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A forewarning indicator system for financial crises: the case of six Central and Eastern European countries

Andreou, Irène; Dufrénot, Gilles; Sand-Zantman, Alain; … - HAL - 2009

We propose a measure of the probability of crises associated with an aggregate indicator, where the percentage of false alarms and the proportion of missed signals can be combined to give an appreciation of the vulnerability of an economy. In this perspective, the important issue is not only to...

Persistent link: https://www.econbiz.de/10008791167

A forewarning indicator system for financial crises: the case of six Central and Eastern European countries

Andreou, Irène; Dufrénot, Gilles; Sand-Zantman, Alain; … - HAL - 2007

Persistent link: https://www.econbiz.de/10008792414

How to evaluate an Early Warning System ?

Candelon, Bertrand; Dumitrescu, Elena-Ivona; Hurlin, … - HAL - 2012

This paper proposes an original and uni ed toolbox to evaluate nancial crisis Early Warning Systems (EWS). It presents four main advantages. First, it is a model free method which can be used to asses the forecasts issued from di erent EWS (probit, logit, markov switching models, or combinations...

Persistent link: https://www.econbiz.de/10008793427

Further evidence on the impact of economic news on interest rates

Guegan, Dominique; Ielpo, Florian - HAL - 2007

interpretation and classification of these different shapes. Fourth, we find that the existence of some outliers in the one …

Persistent link: https://www.econbiz.de/10010750499

Realised quantile-based estimation of the integrated variance

Christensen, Kim; Oomen, Roel; Podolskij, Mark - HAL - 2010

. Asymptotically, the quantile-based realised variance is immune to finite activity jumps and outliers in the price series, while in …

Persistent link: https://www.econbiz.de/10010570523

Volatility Persistence in Crude Oil Markets

Charles, Amélie; Darné, Olivier - HAL - 2012

volatility over time. This study assesses the impact of structural changes and outliers on volatility persistence of three crude … volatility model. Secondly, we identify outliers using intervention analysis and conditional heteroscedasticity model. These … announcements on crude inventories. We show that outliers can bias the estimation of the persistence of the volatility. Taking into …

Persistent link: https://www.econbiz.de/10010558719

Realised quantile-based estimation of the integrated variance

Christensen, Kim; Oomen, Roel; Podolskij, Mark - HAL - 2010

. Asymptotically, the quantile-based realised variance is immune to finite activity jumps and outliers in the price series, while in …

Persistent link: https://www.econbiz.de/10010898908

Is this all "Greek" in Europe ? Critical evaluation of the Euro zone policy response to debt crises

Ghani, Shazia - HAL - 2011

Eurozone is going though the worst ever crises since the adoption of the common currency in 1999. In the aftermath of financial crises of 2007, many EU government due to their own fragile banking system and imbalance economic structures persued a debt-spending financing which resulted into a...

Persistent link: https://www.econbiz.de/10009368002

Euro-Crisis and Spillover Effects on the Emerging Economies

Tabarraei, Hamidreza - HAL - 2014

I present some evidence showing that the advanced economies' banks were contributing in spreading the Euro-crisis to the emerging economies. For this purpose, I test the common lender channel among other channels of contagion, by using international banking flows data. Based on a constructed...

Persistent link: https://www.econbiz.de/10010751024

Domestic Debt Structures in Emerging Markets : New Empirical Evidence

Mehl, Arnaud; Reynaud, Julien - HAL - 2008

This paper explains why public domestic debt composition in emerging economies can be risky, namely in foreign currency, with a short maturity or indexed. It analyses empirically the determinants of these risk sources separately, developing a new large dataset compiled from national sources for...

Persistent link: https://www.econbiz.de/10010738563