Currency Crises Early Warning Systems: Why They Should Be Dynamic

By Hurlin Christophe, Dumitrescu Elena-Ivona, and Candelon Bertrand
Working Paper Maastricht University (2013)

  • Christophe Hurlin

    University of Orléans

    France

  • Elena-Ivona Dumitrescu

    University Paris Ouest

    France

  • Bertrand Candelon

    Maastricht University

    Netherlands

Created

September 28, 2013

Last update

October 1, 2013

Software

Matlab

Ranking

84

Visits

2394

Downloads

372

Description

This code estimates both static and dynamic Logit and Probit (binary-choice) models. Three types of dynamic models can be considered by including the lagged binary variable (Dynamic_y), the lagged index (Dynamic_π) or both of them (Dynamic_y ; Dy_π) as explanatory variables. A (T,1) binary vector must be specified, as well as a (T,N) matrix of explanatory variables. The user can also choose the lag length, the type of model and select between Logit and Probit specifications. The results include estimated parameters, standard-errors, t-statistics as well as information criteria. The series of estimated probabilities is saved in .csv format.

Backtesting Expected Shortfall via Multi-Quantile Regression

Working Paper (2021)

Couperier Ophélie and Leymarie Jérémy

Estimating The Relation Between Digitalization And The Market Value Of Insurers

Journal of Risk and Insurance (2021)

Fritzsch Simon and Scharner Philipp

Estimating the probability of informed trading: A Bayesian approach

Journal of Banking and Finance (2021)

Griffin Jim, Oberoi Jaideep, and Oduro Samuel

The long term impact of Chilean policy reforms on savings and pensions

Journal of the Economics of Ageing (2021)

Madeira Carlos

2021-02-16

Zip Archive

688

261

13

Market Power and Efficiency in the Iranian Banking Industry

Emerging Markets Finance and Trade (2020)

Haghnejad Amin, Samadi Saeed, Nasrollahi Khadije, Azarbayjani Karim, and Kazemi Iraj

Stock prices, exchange rates and portfolio equity flows: A Toda-Yamamoto Panel Causality Test

Journal of Economic Studies (2019)

Andriansyah Andriansyah

Catch me if you can. Can human observers identify insiders in asset markets?

Journal of Economic Psychology (2018)

Palan Stefan and Stöckl Thomas

Aggregation mechanisms for crowd predictions

Experimental Economics (2019)

Huber Jürgen, Palan Stefan, and Senninger Larissa

Does Investor Risk Perception Drive Asset Prices in Markets? Experimental Evidence.

Journal of Banking and Finance (2019)

Huber Jürgen, Zeisberger Stefan, and Palan Stefan

0 comment

Add comment

You need to log in to post a comment.