In this paper we use principal components analysis to obtain vulnerability indicators able to predict financial turmoil. Probit modelling through principal components and also stochastic simulation of a Dynamic Factor model are used to produce the corresponding probability forecasts regarding the currency crisis events affecting a number of East Asian countries during the 1997-1998 period. The principal components model improves upon a number of competing models, in terms of out-of-sample forecasting performance.
Forecasting financial crises and contagion in Asia using dynamic factor analysis / Cipollini, Andrea; Kapetanios, G.. - In: JOURNAL OF EMPIRICAL FINANCE. - ISSN 0927-5398. - STAMPA. - 16:2(2009), pp. 188-200. [10.1016/j.jempfin.2008.10.004]
Forecasting financial crises and contagion in Asia using dynamic factor analysis
CIPOLLINI, Andrea;
2009
Abstract
In this paper we use principal components analysis to obtain vulnerability indicators able to predict financial turmoil. Probit modelling through principal components and also stochastic simulation of a Dynamic Factor model are used to produce the corresponding probability forecasts regarding the currency crisis events affecting a number of East Asian countries during the 1997-1998 period. The principal components model improves upon a number of competing models, in terms of out-of-sample forecasting performance.File | Dimensione | Formato | |
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