We propose a new approach for detecting turning points and forecasting the level of economic activity in the business cycle. We make use of coincident indicators and of nonlinear and non-Gaussian latent variable models. We thus combine the ability of nonlinear models to capture the asymmetric...

This paper deals with the k-factor extension of the long memory Gegenbauer process proposed by Gray et al. (1989). We give the analytic expression of the prediction function derived from this long memory process and provide the h-step-ahead prediction error when parameters are either known or...