Relevant bibliographies by topics / Baxter-King filter

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Academic literature on the topic 'Baxter-King filter'

Author: Grafiati
Published: 4 June 2021
Last updated: 1 February 2022

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Journal articles on the topic "Baxter-King filter"

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Issever Grochová, Ladislava, and Petr Rozmahel. "On the Ideality of Filtering Techniques in the Business Cycle Analysis Under Conditions of European Economy." Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis 63, no. 3 (2015): 915–26. http://dx.doi.org/10.11118/actaun201563030915.

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The paper deals with the applications and comparison of various filtering techniques, which is an integral part of the business cycles identification and their further analysis. In particular, the paper examines four high-pass and band-pass filters and compares them to an ideal filter. The gain function is estimated and shown by the periodogram to assess the filters’ efficiency in the extraction of undesired periods in the time series. The monthly data of industrial production indices of chosen EU countries are used to analyse the filtering techniques. The results show the Butterworth filter a
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Poměnková, Jitka, and Roman Maršálek. "Industrial production periodicity testing using R. A. Fisher test." Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis 58, no. 3 (2010): 189–96. http://dx.doi.org/10.11118/actaun201058030189.

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The aim of this paper is to evaluate statistical significance of the business cycle periodicity types in the Czech Republic between 1996/Q1–2008/Q4. Cyclical fluctuation representing a growth business cycle is taken as the result of de-trending input values using filtering techniques, namely Hodrick-Prescott filter and Baxter-King filters. Thereafter, identification of periodicity type is viewed from frequency analysis perspective, i.e. using harmonic analysis. Critical values for the 1%, 5% and 10% risk for the test designed by R. A. Fisher are derived and enumerated. Comparing values of peri
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Poměnková, J., and R. Maršálek. "  Time and frequency domain in the business cycle structure." Agricultural Economics (Zemědělská ekonomika) 58, No. 7 (2012): 332–46. http://dx.doi.org/10.17221/113/2011-agricecon.

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 The presented paper deals with the identification of cyclical behaviour of business cycle from the time and frequency domain perspective. Herewith, methods for obtaining the growth business cycle are investigated – the first order difference, the unobserved component models, the regression curves and filtration using the Baxter-King, Christiano-Fitzgerald and Hodrick-Prescott filter. In the case of the time domain, the analysis identification of cycle lengths is based on the dating process of the growth business cycle. Thus, the right and left variant of the naive technique
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Hoang, Nam, and Terrance Grieb. "Hedging positions in US wheat markets: a disaggregated data analysis." Studies in Economics and Finance 37, no. 3 (2020): 429–55. http://dx.doi.org/10.1108/sef-08-2019-0329.

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Purpose This study aims to spot wheat data and disaggregated commitment of trader data for CME traded wheat futures to examine the effect of exogenous shocks for hedging positions of Producers and Swap Dealers on cash-futures basis and excess futures returns. Design/methodology/approach A Bayesian vector autoregression (BVAR) methodology is used to capture volatility transfer effects. Findings Evidence is presented that institutional short hedging positions play a major role in the pricing of asymmetric information held by Swap Dealers into the basis. The results also indicate that producer he
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BIOLAN, Bogdan Corneliu. "A COMPARISON BETWEEN DETRENDING METHODS: HODRICK-PRESCOTT, BAXTER-KING, CHRISTIANOFITZGERALD FILTERS. A SHORT SURVEY." Review of the Air Force Academy 16, no. 2 (2018): 89–94. http://dx.doi.org/10.19062/1842-9238.2018.16.2.10.

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Ahmad, Wasim, and Sanjay Sehgal. "The investigation of destabilization effect in India’s agriculture commodity futures market." Journal of Financial Economic Policy 7, no. 2 (2015): 122–39. http://dx.doi.org/10.1108/jfep-02-2014-0008.

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Purpose – This paper aims to examine the destabilization effect in the case of India’s agricultural commodity market for the sample period of 01 January 2009 to 31 May 2013. Design/methodology/approach – The daily data of eight agricultural commodities traded on the National Commodity & Derivatives Exchange, viz., barley, castor seed, chana (chickpea), chilli, potato, pepper, refined soya and soybean, have been used in this study. At the first stage of the empirical analysis, the study estimates the time-varying spot market volatility by using the exponential generalized autoregressive con
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Guay and St.-Amant. "Do the Hodrick-Prescott and Baxter-King Filters Provide a Good Approximation of Business Cycles?" Annales d'Économie et de Statistique, no. 77 (2005): 133. http://dx.doi.org/10.2307/20079119.

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SKARE, Marinko. "MACROECONOMIC NOISE REMOVAL ALGORITHM (MARINER)." Technological and Economic Development of Economy 23, no. 3 (2017): 549–65. http://dx.doi.org/10.3846/20294913.2017.1312629.

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Standard econometric filters fail to extract explicit trend component from macroeconomic data series. Isolated cycles provide no economic interpretation of the extracted component. Adding new data to the sample (filtering) period results in instability of extracted components. This study proposes a new econometric filtering technique (MARINER) able to overcome known shortcomings in standard econometrics filters such as Hodrick and Prescott (1997), Baxter and King (1999), Christiano and Fitzgerald (2003). MARINER provides a practical tool for policy makers dealing with business cycles. It also
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Paramanik, Rajendra, and Bandi Kamaiah. "An empirical analysis of Indian business cycle dynamics." Ekonomski anali 62, no. 213 (2017): 7–25. http://dx.doi.org/10.2298/eka1713007p.

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This paper attempts to construct a monthly Composite Index of Leading Indicators (CILI) for the Indian business cycle between April 1994 and December 2015. The cyclical component of the Index of Industrial Production (IIP), generated by Baxter-King band pass filters, is considered as a reference series for Indian business cycle analysis. A set of indicator variables pertaining to different sectors of the economy are chosen on the basis of their strong leading correlation with the reference series. Further, Principal Component Analysis (PCA) technique is applied to assign an appropriate weight
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Goldrian, Georg. "Weaknesses of the Baxter-King Filter: Is a Pattern-Based Filter an Alternative? / Schwächen des Baxter-King Filters: Ist ein musterbasierter Filter eine Alternative?" Jahrbücher für Nationalökonomie und Statistik 225, no. 4 (2005). http://dx.doi.org/10.1515/jbnst-2005-0402.

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SummaryThe Baxter-King filter shows some weaknesses, particularly with regard to monthly time series. This procedure involves not only a loss of data for the border areas of time series, but suppresses inadequately high frequency components and shows as a low-pass filter only the performance of ordinary moving averages. Another important finding is that the maximal lag Κ not only determines the degree of approximation to an ideal filter, as Baxter and King argue, but also the ability to extract a slow moving component. A pattern-based filter, whose weights are generated by a trigonometric func
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Dissertations / Theses on the topic "Baxter-King filter"

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Tráge, David. "Časově-frekvenční analýza hrubého domácího produktu ČR." Master's thesis, Vysoké učení technické v Brně. Fakulta elektrotechniky a komunikačních technologií, 2011. http://www.nusl.cz/ntk/nusl-219095.

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The aim of this master's thesis is to get familier with problematic and concepts of econometrics (GDP, investment, usage and others). We see into used data mainly their characters and expectations and we discuss possibilities of frequention and time-frequention analysis of these data by Fourier and Wavelet transform. Data of quarter development of gross domestic product in Czech Republic, EU and USA will be analysed by the help of programm MATLAB. Data will be filtered by three ekonomic filters: Hodrick-Prescott, Baxter-King and Christiano-Fitzgerald filters. The aim is to find cyclic elements
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Pinkava, Jan. "Filtrace časových řad." Master's thesis, Vysoké učení technické v Brně. Fakulta elektrotechniky a komunikačních technologií, 2011. http://www.nusl.cz/ntk/nusl-219145.

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Thesis is aimed at describing the concepts and basic principles in the economy in gross domestic product. Furthermore it deals with the description of time series, their types, characteristics and the basic classification. A decomposition of time series into thein components is indicated. Another part is a basic description of the most commonly used economic filters - Hodrick-Prescott and Baxter-King. The Christiano-Fitzgerald and frequency-selective filter for short length time series have been practically implemented in MATLAB. The rest of the thesis deals with the application of above menti
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Oliveira, Pedro Miguel Guerreiro de. "Indicadores coincidentes de actividade e ciclos económicos : teoria e evidência para portugal." Master's thesis, Instituto Superior de Economia e Gestão, 2002. http://hdl.handle.net/10400.5/611.

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Mestrado em Economia<br>Os indicadores compósitos de actividade económica são hoje uma forma simples e rapidamente implementável de obter uma indicação sobre a evolução de curto prazo das economias. No entanto, as metodologias de construção deste tipo de indicadores têm algumas fraquezas que nem sempre são convenientemente apresentadas e discutidas. O grande contributo que este trabalho pretende dar consiste na comparação das metodologias e das variáveis contidas nos indicadores coincidentes habitualmente cons¬truídos por algumas entidades em Portugal (bem como com outras metodologias não apli
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Malska, Joanna. "Does financial volatility help in explaining and predicting economic activity?" Master's thesis, 2017. http://hdl.handle.net/10362/26210.

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Driven by the difficulty to predict the last financial crisis and possible distortion of predictive power of the conventional financial indicators on economic activity, this thesis provides in-sample and out-of-sample analyses whether financial volatility helps in explaining and forecasting economic activity. Several measures of financial volatility were constructed, such as: realized volatility, volatility following a Generalized Autoregressive Conditional Heteroskedasticity (GARCH) process, common long-run component of volatility estimated by Dynamic Factor Model, Principal Component Analysi
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Šírková, Petra. "Frekvenční chování reálného hospodářského cyklu - lokální a globální šoky." Master's thesis, 2012. http://www.nusl.cz/ntk/nusl-166493.

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Books on the topic "Baxter-King filter"

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Woitek, Ulrich. A note on the Baxter-King Filter. University of Glasgow, Department of Economics., 1998.

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