This paper introduces a new generation of Early Warning Systems (EWS) which takes into account dynamics within a system composed by binary variables. We elaborate on Kauppi and Saikonnen (2008), which allows to consider several dynamic specifications and to use an exact maximum likelihood...

This paper proposes a new statistical framework originating from the traditional credit-scoring literature, to evaluate currency crises Early Warning Systems (EWS). Based on an assessment of the predictive power of panel logit and Markov frameworks, the panel logit model is outperforming the...

Using a Threshold Vector Autoregression framework identified via sign restrictions, we answer three questions: First, are fiscal policy shocks regime-dependent? Second, which variables are governing the regime? Third, what are the effects of fiscal policies on the main macroeconomic variables in...

Shrinkage estimators of the covariance matrix are known to improve the stability over time of the Global Minimum Variance Portfolio (GMVP), as they are less error-prone. However, the improvement over the empirical covariance matrix is not optimal for small values of n, the estimation sample...

This paper proposes to investigate the threshold effects of the productivity of infrastructure investment in developing countries within a panel data framework. Various speci.cations of an augmented production function that allow for endogenous thresholds are considered. The overwhelming outcome...

This paper proposes a new duration-based backtesting procedure for VaR forecasts. The GMM test framework proposed by Bontemps (2006) to test for the distributional assumption (i.e., the geometric distribution) is applied to the case of VaR forecast validity. Using simple J-statistics based on...

This paper investigates exceptional phases of stock market cycles. Defined in Pagan and Sossounov (2003) as unusual, they are detected as outliers in the historical distribution. Moreover, this study completes the growing literature on stock market bulls and bears in several aspects. First,it...