4.6 Article

Early Warning Systems for identifying financial instability

期刊

INTERNATIONAL JOURNAL OF FORECASTING
卷 39, 期 4, 页码 1777-1803

出版社

ELSEVIER
DOI: 10.1016/j.ijforecast.2022.08.004

关键词

Market instability; Non -parametric estimation; Price -volatility feedback rate; Realized variance; Early Warning System

向作者/读者索取更多资源

Financial crises prediction is crucial in finance, and an efficient Early Warning System (EWS) can help prevent significant losses. This study proposes different EWSs based on logit regression and Early Warning Indicators (EWIs) using realized variance (RV) and/or price-volatility feedback rate. The findings suggest that incorporating the price-volatility feedback rate improves the prediction accuracy of future price losses.
Financial crises prediction is an essential topic in finance. Designing an efficient Early Warning System (EWS) can help prevent catastrophic losses resulting from financial crises. We propose different EWSs for predicting potential market instability conditions, where market instability refers to large asset price declines. The EWSs are based on the logit regression and employ Early Warning Indicators (EWIs) based on the realized variance (RV) and/or price-volatility feedback rate. The latter EWI is supposed to describe the ease of the market in absorbing small price perturbations. Our study reveals that, while RV is important in predicting future price losses in a given time series, the EWI employing the price-volatility feedback rate can improve prediction further. (c) 2022 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.

作者

我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。

评论

主要评分

4.6
评分不足

次要评分

新颖性
-
重要性
-
科学严谨性
-
评价这篇论文

推荐

暂无数据
暂无数据