A Non Parametric Study of the Volatility of the Economy as a Country Risk Predictor

Details A Non Parametric Study of the Volatility of the Economy as a Country Risk Predictor A Non Parametric Study of the Volatility of the Economy as a Country Risk Predictor

2007-08-26

arxiv.org/abs/0708.3464v1

Computer Science

Computational Engineering, Finance, and Science

Scientific paper

This paper intends to explain Venezuela's country spread behavior through the Neural Networks analysis of a monthly economic activity general index of economic indicators constructed by the Central Bank of Venezuela, a measure of the shocks affecting country risk of emerging markets and the U.S. short term interest rate. The use of non parametric methods allowed the finding of non linear relationship between these inputs and the country risk. The networks performance was evaluated using the method of excess predictability.

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