New answers tagged economics
There is also a related question on the economics stack: http://economics.stackexchange.com/questions/4679/what-are-some-good-repositories-for-economic-data Answers from there: The American Economic Association has a list of resources for Economists, including a page for data. There you find links to many institutions that offer all kinds of data, as well ...
There are quite a few ways to compute this. Refer to The Yield Curve as a Leading Indicator, An Economic Characterization of Business Cycle Dynamics with Factor Structure and Regime Switching, and Smoothed U.S. Recession Probabilities. These are used in academic and by practitioners alike.
I think one should start with the basic Asset Pricing papers such as: Mehra and Prescott 1985; Campbell and Cochrane 1999; Bansal and Yaron 2004; Most of the models are then variations of these in one way or another. Some other more complex but potentially interesting are on intermediation. Some authors provide codes. Take a look for instance ...
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