Predictability is time and frequency dependent. We propose a new forecasting method - forecast combination in the frequency domain - that takes this fact into account. With this method we forecast the equity premium and real GDP growth rate. Combining forecasts in the frequency domain produces...

We propose a novel copula approach to producing density forecasts of economic aggregates combining models using disaggregate data. Our copula approach is more flexible compared to existing techniques, because it is applicable to any econometric model that produces density forecasts. We construct...

This article surveys both earlier and recent research on recession forecasting with probit based time series models. Most studies use either a static probit model or its extensions in order toestimate the recession probabilities, while others use models based on a latent variable ap-proach to...

We look for a forecasting model for private investments in Finland. As explanatory variables, we use different proxies of Tobin's Q and cash flow as well as these series decomposed to different frequency components. The forecasts are produced using OLS and National Accounts and Financial...

We propose an econometric model for predicting the share of bank debt held by bankrupt firms by combining a novel set of firm-level financial variables and macroeconomic indicators. Our firm-level data include payment remarks in the form of debt collections from private agencies and attachments...