Predicting recessions using trends in the yield spread

DOI10.1080/02664763.2018.1537364MaRDI QIDQ5036586zbMATH OpenOpenAlexWikidataFDO

Authors Steven E. Kozlowski, Thaddeus Sim

Publication date 23 February 2022

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02664763.2018.1537364

zbMATH Keywords

artificial neural networksclassificationcross-validationforecastinglogistic regression

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

Recommendations

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Cites work

• Consistent cross-validatory model-selection for dependent data: hv-block cross-validation
• Monitoring cyclical processes. A non-parametric approach
• Signaling NBER turning points: a sequential approach

Cited in

(4)

• The term spread as a monthly cyclical indicator: An evaluation
• Predicting a recession: Evidence from the yield curve in the presence of structural breaks
• PREDICTING RETURNS IN US TREASURIES: DO TENTS MATTER?
• FORECASTING STOCK MARKET CRASHES VIA REAL-TIME RECESSION PROBABILITIES: A QUANTUM COMPUTING APPROACH

Describes a project that uses

Uses Software

• neuralnet

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