Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
958689 | Journal of Empirical Finance | 2009 | 13 Pages |
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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
A. Cipollini, G. Kapetanios,