An exact MCMC-based solution for the Kalman filter with Markov switching and GARCH components is proposed. To motivate the solution, an international equity market model incorporating common Markovian regimes and GARCH residuals in a persistent factor environment is considered. Given the...

This paper examines whether the disaggregation of consumer sentiment data into its sub-components improves the real-time capacity to forecast GDP and consumption. A Bayesian error correction approach augmented with the consumer sentiment index and permutations of the consumer sentiment...

Although existing research has examined the association between macroeconomic data and particular equity markets, little is known regarding the economic content of the latent factors common to international equity markets. This paper considers the macroeconomic information incorporated in...