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improves the performance of discrete choice models in forecasting systemic events. Our framework shows a good out …
Persistent link: https://www.econbiz.de/10011605357
improves the performance of discrete choice models in forecasting systemic events. Our framework shows a good out …
Persistent link: https://www.econbiz.de/10013128992
This paper studies how the drivers of portfolio flows change across periods with a model where regression coefficients endogenously change over time in a continuous fashion. The empirical analysis of daily equity portfolio flows to emerging markets shows that the regression coefficients display...
Persistent link: https://www.econbiz.de/10013101120