Algorithmic Modelling of Financial Conditions for Macro Predictive Purposes: Pilot Application to USA Data
(2022)
Journal Article
Qin, D., van Huellen, S., Wang, Q. C., & Moraitis, T. (2022). Algorithmic Modelling of Financial Conditions for Macro Predictive Purposes: Pilot Application to USA Data. Econometrics, 10(2), Article e22. https://doi.org/10.3390/econometrics10020022
Aggregate financial conditions indices (FCIs) are constructed to fulfil two aims: (i) The FCIs should resemble non-model-based composite indices in that their composition is adequately invariant for concatenation during regular updates; (ii) the conc... Read More about Algorithmic Modelling of Financial Conditions for Macro Predictive Purposes: Pilot Application to USA Data.