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Early warning systems for sovereign debt crises: The role of heterogeneity · Study

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ArticleEarly warning systems for sovereign debt crises: The role of heterogeneity

Ana-Marı́a Fuertes2006

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Articlegreen2006

Early warning systems for sovereign debt crises: The role of heterogeneity

Ana-Marı́a Fuertes · Elena Kalotychou

83 citations·0/0 files stored·Computational Statistics & Data Analysis

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Global Financial Crisis and Policies Credit Risk and Financial Regulations Financial Distress and Bankruptcy Prediction

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References

2021Econometric Analysis of Panel Data 1994Comparing Predictive Accuracy 1995Estimating long-run relationships from dynamic heterogeneous panels 1981Debt with Potential Repudiation: Theoretical and Empirical Analysis 2005Does financial liberalization spur growth?1992A Simple Nonparametric Test of Predictive Performance 1998Forecasting Economic Time Series 1996Determinants and Impact of Sovereign Credit Ratings

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2020The leverage ratio, risk-taking and bank stability 2013Fitting and Forecasting Sovereign Defaults using Multiple Risk Signals 2010Statistical merging of rating models 2011Macro-Financial Vulnerabilities and Future Financial Stress - Assessing Systemic Risks and Predicting Systemic Events 2018The Leverage Ratio, Risk-Taking and Bank Stability 2015Interconnectedness of the Banking Sector as a Vulnerability to Crises

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2006Optimal design of early warning systems for sovereign debt crisesarticle · 9 shared references 2013Fitting and Forecasting Sovereign Defaults using Multiple Risk Signalsarticle · 8 shared references 2012MULTIDIMENSIONAL DISTANCE‐TO‐COLLAPSE POINT AND SOVEREIGN DEFAULT PREDICTIONarticle · 7 shared references 2007Estimating Default Probabilities of Emerging Market Sovereigns: A New Look at a Not-so-New Literaturepreprint · 6 shared references 2013Forecasting Binary Outcomeschapter · 6 shared references 2013Analyzing determinants of bond yield spreads with Bayesian Model Averagingarticle · 6 shared references

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Year2006

Typearticle

Published2006-09-13

VenueComputational Statistics & Data Analysis

ISSN-L0167-9473

Languageen

Citations83

Files0 public / 0

ShelfGlobal Financial Crisis and Policies

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doi10.1016/j.csda.2006.08.023

openalex_workW1993371202

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2021

Predicting financial crises with machine learning methods

2015Toward Robust Early-Warning Models: A Horse Race, Ensembles and Model Uncertainty