论文标题
危机是可以预见的吗？对货币和股票市场预警系统的审查
Are Crises Predictable? A Review of the Early Warning Systems in Currency and Stock Markets
论文作者
论文摘要
通过综合审查和比较预警模型的完整混合物，探索和扩展危机可预测性的研究努力：危机识别和预测模型。 Given empirical results on Chinese currency and stock markets, three-strata findings are concluded as (i) the SWARCH model conditional on an elastic thresholding methodology can most accurately classify crisis observations and greatly contribute to boosting the predicting precision, (ii) stylized machine learning models are preferred given higher precision in predicting and greater benefit in practicing, (iii) leading factors sign the crisis in a diversified way for different types of markets和多样化的预测期。
The study efforts to explore and extend the crisis predictability by synthetically reviewing and comparing a full mixture of early warning models into two constitutions: crisis identifications and predictive models. Given empirical results on Chinese currency and stock markets, three-strata findings are concluded as (i) the SWARCH model conditional on an elastic thresholding methodology can most accurately classify crisis observations and greatly contribute to boosting the predicting precision, (ii) stylized machine learning models are preferred given higher precision in predicting and greater benefit in practicing, (iii) leading factors sign the crisis in a diversified way for different types of markets and varied prediction periods.
