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. …

While conditional forecasting has become prevalent both in the academic literature and in practice (e.g., bank stress … testing, scenario forecasting), its applications typically focus on continuous variables. In this paper, we merge elements … from the literature on the construction and implementation of conditional forecasts with the literature on forecasting …

analyze if the synthetic financial cycle components have significant forecasting power for the prediction of economic … recession forecasts significantly. In particular, the factor related to financial market participants’ uncertainty and risk …

observations from 1963 to 2004. We rely on forecasts from the joint forecast of the so-called "six leading" forecasting …

analyze if the synthetic financial cycle components have significant forecasting power for the prediction of economic … recession forecasts significantly. In particular, the factor related to financial market participants' uncertainty and risk …