We study the informational content of factor structures in discrete triangular systems. Factor structures have been employed in a variety of settings in cross-sectional and panel data models, and in this chapter we formally quantify their identifying power in a bivariate system often employed in...

This paper proposes an approach to predict states (states of tranquillity and turbulence) for a financial instrument in a one-day horizon. The prediction is made using 3 different models for a binary variable (LOGIT, PROBIT, CLOGLOG), 4 definitions of a dependent variable (1%, 5%, 10%, 20% of...