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Forecasting national recessions of the United States with state-level climate risks : evidence from model averaging in Markov-switching models

Ҫepni, Oğuzhan; Christou, Christina; Gupta, Rangan - 2022

Persistent link: https://www.econbiz.de/10013435218

Predicting U.S. Business Cycle Turning Points Using Real-Time Diffusion Indexes Based on a Large Data Set

Stekler, H.O. - 2016

This paper considers the issue of predicting cyclical turning points using real-time diffusion indexes constructed using a large data set from March 2005 to September 2014. We construct diffusion indexes at the monthly frequency, compare several smoothing and signal extraction methods, and...

Persistent link: https://www.econbiz.de/10012983069

Predictability of bull and bear markets : a new look at forecasting stock market regimes (and returns) in the US

Haase, Felix; Neuenkirch, Matthias - 2021 - This Version: January 8, 2021

as predictors. Third, we pool the forecasts in clusters to hedge against model risk and to evaluate the usefulness of …, and reducing tail risk. Using the same approach for return forecasts, however, does not lead to a consistent …

Persistent link: https://www.econbiz.de/10012180543

Climate risks and forecastability of the weekly state-level economic conditions of the United States

Cepni, Oguzhan; Gupta, Rangan; Liao, Wenting; Ma, Jun - In: International review of finance : the official journal … 24 (2024) 1, pp. 154-162

Persistent link: https://www.econbiz.de/10014507523

Climate risks and forecastability of the weekly state-level economic conditions of the United States

Ҫepni, Oğuzhan; Gupta, Rangan; Liao, Wenting; Ma, Jun - 2022

Persistent link: https://www.econbiz.de/10013435217

Forecasting Markov switching vector autoregressions : evidence from simulation and application

Cavicchioli, Maddalena - In: Journal of forecasting 44 (2025) 1, pp. 136-152

Persistent link: https://www.econbiz.de/10015374001

Markov switching rationality

Odendahl, Florens; Rossi, Barbara; Sekhposyan, Tatevik - In: Essays in honor of Joon Y. Park : econometric …, (pp. 35-64). 2023

Persistent link: https://www.econbiz.de/10014315144

An evaluation of the index of leading indicators as predictor of cyclical turning points using Markov switching model as filter

Lahiri, Kajal; Wang, Jiazhuo Georg - 1993

Persistent link: https://www.econbiz.de/10000862469

Forecasting the turns of German business cycle : dynamic bi-factor model with Markov switching

Kholodilin, Konstantin A. (contributor) - 2005

In this paper a dynamic bi-factor model with Markov switching is proposed to measure and predict turning points of the German business cycle. It estimates simultaneously the composite leading indicator (CLI) and composite coincident indicator (CCI) together with corresponding probabilities of...

Persistent link: https://www.econbiz.de/10002927882

Predicting Ordinary and Severe Recessions with a Three-State Markov-Switching Dynamic Factor Model. An Application to the German Business Cycle

Carstensen, Kai - 2017

We estimate a Markow-switching dynamic factor model with three states based on six leading business cycle indicators for Germany preselected from a broader set using the Elastic Net soft-thresholding rule. The three states represent expansions, normal recessions and severe recessions. We show...

Persistent link: https://www.econbiz.de/10012955198