Forecasting US interest rates and business cycle with a nonlinear regime switching VAR model

DOI10.1002/for.2458zbMath1397.62430OpenAlexW2595387061MaRDI QIDQ4687656

Henri Nyberg

Publication date: 12 October 2018

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10138/312741

zbMATH Keywords

probit modelturning pointsfinancial marketsswitching dynamicsmultistep forecasting method

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: hypothesis testing (62M02)

Related Items (1)

Trend and cycle decomposition of Markov switching (co)integrated time series

Cites Work

• Forecasting the term structure of government bond yields
• Approximately normal tests for equal predictive accuracy in nested models
• The macroeconomy and the yield curve: a dynamic latent factor approach
• What does the yield curve tell us about GDP growth?
• Monetary policy regimes and the term structure of interest rates
• Multivariate contemporaneous-threshold autoregressive models
• Business cycle durations
• Markov-switching vector autoregressions. Modelling, statistical inference, and application to business cycle analysis
• Short rate nonlinearities and regime switches.
• Dynamic probit models and financial variables in recession forecasting
• Generalized Autoregressive Moving Average Models
• Asymptotic Inference about Predictive Ability
• Modelling Nonlinear Economic Time Series
• Testing Dependence Among Serially Correlated Multicategory Variables
• Testing the term structure of interest rates using a stationary vector autoregression with regime switching

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