This paper draws its title from a paper written over 35 years ago by Geoffrey H. Moore (1967). Why the need for a reprise? First, there would appear currently to be somewhat diverging views as to what properly constitutes a recession. Second, largely as a result of this, in many countries other...

A new business cycle turning point signalling system is proposed and examined by using Japanese, US and Australian composite indexes of economic activity. Time varying transition probabilities in a Markov regime-switching model are used as the basis of the signalling system. The performance of...

This paper examines the socio‐economic determinants of gambling expenditure on lotteries, Lotto and Instant Lotto, TAB/on‐course betting, poker machines and casino‐type games. Using a sample of 8,389 Australian households in 1993‐1994, the impact of income source and level, sex, age,...

We evaluate the performance of several specification tests for Markov regime-switching time-series models. We consider the Lagrange multiplier (LM) and dynamic specification tests of Hamilton (1996) and Ljung?Box tests based on both the generalized residual and a standard-normal residual...

The term structure of interest rates is often summarized using a handful of yield factors that capture shifts in the shape of the yield curve. In this paper, we develop a comprehensive model for volatility dynamics in the level, slope, and curvature of the yield curve that simultaneously...

We explore the empirical usefulness of conditional coskewness to explain the cross-section of equity returns. We find that coskewness is an important determinant of the returns to equity, and that the pricing relationship varies through time. In particular we find that when the conditional...

Long-horizon predictability is not a myth. We propose a new analytical standard error for predictive regressions that does not impose the null hypothesis that returns are unpredictable and exhibits substantial power gains relative to popular tests. Deriving the covariance matrix under the...

Winner stocks have higher risk exposure to Fama and French's (1993) three factors (FF3F) than loser stocks during good economic times, and therefore should earn higher expected returns. Employing the conditional FF3F model to risk adjust returns on winner and loser stocks can reduce the average...

We compare the ability of correlation and threshold effects in a stochastic volatility model to capture the asymmetric relationship between stock returns and volatility. The parameters are estimated using Maximum Likelihood based on the extended Kalman filter and uses numerical integration over...