High-frequency financial and economic activity indicators are usually time aggregated before forecasts of low-frequency macroeconomic events, such as recessions, are computed. We propose a mixed-frequency modelling alternative that delivers high-frequency probability forecasts (including their...

Economic policies are generally formulated on the basis of data available in real time, which might subsequently be revised. Implicitly, the possibility of data revisions creates an element of uncertainty around the very same data driving policy decisions. Given that such uncertainty could be...