa:201723.

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2017Uncertainty and Monetary Policy in the US: A Journey into Non-Linear Territory. (2017). Pellegrino, Giovanni. In: Melbourne Institute Working Paper Series. RePEc:iae:iaewps:wp2017n06.

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2017The Symmetry of ECB Monetary Policy Impact Under Scrutiny: An Assessment. (2017). Venegoni, Andrea ; Serati, Massimiliano . In: LIUC Papers in Economics. RePEc:liu:liucec:306.

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2017Identification-robust moment-based tests for Markov-switching in autoregressive models. (2017). Luger, Richard ; Dufour, Jean-Marie . In: Cahiers de recherche. RePEc:lvl:crrecr:1701.

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2017Testing for Leverage Effects in the Returns of US Equities. (2017). Ielpo, Florian ; Chorro, Christophe ; Lalaharison, Hanjarivo ; Guegan, Dominique. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:14022r.

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2017Federal Reserve Credibility and the Term Structure of Interest Rates. (2017). Lakdawala, Aeimit ; Wu, Shu. In: MPRA Paper. RePEc:pra:mprapa:78253.

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2017Assessing the viability of Sukuk for portfolio diversification using MS-DCC-GARCH.. (2017). Masih, Abul ; Adekunle, Salami Saheed . In: MPRA Paper. RePEc:pra:mprapa:79443.

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2017Estimating excess sensitivity and habit persistence in consumption using Greenbook forecast as an instrument. (2017). Marfatia, Hardik ; Kishor, N ; Bhatt, Vipul. In: MPRA Paper. RePEc:pra:mprapa:79748.

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2017Consumption and Exchange Rate Uncertainty: Evidence from Selected Asian Countries. (2017). Ho, Sin-Yu. In: MPRA Paper. RePEc:pra:mprapa:80096.

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2017Performance of Markov-Switching GARCH Model Forecasting Inflation Uncertainty. (2017). Raihan, Tasneem. In: MPRA Paper. RePEc:pra:mprapa:82343.

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2017Dealing with Misspecification in DSGE Models: A Survey. (2017). Paccagnini, Alessia. In: MPRA Paper. RePEc:pra:mprapa:82914.

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2017An Empirical Study: Financial-Market Imperfections and Investment. (2017). Kim, Byung Woo . In: MPRA Paper. RePEc:pra:mprapa:82924.

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2017The Rise of Dollar Credit in Emerging Market Economies and US Monetary Policy. (2017). Huang, Anni ; Kishor, Kundan N. In: MPRA Paper. RePEc:pra:mprapa:83474.

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2017Understanding the Relationship between Public and Private Commercial Real Estate Markets. (2017). Kishor, Kundan N. In: MPRA Paper. RePEc:pra:mprapa:83475.

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2017Risk Spillover between the US and the Remaining G7 Stock Markets Using Time-Varying Copulas with Markov Switching: Evidence from Over a Century of Data. (2017). Ji, Qiang ; GUPTA, RANGAN ; Cunado, Juncal ; Liu, Bing-Yue . In: Working Papers. RePEc:pre:wpaper:201759.

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2017Harmful Diversification: Evidence from Alternative Investments. (2017). Platanakis, Emmanouil ; Sutcliffe, Charles ; Sakkas, Athanasios . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2017-09.

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2017Does Competition Prevent Industrial Pollution? Evidence from a Panel Threshold Model. (2017). Stengos, Thanasis ; POLEMIS, MICHAEL. In: Working Paper Series. RePEc:rim:rimwps:17-07.

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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.
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2004The Less-Volatile U.S. Economy: A Bayesian Investigation of Timing, Breadth, and Potential Explanations. In: Journal of Business & Economic Statistics.
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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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2005The Structural Break in the Equity Premium In: Journal of Business & Economic Statistics.
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1989The Time-Varying-Parameter Model for Modeling Changing Conditional Variance: The Case of the Lucas Hypothesis. In: Journal of Business & Economic Statistics.
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2008Is the Backward-Looking Component Important in a New Keynesian Phillips Curve? In: Studies in Nonlinear Dynamics & Econometrics.
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2002Common stochastic trends, common cycles, and asymmetry in economic fluctuations.(2002) In: Journal of Monetary Economics.
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2000Common stochastic trends, common cycles, and asymmetry in economic fluctuations.(2000) In: International Finance Discussion Papers.
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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.
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2006Time-varying parameter models with endogenous regressors In: Economics Letters.
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2004Markov-switching models with endogenous explanatory variables In: Journal of Econometrics.
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2004Estimation of Markov regime-switching regression models with endogenous switching.(2004) In: Working Papers.
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2008Markov-switching and the Beveridge-Nelson decomposition: Has US output persistence changed since 1984? In: Journal of Econometrics.
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2009Markov-switching models with endogenous explanatory variables II: A two-step MLE procedure In: Journal of Econometrics.
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1991Dynamic Linear Models with Markov-Switching..(1991) In: York (Canada) - Department of Economics.
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2007Why are stock returns and volatility negatively correlated? In: Journal of Empirical Finance.
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1998Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization1 In: Journal of Empirical Finance.
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1998Testing for mean reversion in heteroskedastic data II: Autoregression tests based on Gibbs-sampling-augmented randomization1 In: Journal of Empirical Finance.
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2001Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices? In: Journal of Empirical Finance.
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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.
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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.
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2000Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?.(2000) In: Working Papers.
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1999Does an Intertemporal Tradeoff between Risk and Return Explain Mean Reversion in Stock Prices?.(1999) In: Working Papers.
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2006Estimation of a forward-looking monetary policy rule: A time-varying parameter model using ex post data In: Journal of Monetary Economics.
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2001Permanent and transitory components of business cycles: their relative importance and dynamic relationship In: International Finance Discussion Papers.
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2005The dynamic relationship between permanent and transitory components of U.S. business cycles In: Working Papers.
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2007The Dynamic Relationship between Permanent and Transitory Components of U.S. Business Cycles.(2007) In: Journal of Money, Credit and Banking.
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2003The Dynamic Relationship Between Permanent and Transitory Components of U.S. Business Cycle.(2003) In: Working Papers.
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2003Nonlinearity and the permanent effects of recessions In: Working Papers.
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2005Nonlinearity and the permanent effects of recessions.(2005) In: Journal of Applied Econometrics.
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2006A Bayesian approach to counterfactual analysis of structural change In: Working Papers.
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2006A Bayesian Approach to Counterfactual Analysis of Structural Change.(2006) In: Computing in Economics and Finance 2006.
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2000Is There a Positive Relationship between Stock Market Volatility and the Equity Premium? In: Discussion Papers in Economics at the University of Washington.
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2004Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?.(2004) In: Journal of Money, Credit and Banking.
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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.
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2000Is There a Structural Break in the Equity Premium?.(2000) In: Working Papers.
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1999A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models In: Discussion Papers in Economics at the University of Washington.
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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.
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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.
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1999Permanent and Transitory Nature of Recessions.(1999) In: Working Papers.
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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.
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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.
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1996Testing for Men reversion in Heteroskedastic data Based on Gibbs-Simpling-Augmented Randomization. In: Discussion Papers in Economics at the University of Washington.
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1996Testing for Men reversion in Heteroskedastic data Based on Gibbs-Simpling-Augmented Randomization..(1996) In: Working Papers.
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1996The Long-Run U.S./U.K. real Exchange Rate. In: Discussion Papers in Economics at the University of Washington.
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1999The Long-Run U.S./U.K. Real Exchange Rate..(1999) In: Journal of Money, Credit and Banking.
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1996The Long-Run U.S./U.K. Real Exchange Rate.(1996) In: NBER Working Papers.
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1996The Long-Run U.S./U.K. real Exchange Rate..(1996) In: Working Papers.
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1997Friedmans Plucking Model of Business Fluctuations : Tests and Estimates of Permanent and Transitory Components. In: Discussion Papers in Economics at the University of Washington.
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1999Friedmans Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components..(1999) In: Journal of Money, Credit and Banking.
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1997Friedmans Plucking Model of Business Fluctuations : Tests and Estimates of Permanent and Transitory Components..(1997) In: Working Papers.
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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.
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1997Testing for Mean Reversion in Heteroskedastic Data II : Autoregression Tests Based on Gibbs-Sampling-Augmented Randomization..(1997) In: Working Papers.
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1989SOURCES OF MONETARY GROWTH UNCERTAINTY: AN ENCOMPASSING APPROACH BASED ON MONTE CARLO EXPERIMENT. In: York (Canada) - Department of Economics.
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2011The Evolution of the Monetary Policy Regimes in the U.S. In: Discussion Paper Series.
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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.
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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.
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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.
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1996Transient Fads and the Crash of 87. In: Journal of Applied Econometrics.
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2008Bayesian counterfactual analysis of the sources of the great moderation In: Journal of Applied Econometrics.
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1999State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications In: MIT Press Books.
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1988The Time-Varying-Parameter Model as an Alternative to ARCH for Modeling Changing Conditional Variance: The Case of Lucas Hypothesis In: NBER Technical Working Papers.
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2013The `Pile-up Problem in Trend-Cycle Decomposition of Real GDP: Classical and Bayesian Perspectives In: MPRA Paper.
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2002Permanent and transitory components of recessions In: Empirical Economics.
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2012Markov-Switching Models with Evolving Regime-Specific Parameters: Are Post-War Booms or Recessions All Alike? In: Working Papers.
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2000Capital Accumulation And Trade Policy:The Case Of Korea In: International Economic Journal.
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1993Sources of Monetary Growth Uncertainty and Economic Activity: The Time-Varying-Parameter Model with Heteroskedastic Disturbances. In: The Review of Economics and Statistics.
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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.
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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.
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2003A Markov Switching Model of Congressional Partisan Regimes In: Working Papers.
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2008Pricing Stock Market Volatility: Does It Matter Whether the Volatility is Related to the Business Cycle? In: Working Papers.
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2006A Time-Varying Parameter Model for a Forward-Looking Monetary Policy Rule Based on Real-Time Data In: Working Papers.
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