Kinlaw, William; Kritzman, Mark; Turkington, David - 2020 - This version: January 15, 2020
The authors introduce a new index of the business cycle that uses the Mahalanobis distance to measure the statistical … as a single index it conveys reliable information about the path of the business cycle. Their index gives an independent … assessment of the business cycle because it is expressed in units of statistical likelihood. And it explicitly accounts for the …