Sensoy, Ahmet; Ozturk, Kevser; Hacihasanoglu, Erk - In: Finance Research Letters 11 (2014) 4, pp. 410-419
This article proposes a novel framework to construct a financial fragility index (FIX) of an emerging country from five main variables by combining the methods of principal component analysis and dynamic conditional correlations. The main contribution of the FIX is the time-varying weighting...