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. …

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

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. …

forecasting volatility model with the most appropriate error distribution. The results suggest the presence of leverage effect … forecasting model that could guarantee a sound policy decisions. …

This paper is concerned with problem of variable selection and forecasting in the presence of parameter instability …. There are a number of approaches proposed for forecasting in the presence of breaks, including the use of rolling windows or … variable selection and forecasting stages. In this study, we investigate whether or not we should use weighted observations at …

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 …

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 …

the indicators and their marginal effects on the probability of a recession. We then use receiver operating characteristic … (ROC) curves to study the accuracy of forecasts. Results show that the short-term interest rate and the term spread are … important leading indicators, but also that the stock market has some predictive value. The recession probability is a nonlinear …