Dijk, Dick van (contributor); … - 2007
including revisions to the GDP growth rates for pre-
vious quarters and several business cycle proxies. This choice is motivated … the state of the business cycle, see also Swanson and
van Dijk (2006). To be precise, in the models for the full revision … t + 1, that is, rt,1t−1,...,rt−4,5t−5 . In addition, as business cycle
proxies we use the S&P500 index return in quarter …