We examine the impact of the global economic activity, oil supply, oil-specific consumption demand, and oil inventory demand shocks on the expected aggregate skewness of the United States (US) economy, obtained based on a data-rich environment involving 211 macroeconomic and financial variables...

This paper is motivated by Bitcoin's rapid ascension into mainstream finance and recent evidence of a strong relationship between Bitcoin and US stock markets. It is also motivated by a lack of empirical studies on whether Bitcoin prices contain useful information for the volatility of US stock...

We utilize a Dynamic Factor Model with Stochastic Volatility to filter out the national factor from the local components of weekly state-level economic conditions indexes of the United States over the period of April 1987 to August 2021. Then, we forecast the state-level factors. The forecasting...

This paper utilizes Bayesian (static) model averaging (BMA) and dynamic model averaging (DMA) incorporated into Markov-switching (MS) models to forecast business cycle turning points of the United States (US) with state-level climate risks data, proxied by temperature changes and its (realized)...