Nicolò, Gianni De; Lucchetta, Marcella - CESifo - 2015
. This paper presents an early warning system as a set of multi-period forecasts of indicators of tail real and financial … (systemic) risks. Forecasts are obtained from: (a) autoregressive and factor-augmented VARs with linear GARCH volatility (FAVARs … the period 1972:1-2014:12 to forecasts our tail risk indicators with each model in pseudo-real time. Our key finding is …