Journal of Applied Econometrics, Vol. 20, No. 2, Recent Developments in Business Cycle Analysis (2005), pp. 253-274 (22 pages) The objective of this paper is to evaluate the effectiveness of using a ...

Roula Khalaf, Editor of the FT, selects her favourite stories in this weekly newsletter. Not so long ago there was a small debate here on FT Alphaville about the consequences of the Lehman collapse ...

Previous early-warning systems (EWSs) for currency crises have relied on models that require a priori dating of crises. This paper proposes an alternative EWS, based on a Markov-switching model, which ...

This paper characterizes exchange market pressure as a nonlinear Markov-switching phenomenon, and examines its dynamics in response to money growth and inflation over three regimes. The empirical ...

This paper investigates optimal futures hedge ratios in stock markets. We use univariate skewed t stochastic volatility (SV) models to capture the time-varying (TV) volatility of our data and set up ...

Capturing tail events, especially those that include the rare possibility of severe loss, is one of the important objectives of modern risk analysis. However, the past behavior of financial data is ...