Early warning systems for sovereign debt crises: The role of heterogeneity
From MaRDI portal
Publication:1010489
DOI10.1016/J.CSDA.2006.08.023zbMATH Open1157.62552OpenAlexW1993371202MaRDI QIDQ1010489FDOQ1010489
Authors: Elena Kalotychou, Ana-María Fuertes 
Publication date: 6 April 2009
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2006.08.023
Recommendations
- Sovereign rescheduling probabilities in emerging markets: a comparison with credit rating agencies’ ratings
- Sovereign risk in the Euro Area: a multivariate stochastic process approach
- Early warning systems for currency crises with real-time data
- Efficient sovereign default
- Sovereign default: the role of expectations
unobserved heterogeneitycredit riskloss functionemerging marketsdefault probabilitypanel logitpredictive performance
Cites Work
- Panel Data Discrete Choice Models with Lagged Dependent Variables
- Estimating long-run relationships from dynamic heterogeneous panels
- Statistical methods in finance
- Wald Criteria for Jointly Testing Equality and Inequality Restrictions
- Decision-based methods for forecast evaluation
- Early warning systems for sovereign debt crises: The role of heterogeneity
- Unobserved heterogeneity in panel time series models
- On sovereign credit migration: a study of alternative estimators and rating dynamics
Cited In (13)
- Early warning systems for sovereign debt crises: The role of heterogeneity
- Extreme bounds analysis in early warning systems for currency crises
- An apocalypse foretold: climate shocks and sovereign defaults
- Robust analysis of default intensity
- Maximum likelihood estimation of an extended latent Markov model for clustered binary panel data
- Random survival forests models for SME credit risk measurement
- Red signals: current account deficits and sustainability
- Sieve bootstrapt-tests on long-run average parameters
- Sovereign risk zones in Europe during and after the debt crisis
- Early warning systems for currency crises with real-time data
- Sovereign rescheduling probabilities in emerging markets: a comparison with credit rating agencies’ ratings
- Toward robust early-warning models: a horse race, ensembles and model uncertainty
- Structural model of credit migration
This page was built for publication: Early warning systems for sovereign debt crises: The role of heterogeneity
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1010489)
