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Forecasting financial crises and contagion in Asia using dynamic factor analysis

Cipollini, Andrea; Kapetanios, George - In: Journal of empirical finance 16 (2009) 2, pp. 188-200

Persistent link: https://www.econbiz.de/10003839250

Fiscal readjustment in the United States : a nonlinear time-series analysis

Cipollini, Andrea; Fattouh, Bassam; Muratidēs, Kōstas - In: Economic inquiry : journal of the Western Economic … 47 (2009) 1, pp. 34-54

Persistent link: https://www.econbiz.de/10003821064

Leading indicator properties of US high-yield credit spreads

Aslanidis, Nektarios; Cipollini, Andrea - In: Journal of macroeconomics 32 (2010) 1, pp. 145-156

Persistent link: https://www.econbiz.de/10003975858

Financial distress and real economic activity in Lithuania : a Granger causality test based on mixed-frequency VAR

Cipollini, Andrea; Mikaliunaite, Ieva - In: Empirical economics : a quarterly journal of the … 61 (2021) 2, pp. 855-881

Persistent link: https://www.econbiz.de/10012616911

Predicting bond betas using macro-finance variables

Aslanidis, Nektarios; Christiansen, Charlotte; … - In: Finance research letters 29 (2019), pp. 193-199

Persistent link: https://www.econbiz.de/10012418702

Predicting bond betas using macro-finance variables

Aslanidis, Nektarios; Christiansen, Charlotte; … - 2017

Persistent link: https://www.econbiz.de/10011587625

Asymmetric semi-volatility spillover effects in EMU stock markets

Caloia, Francesco Giuseppe; Cipollini, Andrea; … - In: International review of financial analysis 57 (2018), pp. 221-230

Persistent link: https://www.econbiz.de/10012006352

How do normalization schemes affect net spillovers? : a replication of the Diebold and Yilmaz (2012) study

Caloia, Francesco Giuseppe; Cipollini, Andrea; … - In: Energy economics 84 (2019), pp. 1-13

Persistent link: https://www.econbiz.de/10012183350

Forecasting Financial Crises and Contagion in Asia Using Dynamic Factor Analysis

Cipollini, Andrea; Kapetanios, George - 2009

In this paper we use principal components analysis to obtain vulnerability indicators able to predict financial turmoil. Probit modelling through principal components and also stochastic simulation of a Dynamic Factor model are used to produce the corresponding probability forecasts regarding...

Persistent link: https://www.econbiz.de/10014062777

Testing for strict stationarity in financial variables

Kapetanios, George - In: Journal of banking & finance 33 (2009) 12, pp. 2346-2362

Persistent link: https://www.econbiz.de/10003905582

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