Open AccessA Financial Stability Index for Israel
Author(s) -
Vadim Arzamasov,
Henry Penikas
Publication year - 2014
Publication title -
procedia computer science
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.334
H-Index - 76
ISSN - 1877-0509
DOI - 10.1016/j.procs.2014.05.351
Subject(s) - computer science , index (typography) , stability (learning theory) , finance , world wide web , machine learning , business
An integral financial stability index is constructed using Israel macroeconomic data. Approaches relying on the use of dependent variable as well as principal component method and its modifications are examined. Obtained indexes are compared in terms of their forecast quality. In the case of no dependent variable the influence of structural shift is analyzed
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