This paper extends the Markov-switching vector autoregressive models to accommodate both the typical lack of synchronicity that characterizes the real-time daily flow of macroeconomic information and economic indicators sampled at different frequencies. The results of the empirical application...

In order to perform real-time business cycle inferences and forecasts of GDP growth rates in the euro area, we use an extension of the Markov-switching dynamic factor models that accounts for the features of the day-to-day monitoring of economic developments, such as ragged edges, mixed...