We develop a forecasting model of GDP growth that features regime-switching behavior and an error-correction mechanism (ECM). Regime changes are manifested in the behavior of a stochastic regime drift component that moves between expansionary and contractionary phases, thus generating cycles in...

The steadily growing access to high-quality spatio-temporal crime count data with a high level of spatial detail allows to uncover interesting relationships between crime types within and between small regional units. Data coherent forecasting of such counts has to take the integer and...

In this paper, we propose a hybrid version of Dynamic Stochastic General Equilibrium models with an emphasis on parameter invariance and tracking performance at times of rapid changes (recessions). We interpret hypothetical balanced growth ratios as moving targets for economic agents that rely...

We propose a novel dynamic approach to forecast the weights of the global minimum variance portfolio (GMVP). The GMVP weights are the population coefficients of a linear regression of a benchmark return on a vector of return differences. This representation enables us to derive a consistent loss...

We propose a novel dynamic approach to forecast the weights of the global minimum variance portfolio (GMVP). The GMVP weights are the population coefficients of a linear regression of a benchmark return on a vector of return differences. This representation enables us to derive a consistent loss...