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Real-time Markov switching and leading indicators in times of the financial crisis
Theobald, Thomas - 2012
This paper uses several macroeconomic and financial indicators within a Markov Switching (MS) framework to predict the turning points of the business cycle. The presented model is applied to monthly German real-time data covering the recession and the recovery after the financial crisis. We show...
Persistent link: https://www.econbiz.de/10009616498
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Macroeconomic imbalance procedure (MIP) scoreboard indicators and their predictive strength of "multidimensional crises"
Biegun, Krzysztof; Karwowski, Jacek - In: Equilibrium : quarterly journal of economics and … 15 (2020) 1, pp. 11-28
Persistent link: https://www.econbiz.de/10012259942
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Should we trust in leading indicators? : evidence from the recent recession
Heinisch, Katja; Scheufele, Rolf - 2010
Persistent link: https://www.econbiz.de/10008909736
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The predictability of currency and financial crises
Križanović De Corbavia, Mislav - 2007
Persistent link: https://www.econbiz.de/10003454042
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Forecasting macroeconomic fundamentals in economic crises
Bovi, Maurizio; Cerqueti, Roy - In: Operations research confronting the crisis, (pp. 451-469). 2016
Persistent link: https://www.econbiz.de/10011589832
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Should we trust in leading indicators? : evidence from the recent recession
Heinisch, Katja; Scheufele, Rolf - 2010
-of-sample Instabilitätstests Auskunft über die Stabilität der Prognosemodelle während der aktuellen Finanzkrise. Es wird gezeigt, dass nur wenige …
Persistent link: https://www.econbiz.de/10003961067
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Quantification of model risk in stress testing and scenario analysis
Skoglund, Jimmy - In: The journal of risk model validation 13 (2019) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10012020265
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Forecasting financial crises by applying the "Temple Model of Financial Crises" against the background of the Indonesian experience
Imansyah, Muhammad Handry; Kammel, Armin J. - In: Economics and finance in Indonesia : EFI 57 (2009) 3, pp. 277-306
Persistent link: https://www.econbiz.de/10003969413
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An empirical approach to financial crisis indicators based on random matrices
Douady, Raphaël; Kornprobst, Antoine - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-19
Persistent link: https://www.econbiz.de/10011889477