دانلود کتاب The Econometric Analysis of Recurrent Events in Macroeconomics and Finance

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Contents\nSeries Editors’ Introduction\nPreface\n1 Overview\n 1.1 Introduction\n 1.2 Describing the Events\n 1.3 Using the Event Indicators (“States”)\n 1.4 Prediction of Recurrent Events\n 1.5 Conclusion\n2 Methods for Describing Oscillations, Fluctuations, and Cycles in Univariate Series\n 2.1 Introduction\n 2.2 Types of Movements in Real and Financial Series\n 2.3 Prescribed Rules for Dating Business Cycles\n 2.4 Prescribed Rules for Dating Other Types of Real Cycles\n 2.5 Prescribed Rules for Dating Financial Cycles\n 2.6 Relations between Cycles and Oscillations\n 2.7 The Nature of St and Its Modeling\n 2.8 Conclusion\n3 Constructing Reference Cycles with Multivariate Information\n 3.1 Introduction\n 3.2 Determining the Reference Cycle via Phases\n 3.3 Combining Specific Cycle Turning Points\n 3.4 Finding Turning Points by Series Aggregation\n 3.5 Conclusion\n4 Model-Based Rules for Describing Recurrent Events\n 4.1 Introduction\n 4.2 Dating Cycles with Univariate Series\n 4.3 Model-Based Rules for Dating Events with Multivariate Series\n 4.4 Conclusion\n5 Measuring Recurrent Event Features in Univariate Data\n 5.1 Introduction\n 5.2 The Fraction of Time Spent in Expansions\n 5.3 Representing the Features of Phases\n 5.4 Amplitudes and Durations of Phases\n 5.5 The Shapes of Phases\n 5.6 The Diversity of Phases\n 5.7 Plucking Effects and Recovery Times\n 5.8 Duration Dependence in Phases\n 5.9 Conclusion\n6 Measuring Synchronization of Recurrent Events in Multivariate Data\n 6.1 Introduction\n 6.2 Moment-Based Measures\n 6.3 Other Approaches to Measuring Synchronization\n 6.4 Synchronization and Model-Based Rules\n 6.5 Application to Synchronization of Industrial Production Cycles\n 6.6 Multivariate Synchronization\n 6.7 Comovement of Cycles\n 6.8 Conclusion\n7 Accounting for Observed Cycle Features with a Range of Statistical Models\n 7.1 Introduction\n 7.2 U.S. Cycles as a Benchmark\n 7.3 The Business Cycle in a Range of Countries\n 7.4 Can U.S. Business Cycles Be Generated by Linear Models?\n 7.5 What Do Non-Linear Models Add?\n 7.6 Two Markov Switching Models\n 7.7 Using the Binary Indicators in Multivariate Systems\n 7.8 Conclusion\n8 Using the Recurrent Event Binary States to Examine Economic Modeling Issues\n 8.1 Introduction\n 8.2 Estimating Univariate Models with Constructed Binary Data\n 8.3 What Do Variance Decompositions Tell Us About the Cycle?\n 8.4 The Role of Structural Shocks in Determining Cycle Features\n 8.5 Financial Effects and the Business Cycle\n 8.6 Conclusion\n9 Predicting Turning Points and Recessions\n 9.1 Introduction\n 9.2 Bounding the Probability of the Occurrence of a Peak\n 9.3 Predicting Recessions with a Range of Variables\n 9.4 Changing the Event Defining Recessions and Turning Points\n 9.5 Conclusion\nReferences\nIndex