In this article, we derive neat matrix formulas in closed form for computing higher order
moments and kurtosis of univariate Markov switching GARCH models. Then we provide …

Asymmetries in unemployment dynamics have been observed in the time series of a number
of countries, including the United States. This paper studies asymmetries in unemployment …

This paper investigates the link between business cycle asymmetries and gold price
dynamics across an international country sample. The empirical effort employs oil, consumer …

We derive the optimal forecasts for multivariate autoregressive time series processes subject
to Markov switching in regime. Optimality means that the trace of the mean square forecast …

This study examines the dynamic behaviour of corporate profits in selected developed
economies using the quarterly data. Firstly, the non-linear and asymmetric behaviour is …

The present study examines the structure of yields between broad asset classes (real estate,
equities and government bonds) and the implications for portfolio allocation decisions and …

In this paper we test for asymmetric behaviour of business cycles for the G7 countries, using
the entropy-based test for asymmetry suggested by Racine and Maasoumi [Racine, JS, & …

In this paper, the dynamic factor model (DFM) is employed to measure China's business
cycle with macroeconomic indexes from January 2000 to September 2016, so as to …

In this paper, we investigate the ability of a modified real business cycle (RBC) model to
reproduce asymmetries observed for macroeconomic variables over the business cycle. To …

In this paper we derive the Beveridge–Nelson (BN) decomposition and the state space
representation for various multivariate (co) integrated time series subject to Markov …