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What is Financial Stress Index Construction Methods about?

This document proposes several methods for constructing financial stress indexes (FSIs) to help predict economic downturns and recessions. It evaluates previously used FSIs and proposes alternatives based on principal component analysis, clustering algorithms, and logistic regression. The constructed FSIs will be modeled with autoregressive and heterogeneous autoregressive models and evaluated both in-sample and out-of-sample to determine the best performing index.

Author

Ra

Language

EN