Elena Kalotychou

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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(More)
This paper tackles the design of an optimal early warning system (EWS) for sovereign default from two distinct angles: the choice of the econometric methodology and the evaluation of the EWS itself. It compares K-means clustering of macrodata, a logit regression for macrodata, a logit regression for credit ratings, and the combined forecasts from all three(More)
The paper sets out to explore the factors affecting the credit quality of the Latin American region. Specifically, a logit framework is employed based on macroeconomic and financial data to determine the causes of Latin American debt crises in the last two decades. The analysis uses a modification of the default indicator to explicitly incorporate country(More)
Recent studies have introduced several daily volatility measures based on intraday prices called realised volatility, realised range, realised power variation and realised bipower variation. This paper compares the incremental information of these measures, beyond the daily return information, from a forecasting viewpoint. The comparison is conducted in a(More)
This paper compares the finite-sample properties of sovereign credit migration estimators and investigates the presence of non-Markov effects in the rating process. To this end, we evaluate the conventional discrete multinomial estimator against two continuous hazard rate methods that differ in the treatment of time-homogeneity. Bootstrap simulations of the(More)
The present study unveils the importance of regional characteristics of sovereign debt crises in Latin America and South East Asia. It proposes and empirically corroborates a refinement of the logit approach, for assessing sovereign risk, which draws upon a region-specific parameterization—composite estimator. The analysis identifies some common features of(More)
This paper assesses the value of correlation dynamics in mean-variance asset allocation. A correlation-timing framework is deployed with state of the art models competing against industry correlation-updating rivals and static allocation strategies. We address the extent to which the superior statistical properties of multivariate conditional correlation(More)
We propose a exible dynamic copula with Markov-switching to model the dependence between the iTraxx Europe CDS market and the underlying equity market. The model is able to reproduce extreme return clustering and asymmetry by allowing for two time-varying dependence regimes, low or normal and high or crash, both at the centre and tails of the bivariate(More)
In 2013 all ECB publications feature a motif taken from the €5 banknote. noTe: This Working Paper should not be reported as representing the views of the European Central Bank (ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB. Any reproduction, publication and reprint in the form of a different publication,(More)
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