Dynamic Probit Models and Financial Variables in Recession Forecasting

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Forecasting the direction of the US stock market with dynamic binary probit models (2011, methodology): “Using dynamic probit models, Nyberg (2008) also suggests that the foreign term spread (the term spread of Germany) and stock market returns can be used to forecast coming recession periods.5 In that study, the obtained recession forecasts were quite accurate at least six months ahead.”
Modeling and forecasting multivariate electricity price spikes (2016, background): “Examples are Dueker (1997), Kauppi and Saikkonen (2008) and Nyberg (2010) who apply dynamic binary choice models to the problem of modeling and forecasting recessions, Eichengreen et al. (1985) who model bank rate policy, or Eichler et al. (2014) who use a variation of the model of Kauppi and…”