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

DOI10.1016/j.csda.2006.08.023zbMath1157.62552OpenAlexW1993371202MaRDI QIDQ1010489

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

loss functionpredictive performancecredit riskemerging marketsunobserved heterogeneitydefault probabilitypanel logit

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items

Toward robust early-warning models: a horse race, ensembles and model uncertainty ⋮ Robust analysis of default intensity ⋮ Structural model of credit migration ⋮ Random survival forests models for SME credit risk measurement ⋮ 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 ⋮ Sovereign risk zones in Europe during and after the debt crisis

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