Nothing Special   »   [go: up one dir, main page]

create a website
Dynamic probit models and financial variables in recession forecasting. (2010). Nyberg, Henri.
In: Journal of Forecasting.
RePEc:jof:jforec:v:29:y:2010:i:1-2:p:215-230.

Full description at Econpapers || Download paper

Cited: 93

Citations received by this document

Cites: 26

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Do corporate credit spreads predict the real economy?. (2024). Bazzana, Flavio ; Chatterjee, Ujjal Kanti.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:91:y:2024:i:c:p:272-286.

    Full description at Econpapers || Download paper

  2. Predicting recessions using VIX–yield curve cycles. (2024). Hansen, Anne Lundgaard.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:40:y:2024:i:1:p:409-422.

    Full description at Econpapers || Download paper

  3. Forecasting binary outcomes in soccer. (2023). Mattera, Raffaele.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:325:y:2023:i:1:d:10.1007_s10479-021-04224-8.

    Full description at Econpapers || Download paper

  4. Business Cycles across Space and Time. (2022). Owyang, Michael ; Soques, Daniel ; Francis, Neville.
    In: Journal of Money, Credit and Banking.
    RePEc:wly:jmoncb:v:54:y:2022:i:4:p:921-952.

    Full description at Econpapers || Download paper

  5. Recession forecasting with high?dimensional data. (2022). Nevasalmi, Lauri.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:41:y:2022:i:4:p:752-764.

    Full description at Econpapers || Download paper

  6. Detecting crisis vulnerability using yield spread interconnectedness. (2022). Alvarado, Fernando Garcia.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:27:y:2022:i:4:p:3864-3880.

    Full description at Econpapers || Download paper

  7. Does the yield curve signal recessions? New evidence from an international panel data analysis. (2022). Lajaunie, Quentin ; Hasse, Jean-Baptiste.
    In: Post-Print.
    RePEc:hal:journl:hal-03740235.

    Full description at Econpapers || Download paper

  8. Identifying bull and bear market regimes with a robust rule-based method. (2022). Zegado, Piotr.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:60:y:2022:i:c:s0275531921002245.

    Full description at Econpapers || Download paper

  9. Does the yield curve signal recessions? New evidence from an international panel data analysis. (2022). Hasse, Jean-Baptiste ; Lajaunie, Quentin.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:84:y:2022:i:c:p:9-22.

    Full description at Econpapers || Download paper

  10. China’s urban construction investment bond: Contextualising a financial tool for local government. (2022). Xia, Senmao ; Coffman, Dmaris ; Zhang, Fangzhu ; Ye, Zhen ; Zhu, Zhonghua ; Wang, Zhifeng.
    In: Land Use Policy.
    RePEc:eee:lauspo:v:112:y:2022:i:c:s0264837719324810.

    Full description at Econpapers || Download paper

  11. Stock market reactions to COVID-19 lockdown: A global analysis. (2022). Rieger, Marc Oliver ; Matschke, Xenia ; Scherf, Matthias.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321003019.

    Full description at Econpapers || Download paper

  12. The Yield Curve as a Leading Indicator: Accuracy and Timing of a Parsimonious Forecasting Model. (2021). Zhang, Dan ; Seip, Knut Lehre.
    In: Forecasting.
    RePEc:gam:jforec:v:3:y:2021:i:2:p:25-436:d:564333.

    Full description at Econpapers || Download paper

  13. Modeling and predicting U.S. recessions using machine learning techniques. (2021). Vrontos, Ioannis D ; Galakis, John.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:37:y:2021:i:2:p:647-671.

    Full description at Econpapers || Download paper

  14. Maximizing the expected net present value in a project with uncertain cash flows. (2021). Ranjbar, Mohammad ; Davari, Morteza ; Peymankar, Mahboobeh.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:294:y:2021:i:2:p:442-452.

    Full description at Econpapers || Download paper

  15. Economic Recession Prediction Using Deep Neural Network. (2021). Liu, Hongfu ; Xia, Steve Q ; Wang, Zihao.
    In: Papers.
    RePEc:arx:papers:2107.10980.

    Full description at Econpapers || Download paper

  16. Monetary regimes, the term structure and business cycles in Ireland, 1972-2018. (2020). Stuart, Rebecca.
    In: QUCEH Working Paper Series.
    RePEc:zbw:qucehw:202003.

    Full description at Econpapers || Download paper

  17. Probit based time series models in recession forecasting – A survey with an empirical illustration for Finland. (2020). Nissila, Wilma.
    In: BoF Economics Review.
    RePEc:zbw:bofecr:72020.

    Full description at Econpapers || Download paper

  18. Nowcasting Finnish GDP growth using financial variables: a MIDAS approach. (2020). Lindblad, Annika ; Laine, Olli-Matti.
    In: BoF Economics Review.
    RePEc:zbw:bofecr:42020.

    Full description at Econpapers || Download paper

  19. On business cycle forecasting. (2020). , Eric ; Lai, Huiwen.
    In: Frontiers of Business Research in China.
    RePEc:spr:fobric:v:14:y:2020:i:1:d:10.1186_s11782-020-00085-3.

    Full description at Econpapers || Download paper

  20. Does business confidence matter for investment?. (2020). Khan, Hashmat ; Upadhayaya, Santosh.
    In: Empirical Economics.
    RePEc:spr:empeco:v:59:y:2020:i:4:d:10.1007_s00181-019-01694-5.

    Full description at Econpapers || Download paper

  21. Does the Yield Curve Signal Recessions? New Evidence from an International Panel Data Analysis. (2020). Lajaunie, Quentin ; Hasse, Jean-Baptiste.
    In: Working Papers.
    RePEc:hal:wpaper:halshs-02549044.

    Full description at Econpapers || Download paper

  22. Forecasting the state of the Finnish business cycle*. (2020). Pönkä, Harri ; Stenborg, Markku.
    In: Finnish Economic Papers.
    RePEc:fep:journl:v:29:y:2020:i:1:p:81-99.

    Full description at Econpapers || Download paper

  23. A new mechanism for anticipating price exuberance. (2020). Moreira, Afonso M ; Martins, Luis F.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:65:y:2020:i:c:p:199-221.

    Full description at Econpapers || Download paper

  24. Medium-term cycles in the dynamics of the Dow Jones Index for the period 1985–2019. (2020). Rodriguez, E ; Alvarez-Ramirez, J ; Ibarra-Valdez, C.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:546:y:2020:i:c:s037843711932223x.

    Full description at Econpapers || Download paper

  25. Uncertainty and Forecasts of U.S. Recessions. (2020). Pierdzioch, Christian ; GUPTA, RANGAN ; Christian, Pierdzioch.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:24:y:2020:i:4:p:20:n:1.

    Full description at Econpapers || Download paper

  26. Monetary regimes, the term structure and business cycles in Ireland, 1972–2018. (2020). Stuart, Rebecca.
    In: Manchester School.
    RePEc:bla:manchs:v:88:y:2020:i:5:p:731-748.

    Full description at Econpapers || Download paper

  27. Does the Yield Curve Signal Recessions? New Evidence from an International Panel Data Analysis. (2020). Hasse, Jean-Baptiste ; Lajaunie, Quentin.
    In: AMSE Working Papers.
    RePEc:aim:wpaimx:2013.

    Full description at Econpapers || Download paper

  28. Predicting corporate failure for listed shipping companies. (2019). Pettit, Stephen ; Ou, Zhirong ; Haider, Jane.
    In: Maritime Economics & Logistics.
    RePEc:pal:marecl:v:21:y:2019:i:3:d:10.1057_s41278-018-0101-4.

    Full description at Econpapers || Download paper

  29. The Real-Time Information Content of Financial Stress and Bank Lending on European Business Cycles. (2019). Theobald, Thomas ; Ruzicka, Josef ; Fiedler, Jakob.
    In: IMK Working Paper.
    RePEc:imk:wpaper:198-2019.

    Full description at Econpapers || Download paper

  30. The Predictive Power of the User Cost Spread for Economic Recession in China and the US. (2019). Mattson, Ryan ; Chang, Dongfeng ; Tang, Biyan.
    In: IJFS.
    RePEc:gam:jijfss:v:7:y:2019:i:2:p:34-:d:240702.

    Full description at Econpapers || Download paper

  31. On categorical time series models with covariates. (2019). Truquet, Lionel ; Fokianos, Konstantinos.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:129:y:2019:i:9:p:3446-3462.

    Full description at Econpapers || Download paper

  32. The role of oil prices on the Russian business cycle. (2019). Pönkä, Harri ; Zheng, YI ; Ponka, Harri.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:50:y:2019:i:c:p:70-78.

    Full description at Econpapers || Download paper

  33. Negative house price co-movements and US recessions. (2019). Eriksen, Jonas ; Christiansen, Charlotte ; Moller, Stig V.
    In: Regional Science and Urban Economics.
    RePEc:eee:regeco:v:77:y:2019:i:c:p:382-394.

    Full description at Econpapers || Download paper

  34. Forecasting recessions with time-varying models. (2019). Hwang, Youngjin.
    In: Journal of Macroeconomics.
    RePEc:eee:jmacro:v:62:y:2019:i:c:s0164070419300758.

    Full description at Econpapers || Download paper

  35. Does Business Confidence Matter for Investment?. (2019). Khan, Hashmat ; Upadhayaya, Santosh.
    In: Carleton Economic Papers.
    RePEc:car:carecp:17-13.

    Full description at Econpapers || Download paper

  36. Vor wichtigen wirtschaftspolitischen Weichenstellungen. Jahresgutachten 2018/19. (2018). .
    In: Annual Economic Reports / Jahresgutachten.
    RePEc:zbw:svrwjg:201819.

    Full description at Econpapers || Download paper

  37. Forecasting US interest rates and business cycle with a nonlinear regime switching VAR model. (2018). Nyberg, Henri.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:37:y:2018:i:1:p:1-15.

    Full description at Econpapers || Download paper

  38. Forecasting the state of the Finnish business cycle. (2018). Pönkä, Harri ; Stenborg, Markku.
    In: MPRA Paper.
    RePEc:pra:mprapa:91226.

    Full description at Econpapers || Download paper

  39. Forecasting banking crises with dynamic panel probit models. (2018). Rodrigues, Paulo ; Bonfim, Diana ; Antunes, António ; Monteiro, Nuno .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:34:y:2018:i:2:p:249-275.

    Full description at Econpapers || Download paper

  40. Predicting the direction of US stock markets using industry returns. (2017). Pönkä, Harri.
    In: Empirical Economics.
    RePEc:spr:empeco:v:52:y:2017:i:4:d:10.1007_s00181-016-1098-0.

    Full description at Econpapers || Download paper

  41. Towards an asymmetric long run equilibrium between stock market uncertainty and the yield spread. A threshold vector error correction approach. (2017). Evgenidis, Anastasios ; SIRIOPOULOS, COSTAS ; Tsagkanos, Athanasios.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:39:y:2017:i:pa:p:267-279.

    Full description at Econpapers || Download paper

  42. Predicting recessions with boosted regression trees. (2017). Pierdzioch, Christian ; Fritsche, Ulrich ; Dopke, Jorg.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:33:y:2017:i:4:p:745-759.

    Full description at Econpapers || Download paper

  43. Binary time series models driven by a latent process. (2017). Fokianos, Konstantinos ; Moysiadis, Theodoros .
    In: Econometrics and Statistics.
    RePEc:eee:ecosta:v:2:y:2017:i:c:p:117-130.

    Full description at Econpapers || Download paper

  44. Predicting the probability of recession in Croatia: Is economic sentiment the missing link?. (2016). Sorić, Petar ; Čižmešija, Mirjana ; Erjavec, Nataa ; Imeija, Mirjana .
    In: Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics.
    RePEc:rfe:zbefri:v:34:y:2016:i:2:p:555-579.

    Full description at Econpapers || Download paper

  45. Forecasting banking crises with dynamic panel probit models. (2016). Rodrigues, Paulo ; Bonfim, Diana ; Antunes, António ; Monteiro, Nuno .
    In: Working Papers.
    RePEc:ptu:wpaper:w201613.

    Full description at Econpapers || Download paper

  46. Forecasting the Probability of Recessions in South Africa: The Role of Decomposed Term-Spread and Economic Policy Uncertainty. (2016). GUPTA, RANGAN ; Gil-Alana, Luis ; Christou, Christina ; Aye, Goodness C.
    In: Working Papers.
    RePEc:pre:wpaper:201680.

    Full description at Econpapers || Download paper

  47. Using Confidence Data to Forecast the Canadian Business Cycle. (2016). Moran, Kevin ; Nono, Simplice Aime.
    In: Cahiers de recherche.
    RePEc:lvl:crrecr:1606.

    Full description at Econpapers || Download paper

  48. Forecasting U.S. Recessions and Economic Activity. (2016). Stevanovic, Dalibor ; Kotchoni, Rachidi.
    In: Working Papers.
    RePEc:hal:wpaper:hal-04141569.

    Full description at Econpapers || Download paper

  49. Anticipating business-cycle turning points in real time using density forecasts from a VAR. (2016). Schreiber, Sven ; Soldatenkova, Natalia .
    In: Journal of Macroeconomics.
    RePEc:eee:jmacro:v:47:y:2016:i:pb:p:166-187.

    Full description at Econpapers || Download paper

  50. What predicts US recessions?. (2016). Moench, Emanuel ; Liu, Weiling .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:32:y:2016:i:4:p:1138-1150.

    Full description at Econpapers || Download paper

  51. Modeling and forecasting multivariate electricity price spikes. (2016). Eichler, Michael ; Manner, Hans ; Turk, Dennis .
    In: Energy Economics.
    RePEc:eee:eneeco:v:60:y:2016:i:c:p:255-265.

    Full description at Econpapers || Download paper

  52. Forecasting U.S. Recessions and Economic Activity. (2016). Stevanovic, Dalibor ; Kotchoni, Rachidi.
    In: EconomiX Working Papers.
    RePEc:drm:wpaper:2016-40.

    Full description at Econpapers || Download paper

  53. Forecasting U.S. Recessions and Economic Activity. (2016). Stevanovic, Dalibor ; Kotchoni, Rachidi.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2016s-36.

    Full description at Econpapers || Download paper

  54. Forecasting Euro Area Recessions in real-time with a mixed-frequency Bayesian VAR. (2015). Pirschel, Inske.
    In: Annual Conference 2015 (Muenster): Economic Development - Theory and Policy.
    RePEc:zbw:vfsc15:113031.

    Full description at Econpapers || Download paper

  55. International yield curve comovements: impact of the recent financial crisis. (2015). Sirichand, Kavita ; Coleman, Simeon.
    In: Applied Economics.
    RePEc:taf:applec:v:47:y:2015:i:43:p:4561-4573.

    Full description at Econpapers || Download paper

  56. Forecasting U.S. Recessions with a Large Set of Predictors. (2015). Fornaro, Paolo.
    In: MPRA Paper.
    RePEc:pra:mprapa:62973.

    Full description at Econpapers || Download paper

  57. Recession Prediction Using Yield Curve and Stock Market Liquidity Deviation Measures. (2015). Erdogan, Oral ; ErdoÄŸan, Oral ; Ozyildirim, Cenktan ; Bennett, Paul .
    In: Review of Finance.
    RePEc:oup:revfin:v:19:y:2015:i:1:p:407-422..

    Full description at Econpapers || Download paper

  58. Yield Curve and Recession Forecasting in a Machine Learning Framework. (2015). Papadimitriou, Theophilos ; Gogas, Periklis ; Matthaiou, Maria ; Chrysanthidou, Efthymia .
    In: Computational Economics.
    RePEc:kap:compec:v:45:y:2015:i:4:p:635-645.

    Full description at Econpapers || Download paper

  59. Leading Indicators of the Business Cycle: Dynamic Logit Models for OECD Countries and Russia. (2015). Pestova, Anna.
    In: HSE Working papers.
    RePEc:hig:wpaper:94/ec/2015.

    Full description at Econpapers || Download paper

  60. Predicting Recessions in Germany With Boosted Regression Trees. (2015). Pierdzioch, Christian ; Fritsche, Ulrich ; Döpke, Jörg ; Dopke, Jorg.
    In: Macroeconomics and Finance Series.
    RePEc:hep:macppr:201505.

    Full description at Econpapers || Download paper

  61. Predicting Recessions With Boosted Regression Trees. (2015). Pierdzioch, Christian ; Fritsche, Ulrich ; Döpke, Jörg ; Dopke, Jorg.
    In: Working Papers.
    RePEc:gwc:wpaper:2015-004.

    Full description at Econpapers || Download paper

  62. Probabilities to adopt feed in tariff conditioned to economic transition: A scenario analysis. (2015). Carfora, Alfonso ; Romano, A A ; Scandurra, G.
    In: Renewable Energy.
    RePEc:eee:renene:v:83:y:2015:i:c:p:988-997.

    Full description at Econpapers || Download paper

  63. The Role of Credit in Predicting US Recessions. (2015). Pönkä, Harri.
    In: CREATES Research Papers.
    RePEc:aah:create:2015-48.

    Full description at Econpapers || Download paper

  64. Anticipating business-cycle turning points in real time using density forecasts from a VAR. (2014). Schreiber, Sven.
    In: Discussion Papers.
    RePEc:zbw:fubsbe:20142.

    Full description at Econpapers || Download paper

  65. Forecasting GDP growth with financial market data in Finland: Revisiting stylized facts in a small open economy during the financial crisis. (2014). Vataja, Juuso ; Kuosmanen, Petri.
    In: Review of Financial Economics.
    RePEc:wly:revfec:v:23:y:2014:i:2:p:90-97.

    Full description at Econpapers || Download paper

  66. Predicting U.S. recessions through a combination of probability forecasts. (2014). De Luca, Giovanni ; Carfora, Alfonso.
    In: Empirical Economics.
    RePEc:spr:empeco:v:46:y:2014:i:1:p:127-144.

    Full description at Econpapers || Download paper

  67. Early Warning Indicators of Banking Crises: Exploring new Data and Tools. (2014). Rodrigues, Paulo ; Bonfim, Diana ; Antunes, António ; Paulo M. M. Rodrigues, ; Paulo M. M. Rodrigues, ; Paulo M. M. Rodrigues, ; Monteiro, Nuno .
    In: Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies.
    RePEc:ptu:bdpart:b201404.

    Full description at Econpapers || Download paper

  68. Predicting the direction of US stock markets using industry returns. (2014). Pönkä, Harri.
    In: MPRA Paper.
    RePEc:pra:mprapa:62942.

    Full description at Econpapers || Download paper

  69. What predicts U.S. recessions?. (2014). Moench, Emanuel ; Liu, Weiling .
    In: Staff Reports.
    RePEc:fip:fednsr:691.

    Full description at Econpapers || Download paper

  70. Forecasting GDP growth with financial market data in Finland: Revisiting stylized facts in a small open economy during the financial crisis. (2014). Vataja, Juuso ; Kuosmanen, Petri .
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:23:y:2014:i:2:p:90-97.

    Full description at Econpapers || Download paper

  71. The term structure of interest rates as predictor of stock returns: Evidence for the IBEX 35 during a bear market. (2014). Sosvilla-Rivero, Simon ; Fernandez-Perez, Adrian ; Fernandez-Rodriguez, Fernando.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:31:y:2014:i:c:p:21-33.

    Full description at Econpapers || Download paper

  72. Forecasting US recessions: The role of sentiment. (2014). Eriksen, Jonas ; Christiansen, Charlotte ; Moller, Stig Vinther .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:49:y:2014:i:c:p:459-468.

    Full description at Econpapers || Download paper

  73. Predicting recessions with a composite real-time dynamic probit model. (2014). Theobald, Thomas ; Proao, Christian R..
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:30:y:2014:i:4:p:898-917.

    Full description at Econpapers || Download paper

  74. A PARAMETER-DRIVEN LOGIT REGRESSION MODEL FOR BINARY TIME SERIES. (2014). Wu, Rongning ; Cui, Yunwei .
    In: Journal of Time Series Analysis.
    RePEc:bla:jtsera:v:35:y:2014:i:5:p:462-477.

    Full description at Econpapers || Download paper

  75. Predicting severe simultaneous recessions using yield spreads as leading indicators. (2013). Christiansen, Charlotte.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:32:y:2013:i:c:p:1032-1043.

    Full description at Econpapers || Download paper

  76. Predicting bear and bull stock markets with dynamic binary time series models. (2013). Nyberg, Henri.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:9:p:3351-3363.

    Full description at Econpapers || Download paper

  77. The “probability of recession”: Evaluating probabilistic and non-probabilistic forecasts from probit models of U.S. recessions. (2013). Ratcliff, Ryan .
    In: Economics Letters.
    RePEc:eee:ecolet:v:121:y:2013:i:2:p:311-315.

    Full description at Econpapers || Download paper

  78. Forecasting Output. (2013). Chauvet, Marcelle ; Potter, Simon .
    In: Handbook of Economic Forecasting.
    RePEc:eee:ecofch:2-141.

    Full description at Econpapers || Download paper

  79. On the Predictive Power of Yield Spread for Future Growth and Recession: The Turkish Case. (2013). Kaya, Huseyin.
    In: Working Papers.
    RePEc:bae:wpaper:010.

    Full description at Econpapers || Download paper

  80. Qual VAR Revisited: Good Forecast, Bad Story. (2012). von Schweinitz, Gregor ; El-Shagi, Makram.
    In: IWH Discussion Papers.
    RePEc:zbw:iwhdps:iwh-12-12.

    Full description at Econpapers || Download paper

  81. Combining Recession Probability Forecasts from a Dynamic Probit Indicator. (2012). Theobald, Thomas.
    In: IMK Working Paper.
    RePEc:imk:wpaper:89-2012.

    Full description at Econpapers || Download paper

  82. Forecasting US recessions with various risk factors and dynamic probit models. (2012). Ng, Eric ; Ng, Eric C. Y., .
    In: Journal of Macroeconomics.
    RePEc:eee:jmacro:v:34:y:2012:i:1:p:112-125.

    Full description at Econpapers || Download paper

  83. The Probability of Recession in Poland Based on the Hamilton Switching Model and the Logit Model. (2012). Burzala, Milda.
    In: Dynamic Econometric Models.
    RePEc:cpn:umkdem:v:12:y:2012:p:73-88.

    Full description at Econpapers || Download paper

  84. Fluctuations in Economic and Activity and Stabilization Policies in the CIS. (2011). Kiani, Khurshid.
    In: Computational Economics.
    RePEc:kap:compec:v:37:y:2011:i:2:p:193-220.

    Full description at Econpapers || Download paper

  85. Forecasting the direction of the US stock market with dynamic binary probit models. (2011). Nyberg, Henri.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:27:y::i:2:p:561-578.

    Full description at Econpapers || Download paper

  86. Forecasting the direction of the US stock market with dynamic binary probit models. (2011). Nyberg, Henri .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:27:y:2011:i:2:p:561-578.

    Full description at Econpapers || Download paper

  87. QR-GARCH-M Model for Risk-Return Tradeoff in U.S. Stock Returns and Business Cycles. (2010). Nyberg, Henri.
    In: MPRA Paper.
    RePEc:pra:mprapa:23724.

    Full description at Econpapers || Download paper

  88. Predicting recession probabilities with financial variables over multiple horizons. (2010). Lemke, Wolfgang ; Fornari, Fabio.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20101255.

    Full description at Econpapers || Download paper

  89. Testing an autoregressive structure in binary time series models. (2010). Nyberg, Henri.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-10-00253.

    Full description at Econpapers || Download paper

  90. Composite Leading Indicators for Ukraine: An Early Warning Model. (2009). Golodniuk, Inna ; Dubrovskiy, Vladimir ; Szyrmer, Janusz .
    In: CASE Network Reports.
    RePEc:sec:cnrepo:0085.

    Full description at Econpapers || Download paper

  91. Forecasting Euro-area recessions using time-varying binary response models for financial.. (2009). Ferrara, Laurent ; Bellego, C..
    In: Working papers.
    RePEc:bfr:banfra:259.

    Full description at Econpapers || Download paper

  92. Deutsche Konjunktur: leichte Rezession absehbar. (2008). Dovern, Jonas ; Boss, Alfred ; Scheide, Joachim ; Meier, Carsten-Patrick .
    In: Open Access Publications from Kiel Institute for the World Economy.
    RePEc:zbw:ifwkie:28638.

    Full description at Econpapers || Download paper

  93. Weltkonjunktur und deutsche Konjunktur im Herbst 2008. (2008). Dovern, Jonas ; Boysen-Hogrefe, Jens ; Institut fur Weltwirtschaft, Kiel ), .
    In: Kiel Discussion Papers.
    RePEc:zbw:ifwkdp:456-457.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Akaike H. 1974. A new look at statistical model identification. IEEE Transactions on Automatic Control 19: 713-723. .
    Paper not yet in RePEc: Add citation now
  2. Andrews DWK, Fair RC. 1988. Inference in non-linear econometric models with structural change. Review of Economic Studies 55: 615-640. .

  3. Bernard H, Gerlach S. 1998. Does the term structure predict recessions? The international evidence. International Journal of Finance and Economics 3: 195-215. .

  4. Chauvet M, Potter S. 2005. Forecasting recession using the yield curve. Journal of Forecasting 24: 77-103. .

  5. Davis EP, Fagan G. 1997. Are financial spreads useful indicators of future inflation and output growth in EU countries? Journal of Applied Econometrics 12: 701-714. .

  6. de Jong RM, Woutersen TM. 2009. Dynamic time series binary choice. Econometric Theory (in press). .
    Paper not yet in RePEc: Add citation now
  7. Diebold FX, Rudebusch GD. 1989. Scoring the leading indicators. Journal of Business 62: 369-391. .

  8. Dueker MJ. 1997. Strengthening the case for the yield curve as a predictor of U.S. recessions. Federal Reserve Bank of St Louis Review 79: 41-51. .

  9. Dueker MJ. 2002. Regime-dependent recession forecasts and the 2001 recession. Federal Reserve Bank of St Louis Review 84: 29-36. .

  10. Dueker MJ. 2005. Dynamic forecasts of qualitative variables: a qual VAR model of U.S. recessions. Journal of Business and Economic Statistics 23: 96-104. .

  11. Estrella A, Hardouvelis GA. 1991. The term structure as a predictor of real economic activity. Journal of Finance 46: 555-576. .

  12. Estrella A, Rodrigues AP, Schich S. 2003. How stable is the predictive power of the yield curve? Evidence from Germany and the United States. Review of Economics and Statistics 85: 629-644. .

  13. Estrella A, Rodrigues AP. 1998. Consistent covariance matrix estimation in probit models with autocorrelated disturbances. Federal Reserve Bank of New York Staff Reports no. 39. .
    Paper not yet in RePEc: Add citation now
  14. Estrella A. 1998. A new measure of fit for equations with dichotomous dependent variables. Journal of Business and Economic Statistics 16: 198-205. .

  15. Estrella A. 2005a. The yield curve as a leading indicator: frequently asked questions. Federal Reserve Bank of New York. Available at http:| |www.newyorkfed.org|research|capital_markets|ycfaq.pdf [accessed on 30 October 2008]. .
    Paper not yet in RePEc: Add citation now
  16. Estrella A. 2005b. Why does the yield curve predict output and inflation? Economic Journal 115: 722-744. .

  17. Florio A. 2004. The asymmetric effects of monetary policy. Journal of Economic Surveys 18: 409-426. .

  18. Kauppi H. 2008. Yield-curve based probit models for forecasting U.S. recessions: stability and dynamics. HECER Discussion Paper 221, Helsinki Center of Economic Research. .

  19. Marcellino M, Stock JH, Watson MW. 2006. A comparison of direct and iterated AR methods for forecasting macroeconomic time series. Journal of Econometrics 135: 499-526. .

  20. Morgan DP. 1993. Asymmetric effects of monetary policy. Federal Reserve Bank of Kansas City Economic Review 78: 21-33. .

  21. Paap R, Segers R, van Dijk D. 2009. Do leading indicators lead peaks more than troughs? Journal of Business and Economic Statistics (in press). .

  22. Rydberg T, Shephard N. 2003. Dynamics of trade-by-trade price movements: decomposition and models. Journal of Financial Econometrics 1: 2-25. .

  23. Schwarz G. 1978. Estimating the dimension of a model. Annals of Statistics 6: 461-464. .
    Paper not yet in RePEc: Add citation now
  24. Startz R. 2008. Binomial autoregressive moving average models with an application to U.S. recessions. Journal of Business and Economic Statistics 26: 1-8. .

  25. Stock JH, Watson MW. 2003. Forecasting output and inflation: the role of asset prices. Journal of Economic Literature 41: 788-829. .

  26. Wright JH. 2006. The yield curve and predicting recessions. Finance and Economics Discussion Series no. 7, Board of Governors of the Federal Reserve System. .
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Why Have Interest Rates Been Low?. (2022). Fair, Ray C.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:2340.

    Full description at Econpapers || Download paper

  2. A model-free consistent test for structural change in regression possibly with endogeneity. (2019). Hong, Yongmiao ; Fu, Zhonghao.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:211:y:2019:i:1:p:206-242.

    Full description at Econpapers || Download paper

  3. El esquema de objetivos de inflación: Evidencia para América Latina (1999-2015). (2017). Barros-Campello, Esther ; Pateiro-Lopez, Carlos ; Salcines-Cristal, Venancio J ; Pateiro-Rodriguez, Carlos.
    In: Estudios de Economia.
    RePEc:udc:esteco:v:44:y:2017:i:2:p:97-124.

    Full description at Econpapers || Download paper

  4. El esquema de objetivos de inflación: Evidencia para América Latina (1999-2015). (2017). Barros-Campello, Esther ; Pateiro-Lopez, Carlos ; Salcines-Cristal, Venancio J ; Pateiro-Rodriguez, Carlos.
    In: Estudios de Economia.
    RePEc:udc:esteco:v:44:y:2017:i:2:p:223-250.

    Full description at Econpapers || Download paper

  5. Price and nominal wage Phillips curves and the dynamics of distribution in Japan. (2017). Sonoda, Ryunosuke .
    In: International Review of Applied Economics.
    RePEc:taf:irapec:v:31:y:2017:i:1:p:28-44.

    Full description at Econpapers || Download paper

  6. Testing the Assumptions and Predictions of the Hotelling Model. (2017). Atewamba, Calvin ; Nkuiya, Bruno.
    In: Environmental & Resource Economics.
    RePEc:kap:enreec:v:66:y:2017:i:1:d:10.1007_s10640-015-9922-0.

    Full description at Econpapers || Download paper

  7. FORECAST COMBINATIONS FOR REALIZED VOLATILITY IN PRESENCE OF STRUCTURAL BREAKS. (2016). De Gaetano, Davide.
    In: Departmental Working Papers of Economics - University 'Roma Tre'.
    RePEc:rtr:wpaper:0208.

    Full description at Econpapers || Download paper

  8. Long Run Relationship between IFDI and Domestic Investment in GCC Countries. (2016). Ghassan, Hassan ; Alhajhoj, Hassan R.
    In: MPRA Paper.
    RePEc:pra:mprapa:72668.

    Full description at Econpapers || Download paper

  9. Long-Run Dynamic Relationship between FDI and Domestic Investment in GCC Countries. (2016). Ghassan, Hassan ; Alhajhoj, Hassan R.
    In: EERI Research Paper Series.
    RePEc:eei:rpaper:eeri_rp_2016_16.

    Full description at Econpapers || Download paper

  10. Monetary policy statements, treasury yields, and private yields: Before and after the zero lower bound. (2016). Kiley, Michael.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:18:y:2016:i:c:p:285-290.

    Full description at Econpapers || Download paper

  11. Value premium and implied equity duration in the Japanese stock market. (2015). Fukuta, Yuichi ; Yamane, Akiko .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:39:y:2015:i:c:p:102-121.

    Full description at Econpapers || Download paper

  12. OPEC and non-OPEC oil production and the global economy. (2015). Vespignani, Joaquin ; Ratti, Ronald.
    In: Energy Economics.
    RePEc:eee:eneeco:v:50:y:2015:i:c:p:364-378.

    Full description at Econpapers || Download paper

  13. Inferring monetary policy objectives with a partially observed state. (2015). Givens, Gregory ; Salemi, Michael K..
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:52:y:2015:i:c:p:190-208.

    Full description at Econpapers || Download paper

  14. OPEC and non-OPEC oil producioon and the global economy. (2014). Vespignani, Joaquin ; Ratti, Ronald.
    In: Working Papers.
    RePEc:tas:wpaper:18748.

    Full description at Econpapers || Download paper

  15. Testing structural stability in macroeconometric models. (2013). Hall, Alastair R. ; Boldea, Otilia.
    In: Chapters.
    RePEc:elg:eechap:14327_9.

    Full description at Econpapers || Download paper

  16. Testing for Parameter Stability in DSGE Models. The Cases of France, Germany, Italy, and Spain. (2012). Röhe, Oke ; Jerger, Jurgen ; Rohe, Oke .
    In: Working Papers.
    RePEc:bav:wpaper:118_jergerroehe.

    Full description at Econpapers || Download paper

  17. Testing for Parameter Stability in DSGE Models. The Cases of France, Germany and Spain. (2011). Jerger, Jurgen ; Rohe, Oke .
    In: Working Papers.
    RePEc:ost:wpaper:276.

    Full description at Econpapers || Download paper

  18. Dynamic probit models and financial variables in recession forecasting. (2010). Nyberg, Henri.
    In: Journal of Forecasting.
    RePEc:jof:jforec:v:29:y:2010:i:1-2:p:215-230.

    Full description at Econpapers || Download paper

  19. Fractional Integration and Structural Breaks in U.S. Macro Dynamics. (2009). Moreno, Antonio ; Gil-Alana, Luis.
    In: Faculty Working Papers.
    RePEc:una:unccee:wp0209.

    Full description at Econpapers || Download paper

  20. Testing for Parameter Stability in DSGE Models. The Cases of France, Germany and Spain. (2009). Jerger, Jurgen ; Rohe, Oke .
    In: University of Regensburg Working Papers in Business, Economics and Management Information Systems.
    RePEc:bay:rdwiwi:21427.

    Full description at Econpapers || Download paper

  21. Using Samples of Unequal Length in Generalized Method of Moments Estimation. (2008). Wachter, Jessica ; Lynch, Anthony W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14411.

    Full description at Econpapers || Download paper

  22. Taxation, regulation and the information efficiency of the Berlin stock exchange, 1892–1913. (2008). Gelman, Sergey ; Burhop, Carsten.
    In: European Review of Economic History.
    RePEc:cup:ereveh:v:12:y:2008:i:01:p:39-66_00.

    Full description at Econpapers || Download paper

  23. Testing for a New Economy in the 1990s. (2007). Fair, Ray.
    In: Yale School of Management Working Papers.
    RePEc:ysm:somwrk:ysm323.

    Full description at Econpapers || Download paper

  24. Sticky Prices vs. Limited Participation:What Do We Learn From the Data?. (2006). .
    In: Computing in Economics and Finance 2006.
    RePEc:sce:scecfa:418.

    Full description at Econpapers || Download paper

  25. The Lucas critique and the stability of empirical models. (2006). Surico, Paolo ; Lubik, Thomas.
    In: Working Paper.
    RePEc:fip:fedrwp:06-05.

    Full description at Econpapers || Download paper

  26. Inflation Targeting in Western Europe. (2005). Rey, Luis ; Moreno, Antonio ; Ibez, Antonio Moreno .
    In: Faculty Working Papers.
    RePEc:una:unccee:wp1405.

    Full description at Econpapers || Download paper

  27. Sticky Prices vs. Limited Participation: What Do We Learn From the Data?. (2004). Papadopoulou, Niki ; Ireland, Peter .
    In: Money Macro and Finance (MMF) Research Group Conference 2004.
    RePEc:mmf:mmfc04:79.

    Full description at Econpapers || Download paper

  28. Sticky Prices vs Limited Participation: What do we Learn from the Data?. (2004). Papadopoulou, Niki ; Muscatelli, Vito ; Roy, Graeme ; Darby, Julia.
    In: Working Papers.
    RePEc:gla:glaewp:2004_4.

    Full description at Econpapers || Download paper

  29. Reaching Inflation Stability. (2004). Moreno, Antonio.
    In: Econometric Society 2004 North American Summer Meetings.
    RePEc:ecm:nasm04:269.

    Full description at Econpapers || Download paper

  30. Reaching Inflation Stability. (2003). Moreno, Antonio.
    In: Faculty Working Papers.
    RePEc:una:unccee:wp1303.

    Full description at Econpapers || Download paper

  31. Monetary Policy Shifts and the Stability of Monetary Policy Models. (2003). Kazmi, Mumtaz ; Fuhrer, Jeffrey ; Estrella, Arturo.
    In: The Review of Economics and Statistics.
    RePEc:tpr:restat:v:85:y:2003:i:1:p:94-104.

    Full description at Econpapers || Download paper

  32. Testing for a New Economy in the 1990s. (2003). Fair, Ray.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1388.

    Full description at Econpapers || Download paper

  33. Bayesian model comparison in generalized linear models across multiple groups. (2002). Liao, Tim Futing .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:39:y:2002:i:3:p:311-327.

    Full description at Econpapers || Download paper

  34. Why did the Term Structure of Interest Rates Lose its Predictive Power ?. (2002). Jardet, Caroline.
    In: Working Papers.
    RePEc:crs:wpaper:2002-05.

    Full description at Econpapers || Download paper

  35. Estimating New-Keynesian Phillips Curves: A Full Information Maximum Likelihood Approach. (2001). Lindé, Jesper ; Linde, Jesper.
    In: Working Paper Series.
    RePEc:hhs:rbnkwp:0129.

    Full description at Econpapers || Download paper

  36. THE CHANGING BEHAVIOR OF THE TERM STRUCTURE OF POST-WAR U.S. INTEREST RATES AND CHANGES IN THE FEDERAL RESERVE CHAIRMAN: IS THERE A LINK?. (2001). Vázquez, Jesús ; Gutiérrez, María-José ; Gutierrez, Maria-Jose ; Vazquez, Jesus.
    In: Working Papers.
    RePEc:aee:wpaper:0103.

    Full description at Econpapers || Download paper

  37. Money supply, consumption and deregulation: the case of Greece. (2000). varelas, erotokritos ; Apergis, Nicholas ; Velentzas, Kostas .
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:7:y:2000:i:6:p:385-390.

    Full description at Econpapers || Download paper

  38. Sticky-Price Models of the Business Cycle: Specification and Stability. (2000). Ireland, Peter.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7511.

    Full description at Econpapers || Download paper

  39. Estimated, Calibrated, and Optimal Interest Rate Rules. (2000). Fair, Ray.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1258.

    Full description at Econpapers || Download paper

  40. Are Deep Parameters Stable? The Lucas Critique as an Empirical Hypothesis. (1999). Fuhrer, Jeffrey ; Estrella, Arturo.
    In: Computing in Economics and Finance 1999.
    RePEc:sce:scecf9:621.

    Full description at Econpapers || Download paper

  41. A method for taking models to the data. (1999). Ireland, Peter.
    In: Working Papers (Old Series).
    RePEc:fip:fedcwp:9903.

    Full description at Econpapers || Download paper

  42. Are deep parameters stable? the Lucas critique as an empirical hypothesis. (1999). Fuhrer, Jeffrey ; Estrella, Arturo.
    In: Working Papers.
    RePEc:fip:fedbwp:99-4.

    Full description at Econpapers || Download paper

  43. Sticky-Price Models of the Business Cycle: Specification and Stability. (1999). Ireland, Peter.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:426.

    Full description at Econpapers || Download paper

  44. A Method for Taking Models to the Data. (1999). Ireland, Peter.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:421.

    Full description at Econpapers || Download paper

  45. The Lucas critique revisited assessing the stability of empirical Euler equations for investment. (1996). Sichel, Daniel ; Rudebusch, Glenn ; Oliner, Stephen.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:70:y:1996:i:1:p:291-316.

    Full description at Econpapers || Download paper

  46. La méthode des moments généralisés et ses extensions : théorie et applications en macro-économie. (1995). Langot, Francois ; Fève, Patrick ; Feve, Patrick.
    In: Économie et Prévision.
    RePEc:prs:ecoprv:ecop_0249-4744_1995_num_119_3_5737.

    Full description at Econpapers || Download paper

  47. The Demand for Red Meats and Related Foods in Canada. (1992). Veeman, Michele M ; Chen, Peter Y.
    In: Project Report Series.
    RePEc:ags:ualbpr:232276.

    Full description at Econpapers || Download paper

  48. The Production Smoothing Model is Alive and Well. (1989). Fair, Ray.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:2877.

    Full description at Econpapers || Download paper

  49. A forward-looking multicountry model: MX3. (1989). Gagnon, Joseph.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:359.

    Full description at Econpapers || Download paper

  50. Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation. (1988). , Donald.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:877.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-30 00:37:38 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.