In a Markov switching framework, we show that the duration of recessions is significantly shorter than the duration of expansions in 11 manufacturing sectors, and aggregate durables and manufacturing output. We find two leading indicators, consumer expectations and the term spread, act as...

We compare several models for Bear Stearns' credit default swap spreads estimated via a Markov chain Monte Carlo algorithm. The Bayes Factor selects a CKLS model with GARCH-EPD errors as the best model. This model captures the volatility clustering and extreme tail returns of the swaps during...