Forecasting U.S. Recessions Using Over 150 Years of Data: Stock-Market Moments versus Oil-Market Moments
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- Bouri, Elie & Gupta, Rangan & Pierdzioch, Christian & Polat, Onur, 2024. "Forecasting U.S. recessions using over 150 years of data: Stock-market moments versus oil-market moments," Finance Research Letters, Elsevier, vol. 69(PB).
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More about this item
Keywords
Recessions; Stock-market and oil-market moments; Forecasting; Shrinkage estimators; AUC statistics;All these keywords.
JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2024-09-02 (Financial Markets)
- NEP-HIS-2024-09-02 (Business, Economic and Financial History)
- NEP-RMG-2024-09-02 (Risk Management)
Statistics
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