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Predicting financial stress events : a signal extraction approach
Christensen, Ian; Li, Fuchun - 2014
indicator. In-sample forecasting results indicate that the three composite indicators are useful tools for predicting financial … stress events. The out-of-sample forecasting results suggest that for most countries, including Canada, the weighted …
Persistent link: https://www.econbiz.de/10010400740
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A semiparametric early warning model of financial stress events
Christensen, Ian; Li, Fuchun - 2013
The authors use the Financial Stress Index created by the International Monetary Fund to predict the likelihood of financial stress events for five developed countries: Canada, France, Germany, the United Kingdom and the United States. They use a semiparametric panel data model with...
Persistent link: https://www.econbiz.de/10009742333