A multivariate band-pass filter for economic time series

Valle e Azevedo, Joao, Valle e Azevedo, João . Journal of the Royal Statistical Society: Series C (Applied Statistics) 2011. 60 (1) :1-30

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Bibtex

@article{CIS-254999,
  Author = {Valle e Azevedo, Joao and Valle e Azevedo, João},
  Title = {A multivariate band-pass filter for economic time series},
  Journal = {Journal of the Royal Statistical Society: Series C (Applied Statistics)},
  Volume = {60},
  Number = {1},
  Year = {2011},
  Pages = {1--30},
  Keywords = {revisions, activity indicators, business cycle fluctuations, realtime signal extraction}
}

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