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

DOI10.1002/FOR.2458MaRDI QIDQ4687656zbMATH OpenOpenAlexFDO

Authors 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

financial marketsmultistep forecasting methodprobit modelswitching dynamicsturning points

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(4)

• Forecasts of US short-term interest rates: a flexible forecast combination approach
• FORECASTING BUSINESS CYCLES USING DEVIATIONS FROM LONG-RUN ECONOMIC RELATIONSHIPS
• TOOLS FOR NON-LINEAR TIME SERIES FORECASTING IN ECONOMICS – AN EMPIRICAL COMPARISON OF REGIME SWITCHING VECTOR AUTOREGRESSIVE MODELS AND RECURRENT NEURAL NETWORKS
• Trend and cycle decomposition of Markov switching (co)integrated time series

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