A comparison of the real-time performance of business cycle dating methods

Article Abstract:

The abilities of a nonparametric algorithm and a parametric Markov-switching dynamic factor model to establish US business cycle turning point dates in real time are investigated. Both approaches yield significant improvement over the National Bureau of Economic Research in predicting business cycle troughs.

Science & research, Research, Models, United States economic conditions, Recessions, Business cycles, Chronology, Report

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Comment

Article Abstract:

The development of an econometric model to measure the volatility of stock prices, based on the relation between market microstructure noise and the realized variance of statistical data on Dow Jones Industrial Average stocks, is described.

Singapore, Analysis, Measurement, Econometric models, Volatility

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Modelling around-the-clock price discovery for cross-listed stocks using state space methods

Article Abstract:

A standard ratio variance methodology for estimating non-American stock prices in global markets is presented.

Evaluation, Ratio analysis

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