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Forecasting financial crises and contagion in Asia using dynamic factor analysis
Cipollini, A.; Kapetanios, G. - In: Journal of Empirical Finance 16 (2009) 2, pp. 188-200
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/10005198996
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A stochastic variance factor model for large datasets and an application to S&P data
Cipollini, Andrea (contributor);  … - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001920657
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A dynamic factor analysis of financial contagion in Asia
Cipollini, Andrea (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001868040
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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
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Forecasting financial crises and contagion in Asia using dynamic factor analysis
Cipollini, Andrea (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002808222
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A stochastic variance factor model for large datasets and an application to S&P data
Cipollini, Andrea; Kapetanios, George - In: Economics letters 100 (2008) 1, pp. 130-134
Persistent link: https://www.econbiz.de/10003747500
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Forecasting financial crises and contagion in Asia using dynamic factor analysis
Cipollini, A.; Kapetanios, G. - In: Journal of empirical finance 16 (2009) 2, pp. 188-200
Persistent link: https://www.econbiz.de/10008172664
Cover Image
A stochastic variance factor model for large datasets and an application to S&P data
Cipollini, A.; Kapetanios, G. - In: Economics letters 100 (2008) 1, pp. 130-134
Persistent link: https://www.econbiz.de/10008057561
Cover Image
A stochastic variance factor model for large datasets and an application to S&P data
Cipollini, A.; Kapetanios, G. - In: Economics letters 100 (2008) 1, pp. 130-135
Persistent link: https://www.econbiz.de/10008893305
Cover Image
Forecasting financial crises and contagion in Asia using dynamic factor analysis
Cipollini, A.; Kapetanios, G. - In: Journal of empirical finance 16 (2009) 2, pp. 188-201
Persistent link: https://www.econbiz.de/10008896133