In this paper, we estimate the distribution of future inflation and growth in real gross domestic product (GDP) for the Canadian economy at a daily frequency. To do this, we model the conditional moments (mean, variance, skewness and kurtosis) of inflation and GDP growth as moving averages of...

We employ artificial neural networks using macro-financial variables to predict recessions. We model the relationship between indicator variables and recessions 1 to 10 periods into the future and employ a procedure that penalizes a misclassified recession more than a misclassified...

This paper introduces new weighting schemes for model averaging when one is interested in combining discrete forecasts from competing Markov-switching models. In particular, we extend two existing classes of combination schemes - Bayesian (static) model averaging and dynamic model averaging - so...