A Bayesian method to detect structural changes in multivariate dynamic linear model is introduced and it is applied to predicting and dating the turns in business cycle. As many researchers use for business cycle analysis, the composite leading index (CLI) and the composite coincident index...

In this study we examine the long term behavior of stock returns. The analysis reveals that negative autocorrelations of the returns exist for a super-long horizon as long as 10 years. This pattern, however, contrasts to predictions of previous stock price models which include random walks. We...

The repeated occurrences of interventions in observations make most forecasting models fail to produce appropriate forecasts. The purpose of this study is to propose the adaptive forecasting procedure based on sequential identifications of interventions and adjusting forecast to them in general...