Forecasting Financial Vulnerability in the US: A Factor Model Approach
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- Hyeongwoo Kim & Wen Shi, 2021. "Forecasting financial vulnerability in the USA: A factor model approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(3), pages 439-457, April.
- Hyeongwoo Kim & Wen Shi, 2016. "Forecasting Financial Vulnerability in the US: A Factor Model Approach," Auburn Economics Working Paper Series auwp2016-15, Department of Economics, Auburn University.
- Hyeongwoo Kim & Wen Shi, 2018. "Forecasting Financial Vulnerability in the US: A Factor Model Approach," Auburn Economics Working Paper Series auwp2018-07, Department of Economics, Auburn University.
- Kim, Hyeongwoo & Shi, Wen, 2018. "Forecasting Financial Vulnerability in the US: A Factor Model Approach," MPRA Paper 89766, University Library of Munich, Germany.
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More about this item
Keywords
Financial Stress Index; Method of the Principal Component; Out-of-Sample Forecast; Relative Root Mean Square Prediction Error; Diebold-Mariano-West Statistic; Ordered Probit Model;All these keywords.
JEL classification:
- 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 fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2020-08-10 (Financial Markets)
- NEP-FOR-2020-08-10 (Forecasting)
- NEP-MAC-2020-08-10 (Macroeconomics)
- NEP-ORE-2020-08-10 (Operations Research)
- NEP-RMG-2020-08-10 (Risk Management)
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