This paper develops an efficient approach to model and forecast time-series data with an unknown number of change-points. Using a conjugate prior and conditional on time-invariant parameters, the predictive density and the posterior distribution of the change-points have closed forms. The...

This thesis consists of three essays in empirical finance and macroeconomics. The first essay proposes a new structural-break vector autoregressive model for predicting real output growth by the nominal yield curve. The model allows for the possibility of both in-sample and out-of-sample breaks...

This thesis develops new hidden Markov models and applies them to financial marketand macroeconomic time series.Chapter 1 proposes a probabilistic model of the return distribution with rich andheterogeneous intra-regime dynamics. It focuses on the characteristics and dynamics of bear market...