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 the currency crisis events affecting a number of East Asian countries during the 1997-1998 period. The principal components model improves upon a number of competing models, in terms of out-of-sample forecasting performance.

Kapetanios, G., Cipollini, A. (2009). Forecasting financial crises and contagion in Asia using dynamic factor analysis. JOURNAL OF EMPIRICAL FINANCE, 16 [10.1016/j.jempfin.2008.10.004].

Forecasting financial crises and contagion in Asia using dynamic factor analysis

CIPOLLINI, Andrea
2009-01-01

Abstract

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 the currency crisis events affecting a number of East Asian countries during the 1997-1998 period. The principal components model improves upon a number of competing models, in terms of out-of-sample forecasting performance.
Kapetanios, G., Cipollini, A. (2009). Forecasting financial crises and contagion in Asia using dynamic factor analysis. JOURNAL OF EMPIRICAL FINANCE, 16 [10.1016/j.jempfin.2008.10.004].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10447/101438
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