Disentangling diverse measures: a survey of financial stress indexes

By Kevin L. Kliesen, Michael T. Owyang, E. K. Vermann. 2012

157 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/2c1c06dd2d3c0c7c2f90f20d55566eee82e89470

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Thibaut Duprey
2. Benjamin Klaus
3. Tuomas A. Peltonen

In Finance

1. Thibaut Duprey
2. Benjamin Klaus
3. Tuomas A. Peltonen

Citations in the corpus

• The Real Consequences of Financial Stress (2013, unknown): “Kliesen et al. (2012) analyze and compare eleven alternative measures for the U.S. that are constructed from different subsets of altogether 109 fundamental variables.”
• Dating systemic financial stress episodes in the EU countries (2017, methodology): “While there are various ways of standardisation with specific advantages and disadvantages (Kliesen et al., 2012), we follow the strategy of Hollo et al. (2012) and use the empirical cumulative density function (CDF) computed over an initial window of 10 years that expands progressively to 16We…”