Early warning systems for sovereign debt crises: The role of heterogeneity

DOI10.1016/J.CSDA.2006.08.023MaRDI QIDQ1010489zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

credit riskdefault probabilityemerging marketsloss functionpanel logitpredictive performanceunobserved heterogeneity

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cites work

• Decision-based methods for forecast evaluation
• Early warning systems for sovereign debt crises: The role of heterogeneity
• Estimating long-run relationships from dynamic heterogeneous panels
• On sovereign credit migration: a study of alternative estimators and rating dynamics
• Panel Data Discrete Choice Models with Lagged Dependent Variables
• Statistical methods in finance
• Unobserved heterogeneity in panel time series models
• Wald Criteria for Jointly Testing Equality and Inequality Restrictions

Cited in

(13)

• Early warning systems for sovereign debt crises: The role of heterogeneity
• Maximum likelihood estimation of an extended latent Markov model for clustered binary panel data
• Sieve bootstrapt-tests on long-run average parameters
• Robust analysis of default intensity
• Structural model of credit migration
• Red signals: current account deficits and sustainability
• An apocalypse foretold: climate shocks and sovereign defaults
• Early warning systems for currency crises with real-time data
• Extreme bounds analysis in early warning systems for currency crises
• Sovereign rescheduling probabilities in emerging markets: a comparison with credit rating agencies’ ratings
• Random survival forests models for SME credit risk measurement
• Toward robust early-warning models: a horse race, ensembles and model uncertainty
• Sovereign risk zones in Europe during and after the debt crisis

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