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 …

accurately term spread changes into turning point predictions. The term structure is confirmed to be a reliable recession … forecasting ability of the spread. Klassifikation: …

using the Receiver Operating Characteristics (ROC), which takes account of false positive as well as true positive rates …

market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models …

Business tendency survey indicators are widely recognized as a key instrument for business cycle forecasting. Their … leading indicator property is assessed with regard to forecasting industrial production in Russia and Germany. For this … forecasting performance of the leading indicators for both countries revealing marked differences between Russia and Germany …

tests. It is demonstrated that misspecifications of forecasting models can be detected within the proposed regression … power in many practical situations and therefore frequently selects incorrect forecasting models. The empirical results …