This paper uses a two-step approach to characterize the evolution of US macroeconomic and financial variables during episodes of very high uncertainty. First, we identify[...]

In recent years there has been an increased interest in the link between financial markets and oil markets, including the question of whether financial market information[...]

The substantial variation in the real price of oil since 2003 has renewed interest in the question of how to forecast monthly and quarterly oil prices. There also has bee[...]

We first propose a novel methodology for identifying episodes of strong equity and bond flows using estimates from a regime‐switching model that keeps context‐ and sample[...]

This paper documents time-variation in the relation between oil price and US equity returns based on both reduced-form and structural analyses. Our reduced-form analysis [...]

This article introduces a new regression model-Markov-switching mixed data sampling (MS-MIDAS)- that incorporates regime changes in the parameters of the mixed data sampl[...]

This paper introduces regime switching parameters to the Mixed-Frequency VAR model. We begin by discussing estimation and inference for Markov-switching Mixed-Frequency V[...]

This paper introduces new weighting schemes for model averaging when one is interested in combining discrete forecasts from competing Markov-switching models. In the empi[...]

This paper introduces new weighting schemes for model averaging when one is interested in combining discrete forecasts from competing Markov-switching models. In particul[...]

This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance and allow for possible switches in the risk-return re[...]