Please use this identifier to cite or link to this item:
https://hdl.handle.net/20.500.14279/14674
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Fuertes, Ana Maria | - |
dc.contributor.author | Kalotychou, Elena | - |
dc.contributor.other | Καλοτύχου, Έλενα | - |
dc.date.accessioned | 2019-07-23T07:34:24Z | - |
dc.date.available | 2019-07-23T07:34:24Z | - |
dc.date.issued | 2006-11-15 | - |
dc.identifier.citation | Computational Statistics and Data Analysis, 2006, vol. 51, no. 2, pp. 1420-1441 | en_US |
dc.identifier.issn | 01679473 | - |
dc.identifier.uri | https://hdl.handle.net/20.500.14279/14674 | - |
dc.description.abstract | Sovereign default models that differ in their treatment of unobservable country, regional and time heterogeneities are systematically compared. The analysis is based on annual data over the 1983-2002 period for 96 developing economies. Inference-based criteria and parameter plausibility overwhelmingly favour more complex models that allow the link between the probability response and the fundamentals to vary over time and across countries. However, out-of-sample forecast evaluation using several loss functions and equal-predictive-ability tests suggests that simplicity beats complexity. Parsimonious pooled logit models produce the most accurate sovereign default forecasts and outperform the naive benchmarks. | en_US |
dc.format | en_US | |
dc.language.iso | en | en_US |
dc.relation.ispartof | Computational Statistics and Data Analysis | en_US |
dc.rights | © Elsevier | en_US |
dc.rights | Attribution-NonCommercial-NoDerivs 3.0 United States | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/us/ | * |
dc.subject | Credit risk | en_US |
dc.subject | Benchmarking | en_US |
dc.subject | Default probability | en_US |
dc.subject | Loss functions | en_US |
dc.subject | Predictive performance | en_US |
dc.subject | Emerging markets | en_US |
dc.title | Early warning systems for sovereign debt crises: The role of heterogeneity | en_US |
dc.type | Article | en_US |
dc.collaboration | City University London | en_US |
dc.subject.category | Economics and Business | en_US |
dc.journals | Open Access | en_US |
dc.country | United Kingdom | en_US |
dc.subject.field | Social Sciences | en_US |
dc.publication | Peer Reviewed | en_US |
dc.identifier.doi | 10.1016/j.csda.2006.08.023 | en_US |
dc.identifier.scopus | 2-s2.0-33750371006 | - |
dc.identifier.url | https://api.elsevier.com/content/abstract/scopus_id/33750371006 | - |
dc.relation.issue | 2 | en_US |
dc.relation.volume | 51 | en_US |
cut.common.academicyear | 2005-2006 | en_US |
dc.identifier.spage | 1420 | en_US |
dc.identifier.epage | 1441 | en_US |
item.openairetype | article | - |
item.cerifentitytype | Publications | - |
item.languageiso639-1 | en | - |
item.fulltext | No Fulltext | - |
item.openairecristype | http://purl.org/coar/resource_type/c_6501 | - |
item.grantfulltext | none | - |
crisitem.author.dept | Department of Finance, Accounting and Management Science | - |
crisitem.author.faculty | Faculty of Tourism Management, Hospitality and Entrepreneurship | - |
crisitem.author.orcid | 0000-0003-2824-0383 | - |
crisitem.author.parentorg | Faculty of Management and Economics | - |
crisitem.journal.journalissn | 0167-9473 | - |
crisitem.journal.publisher | Elsevier | - |
Appears in Collections: | Άρθρα/Articles |
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