The sovereign debt crisis in the euro area has raised interest in early warning indicators, aimed at signalling the build-up of fiscal stress in advance and helping prevent crises by means of a timely counteraction of fiscal and macroeconomic policies. This paper presents possible improvements...

We propose a modeling framework which allows for creating probability predictions on a future market crash in the medium term, like sometime in the next five days. Our framework draws upon noticeable similarities between stock returns around a financial market crash and seismic activity around...

The paper aims at identifying leading indicators and a suitable EWS model of a currency crisis in Vietnam based on a combination of parametric and non-parametric approach with the EMP index for period 1996-July 2012. The paper found that model in which dependent variable - CC is defined based on...

Despite widespread skepticism concerning the feasibility of building an EWS for the currency crisis, our empirical evidence suggests that the prudent monitoring of the contagion effect as well as key macroeconomic and financial variables is an essential measure to guard against the fragile...

The European debt crisis has revealed serious deficiencies and risks on a proper functioning of the monetary union. Against this backdrop, early warning systems are of crucial importance. In this study that focuses on euro area member states, the robustness of early warning systems to predict...

In this paper I assess the ability of econometric and machine learning techniques to predict fiscal crises out of sample. I show that the econometric approaches used in many policy applications cannot outperform a simple heuristic rule of thumb. Machine learning techniques (elastic net, random...

This study efforts to construct an effective early warning system (EWS) to predict sovereign crises for China and distinguish different levels of leading determinants, such as macro-economic fundamentals and risk transmission factors, impact significance in signaling the volatility quantified...

In several recent studies unit root methods have been used in detection of financial bubbles in asset prices. The basic idea is that fundamental changes in the autocorrelation structure of relevant time series imply the presence of a rational price bubble. We provide cross-country evidence for...