Warning of Financial Crises Based on Proportional Hazard Model
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Abstract:
Four main warning models including FR, STV, KLR, and DCSD are used to study and construct the warning system of financial crises, and these models having some particular require to data makes it difficult to apply and insufficiency of forecasting ability. Using proportional hazard model brought forward by Cox and Oakes, the paper constructs an early-warning model of financial crises, and demonstrates 13 variables one -year before financial crises. The verifying of this model deems it good to warn the financial crises.
