Forecasting Financial Market Vulnerability in the U.S.: A Factor Model Approach
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References listed on IDEAS
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- Hyeongwoo Kim & Hyun Hak Kim & Wen Shi, 2015.
"Forecasting Financial Stress Indices in Korea: A Factor Model Approach,"
2015-30, Economic Research Institute, Bank of Korea.
- Hyeongwoo Kim & Wen Shi & Hyun Hak Kim, 2016. "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," Auburn Economics Working Paper Series auwp2016-10, Department of Economics, Auburn University.
More about this item
KeywordsFinancial Stress Index; Method of the Principal Component; Out-of-Sample Forecast; Ratio of Root Mean Square Prediction Error; Diebold-Mariano-West Statistic;
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
- G01 - Financial Economics - - General - - - Financial Crises
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-FOR-2015-04-11 (Forecasting)
- NEP-MAC-2015-04-11 (Macroeconomics)
- NEP-RMG-2015-04-11 (Risk Management)
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