Forecasting financial crises and contagion in Asia using dynamic factor analysis

Andrea Cipollini, Andrea Cipollini, Kapetanios

Risultato della ricerca: Articlepeer review

11 Citazioni (Scopus)

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.
Lingua originaleEnglish
Numero di pagine13
RivistaJournal of Empirical Finance
Volume16
Stato di pubblicazionePublished - 2009

All Science Journal Classification (ASJC) codes

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