Billio, Monica; Casarin, Roberto; Costola, Michele; … - Dipartimento di Economia, Università Ca' Foscari Venezia - 2015
The purpose of this paper is the construction of an early warning indicator for systemic risk using entropy measures … industry in the Euro area. We estimate entropy on these measures by considering different definitions (Shannon, Tsallis and … Renyi). Finally, we test if these entropy indicators show forecasting abilities in predicting banking crises. In this regard …