Similar Search Results

Elements in the Design of an Early Warning System for Sovereign Default

Fuertes, Ana-Maria; Kalotychou, Elena - Society for Computational Economics - SCE - 2004

This paper utilizes two different classification techniques to explore issues in the development of an early warning system for sovereign default. Specifically, the paper develops K-means clustering and logit models to illustrate how the optimal choice of parameters, such as assignment rule of...

Persistent link: https://www.econbiz.de/10005345295

Can Miracles Lead to Crises? An Informational Frictions Explanation of Emerging Markets Crises

Boz, Emine - Society for Computational Economics - SCE - 2006

Emerging market financial crises are abrupt and dramatic, usually occurring after a period of high output growth, massive capital flows, and a boom in asset markets. This paper develops an equilibrium asset pricing model with informational frictions in which vulnerability and the crisis itself...

Persistent link: https://www.econbiz.de/10005706247

The Non-Linearity of the Financial Accelerator

Natalucci, Fabio; Levin, Andrew - Society for Computational Economics - SCE - 2003

Persistent link: https://www.econbiz.de/10005537818

Forecasting stock prices using Genetic Programming and Chance Discovery

Garcia-Almanza, Alma Lilia; Tsang, Edward P.K. - Society for Computational Economics - SCE - 2006

In recent years the computers have shown to be a powerful tool in financial forecasting. Many machine learning …

Persistent link: https://www.econbiz.de/10005342917

A Unified Copula Framework for VaR forecasting

Fantazzini, Dean; Carta, Alessandro; DeGiuli, Elena Maria - Society for Computational Economics - SCE - 2006

This paper examines different multivariate models to evaluate what are the main determinants when doing VaR forecasts for a portfolio of assets. To achieve this goal, we unify past multivariate models by using a general copula framework and we propose many new extensions. We differentiate the...

Persistent link: https://www.econbiz.de/10005342981

Forecasting Chilean Industrial Production and Sales with Automated Procedures

CHUMACERO, ROMULO A. - Society for Computational Economics - SCE - 2004

This paper presents a rigurous framework for evaluating alternative forecasting methods for Chilean industrial … production and sales. While nonlinear features appear to be important for forecasting the very short term, simple univariate … linear models perform about as well for almost every forecasting horizon …

Persistent link: https://www.econbiz.de/10005345252

A DSGE-VAR for the Euro Area

Negro, Marco Del; Schorfheide, Frank - Society for Computational Economics - SCE - 2004

This paper uses a modified version of the DSGE model estimated in Smets and Wouters (2003) to generate a prior distribution for a vector autoregression, following the approach in Del Negro and Schorfheide (2003). This DSGE-VAR is fitted to Euro area data on GDP, consumption, investment, nominal...

Persistent link: https://www.econbiz.de/10005345303

Factor based leading indicators for euro area business cycle: A comparative assessment

Angelini; Henry; Mestre - Society for Computational Economics - SCE - 2003

Persistent link: https://www.econbiz.de/10005345656

Forecasting Demand for Natural Gas Using GP-Econometric Integrated Systems

Kaboudan, M. A. - Society for Computational Economics - SCE - 2003

Persistent link: https://www.econbiz.de/10005345733

Forecasting VARMA processes: VAR models vs. subspace-based state space models

Izquierdo, Segismundo; Hernandez, Cesareo; Hoyo, Juan del - Society for Computational Economics - SCE - 2006

state space models obtained by the CCA subspace algorithm, including a density forecasting analysis …

Persistent link: https://www.econbiz.de/10005706234