Showing 1 - 10 of 16
type="main" xml:id="obes12052-abs-0001" <title type="main">Abstract</title> <p>In this article, we try to realize the best compromise between in-sample goodness of fit and out-of-sample predictability of sovereign defaults. To do this, we use a new regression-tree based approach that signals impending sovereign debt crises...</p>
Persistent link: https://www.econbiz.de/10011202325
This paper employs a recent statistical algorithm (CRAGGING) in order to build an early warning model for banking crises in emerging markets. We perturb our data set many times and create “artificial” samples from which we estimated our model, so that, by construction, it is flexible enough...
Persistent link: https://www.econbiz.de/10010856747
Persistent link: https://www.econbiz.de/10011005866
In this paper we face the fitting versus forecasting paradox with the objective of realizing an optimal Early Warning System to better describe and predict past and future sovereign defaults. We do this by proposing a new Regression Tree-based model that signals a potential crisis whenever...
Persistent link: https://www.econbiz.de/10010591965
We propose a methodology for modeling convergence in the presence of transitional dynamics. We explore the dynamic behavior of the difference between two series by allowing the parameters to change across time without imposing any formulation restrictions, using a threshold approach. We adopt an...
Persistent link: https://www.econbiz.de/10005296831
We develop threshold models that allow volatilities and copula functions or their association parameters to change across time. The number and location of the thresholds is assumed unknown. We use a Markov chain Monte Carlo strategy combined with Laplace estimates that evaluate the required...
Persistent link: https://www.econbiz.de/10010606758
Innovation virtuously impacts on the degree of international growth, which in turn positively influences innovation activities and then firms�™ performance (Filipescu et al., 2009). Many authors have tried to identify and explain the relationship between these two phenomena...
Persistent link: https://www.econbiz.de/10009322343
Suppose a fund manager uses predictors in changing port-folio allocations over time. How does predictability translate into portfolio decisions? To answer this question we derive a new model within the Bayesian framework, where managers are assumed to modulate the systematic risk in part by...
Persistent link: https://www.econbiz.de/10005530881
This study investigates whether domestic managers and their foreign counterparts differ in terms of return patterns over time, and where such difference originates. Reasons of financial sophistication of mutual fund markets lead to the assumption that money managers may behave differently from...
Persistent link: https://www.econbiz.de/10005485220
Based on a Bayesian time-varying beta model, we explore how the systematic risk exposures of hedge funds vary over time conditional on some exogenous variables that managers are assumed to use in changing their trading strategies. Using data from CSFB/Tremont indices over the period January...
Persistent link: https://www.econbiz.de/10010824378