Polynomial distributed lag model for stress testing Brazilian financial system
This study aims to propose a polynomial distributed lag model to predict the Brazilian financial system default using macroeconomic variables. This model estimates coefficients that consider lagged effects of the explanatory variables in the response variable. The most commonly used models in stress...
| Main Authors: | , |
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| Format: | Article |
| Language: | Portuguese |
| Published: |
Universidade Federal de Santa Catarina
2019-04-01
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| Series: | Revista de Ciências da Administração : RCA |
| Subjects: | |
| Online Access: | https://periodicos.ufsc.br/index.php/adm/article/view/49165 |