Stata code for "Time-varying Z-score measures for bank insolvency risk: best practice"
Published: 23 June 2023| Version 3 | DOI: 10.17632/8ndw92bz8k.3
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This Stata code, which accompanies our paper "Time-varying Z-score measures for bank insolvency risk: best practice", calculates exponentially weighted mean and variance for a set of decay factors; it also outputs the 3-period moving average/variance (fast code).
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Financial Economics