We propose new forecast combination schemes for predicting turning points of business cycles. The combination schemes deal with the forecasting performance of a given set of models and possibly providing better turning point predictions. We consider turning point predictions generated by...

We propose a new Bayesian Markov switching regression model for multi-dimensional arrays (tensors) of binary time series. We assume a zero-inflated logit dynamics with time-varying parameters and apply it to multi-layer temporal networks. The original contribution is threefold. First, in order...

We propose a Markov Switching Graphical Seemingly Unrelated Regression (MS-GSUR) model to investigate time-varying systemic risk based on a range of multi-factor asset pricing models. Methodologically, we develop a Markov Chain Monte Carlo (MCMC) scheme in which latent states are identified on...

This paper examines the impact of climate shocks on 13 European economies analysing jointly business and financial cycles, in different phases and disentangling the effects for different sector channels. A Bayesian Panel Markov-switching framework is proposed to jointly estimate the impact of...

We propose new forecast combination schemes for predicting turning points of business cycles. The combination schemes deal with the forecasting performance of a given set of models and possibly providing better turning point predictions. We consider turning point predictions generated by...

We propose new forecast combination schemes for predicting turning points of business cycles. The combination schemes deal with the forecasting performance of a given set of models and possibly providing better turning point predictions. We consider turning point predictions generated by...

We develop efficient simulation techniques for Bayesian inference on switching GARCH models. Our contribution to existing literature is manifold. First, we discuss different multi-move sampling techniques for Markov Switching (MS) state space models with particular attention to MS-GARCH models....

This paper is devoted to show duality in the estimation of Markov Switching (MS) processes for volatility. It is well-known that MS-GARCH models suffer of path dependence which makes the estimation step unfeasible with usual Maximum Likelihood procedure. However, by rewriting the MS-GARCH model...