In this study we employ augmented and switching time series models to find possible existence of business cycle asymmetries in U.S. stock returns. Our approach is fully parametric and testing strategy is robust to any conditional heteroskedasticity, and outliers that may be present. We also...

In the present research we work with excess returns for an emerging stock market i.e. Jamaican Stock Price Index for the determination of volatility persistence and persistence in the mean returns series. We model excess returns in this stock market using state space or unobserved component...

We employ artificial neural networks using macro-financial variables to predict recessions. We model the relationship between indicator variables and recessions to periods into the future and employ a procedure that penalizes a misclassified recession more than a misclassified non-recession. Our...