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. …

and assess relative model performance based on the receiver operating characteristic (ROC) curve. While the Treasury term … significantly improve the precision of recession predictions, especially at horizons further out than one year. …

forecasting tool for business cycle turning points, includes several financial components. However, we argue that the coverage of … leading credit index can be helpful to estimate recession probabilities better than individual indicators, including some of …

and assess relative model performance based on the receiver operating characteristic (ROC) curve. While the Treasury term … significantly improve the precision of recession predictions, especially at horizons further out than one year …

shapes and find the less frequent shapes intrinsically linked to the recessions in the post-WWII data. In forecasting … indicator than the spreads in studying the term structure. Key words: Business cycle, recession forecast, U.S. Treasury yield …

We propose a new model for volatility forecasting which combines the Generalized Dynamic Factor Model (GDFM) and the … with respect to different volatility proxies. -- Dynamic Factors ; GARCH ; volatility forecasting …