In this paper we present two new composite leading indicators of economic activity in Germany estimated using a dynamic factor model with and without regime switching. The obtainted optimal inferences of business cycle turning points indicate that the two-state rgime switching procedure leads to...

This dissertation is concerned with the forecasting performance of time series models for the price movements of high-frequency transaction data on the Frankfurt Stock Exchange. The availability of high quality data of this kind at an affordable cost makes it possible to investigate the...

This paper discusses extensions of standard Markov switching models that allow estimated probabilities to reflect parameter breaks at or close to the end of the sample, too close for standard maximum likelihood techniques to produce precise parameter estimates. The basic technique is a...

We estimate a Markow-switching dynamic factor model with three states based on six leading business cycle indicators for Germany preselected from a broader set using the Elastic Net soft-thresholding rule. The three states represent expansions, normal recessions and severe recessions. We show...