We develop a novel multinomial logistic model to detect and forecast concurrent recessions across multi-countries. The key advantage of our proposed framework is that we can detect recessions across countries using the additional informational content from the cross-country panel feature of the...

Call centers' managers are interested in obtaining accurate forecasts of call arrivals because these are a key input in staffing and scheduling decisions. Therefore their ability to achieve an optimal balance between service quality and operating costs ultimately hinges on forecast accuracy. We...

This study explores the benefits of incorporating fat-tailed innovations, asymmetric volatility response, and an extended information set into crude oil return modeling and forecasting. To this end, we utilize standard volatility models such as Generalized Autoregressive Conditional...

We suggest the use of an Internet job-search indicator (the Google Index, GI) as the best leading indicator to predict the US unemployment rate. We perform a deep out-of-sample forecasting comparison analyzing many models that adopt both our preferred leading indicator (GI), the more standard...

This paper examines the relationship between biofuels and commodity food prices in the U.S. from a new perspective. While a large body of literature has tried to explain the linkages between sample means and volatilities associated with ethanol and agricultural price returns, little is known...