Aslanidis, Nektarios; Cipollini, Andrea - In: Journal of Macroeconomics 32 (2010) 1, pp. 145-156
In this paper we examine the out-of-sample forecast performance of high-yield credit spreads for real-time and revised data regarding employment and industrial production in the US. We evaluate models using both a point forecast and a probability forecast exercise. Our main findings suggest that...