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Equity, credit and the business cycle. (2012). Ielpo, Florian.
In: Applied Financial Economics.
RePEc:taf:apfiec:v:22:y:2012:i:12:p:939-954.

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  1. Multivariate Regime Switching Model Estimation and Asset Allocation. (2023). Zhang, Xili ; Xu, Weidong ; Zheng, Kai.
    In: Computational Economics.
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  2. Mutual supervision or conspiracy? The incentive effect of multiple large shareholders on audit quality requirements. (2022). Li, Biao ; Zhang, Lipai.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002319.

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  3. Volatility returns with vengeance: Financial markets vs. commodities. (2015). Chevallier, Julien ; Aboura, Sofiane.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:33:y:2015:i:c:p:334-354.

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  4. Volatility returns with vengeance: Financial markets vs. commodities. (2015). Chevallier, Julien ; Aboura, Sofiane.
    In: Economics Papers from University Paris Dauphine.
    RePEc:dau:papers:123456789/13359.

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  5. Volatility spillovers in commodity markets. (2013). Ielpo, Florian ; Chevallier, Julien.
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:20:y:2013:i:13:p:1211-1227.

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References

References cited by this document

  1. da Fonseca, J., Grasselli, M. and Ielpo, F. (2011) Hedging (co)variance risk with variance swaps,International Journal of Theoretical and Applied Finance (IJTAF),14, 899–943

  2. Durland M. J. and McCurdy T. H. (1994) Duration-dependent transitions in a Markov model of US GNP growth,Journal of Business and Economic Statistics,12, 279–288

  3. Filardo A. J. (1994) Business cycle phases and their transition,Journal of Business and Economic Statistics,12, 299–308
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  4. Ielpo F, 2011. Forecasting the European credit cycle using macroeconomic variables

  5. Krolzig HM, 1999. A new approach to the analysis of shocks and the cycle in a model of output and employment

  6. Lam, P. S. (1997) A Markov-switching model of GNP growth with duration dependence, Federal Reserve Bank of Minneapolis, Institute for Empirical Macroeconomics, Discussion Paper, No. 124

  7. Rabault, G. (1993) Une application du modele de Hamilton à l'estimation des cycles économiques,Annales d'Economie et de Statistique,30, 57–83
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  8. Taylor, J. B. (1993) Discretion versus rules in practice,Carnegie-Rochester Conference Series on Public Policy39, 195–214
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  10. Equity, credit and the business cycle. (2012). Ielpo, Florian.
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