a b s t r a c t The popular NelsonSiegel [Nelson, C.R., Siegel, A.F., 1987. Parsimonious modeling of yield curves. Journal of Business 60, 473489] yield curve is routinely fit to cross sections of intra-country bond yields, and DieboldLi [...
a b s t r a c t This paper considers Bayesian regression with normal and double-exponential priors as forecasting methods based on large panels of time series. We show that, empirically, these forecasts are highly correlated with principal...
a b s t r a c t This paper studies two refinements to the method of factor forecasting. First, we consider the method of quadratic principal components that allows the link function between the predictors and the factors to be non-linear....
a b s t r a c t We investigate the time series properties of a volatility model, whose conditional variance is specified as in ARCH with an additional persistent covariate. The included covariate is assumed to be an integrated or nearly in...
a b s t r a c t Over the last four decades, a large number of structural models have been developed to estimate and price credit risk. The focus of the paper is on a neglected issue pertaining to fundamental shifts in the structural parame...
a b s t r a c t The BeveridgeNelson (BN) decomposition is a model-based method for decomposing time series into permanent and transitory components. When constructed from an ARIMA model, it is closely related to decompositions based on uno...
a b s t r a c t We show that, for a class of univariate and multivariate Markov-switching models, exact calculation of the BeveridgeNelson (BN) trend/cycle components is possible. The key to exact BN trend/cycle decomposition is to recogni...
a b s t r a c t Exchange rate forecasting is hard and the seminal result of Meese and Rogoff [Meese, R., Rogoff, K., 1983. Empirical exchange rate models of the seventies: Do they fit out of sample? Journal of International Economics 14, 3...
a b s t r a c t Inference for multiple-equation Markov-chain models raises a number of difficulties that are unlikely to appear in smaller models. Our framework allows for many regimes in the transition matrix, without letting the number o...
a b s t r a c t We present a new approach to trend/cycle decomposition of time series that follow regime- switching processes. The proposed approach, which we label the ``regime-dependent steady-state'' (RDSS) decomposition, is motivated a...
