We investigate the probability forecasting performance of a three-regime dynamic ordered probit model framework …-parametric dating algorithm for the identification of these three phases. We compare the pseudo-out-of-sample forecasting skills of an …-Operating-Characteristic (ROC) Kurve sowie zwei dazugehörige statistische Maße berechnet. …

and assess relative model performance based on the receiver operating characteristic (ROC) curve. While the Treasury term … significantly improve the precision of recession predictions, especially at horizons further out than one year. …

We have studied the relationship between Receiver Operating Characteristics (ROC) and Precision-Recall Curve (PRC) both … ROC and inverted precision in PRC are analogous concepts, and their difference is determined by the interaction of sample … quantify the extent to which ROC could be exaggerating the true predictive value of the yield curve in predicting recessions. …

. Forecasting from such a model assuming "no structural break" and "correct model" is tantamount to ignoring important aspects of …) a random walk model. Optimal IC approach, though computational intensive, outperforms in forecasting next period …

during unstable periods, such as the Great Recession, but also remain over more tranquil periods. …

have been shown to improve forecasting models for various economic and financial series. In the aftermath of the global … financial crisis, modeling and forecasting mortgage demand and subsequent approvals have become a central issue in the banking … number of new mortgage approvals and markedly improve their nowcasting and forecasting performance. …

forecasting macroeconomic key variables such as GDP. However, the DFM has some weaknesses. For nowcasting, the dynamic factor … on euro-area data show that the now- and forecasting performance of our new model is superior to that of the subset …

variancefunctions. In a genuine out-of-sample forecasting experiment theperformance of the best fitted asMA-asQGARCH model is compared … topure asMA and no-change forecasts. This is done both in terms ofconditional mean forecasting as well as in terms of risk … forecasting. …