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Ridge type shrinkage estimation of seemingly unrelated regressions and analytics of economic and financial data from "Fragile Five" countries

Yüzbaşı, Bahadır; Ahmed, Syed E. - In: Journal of Risk and Financial Management 13 (2020) 6, pp. 1-19

In this paper, we suggest improved estimation strategies based on preliminarily test and shrinkage principles in a seemingly unrelated regression model when explanatory variables are affected by multicollinearity. To that end, we split the vector regression coefficient of each equation into two...

Persistent link: https://www.econbiz.de/10012611360

Hierarchical time-varying estimation of asset pricing models

Baillie, Richard; Calonaci, Fabio; Kapetanios, George - In: Journal of Risk and Financial Management 15 (2022) 1, pp. 1-26

This paper presents a new hierarchical methodology for estimating multi factor dynamic asset pricing models. The approach is loosely based on the sequential Fama-MacBeth approach and developed in a kernel regression framework. However, the methodology uses a very flexible bandwidth selection...

Persistent link: https://www.econbiz.de/10013201318

Churn management in telecommunications: Hybrid approach using cluster analysis and decision trees

Pejić Bach, Mirjana; Pivar, Jasmina; Jaković, Božidar - In: Journal of Risk and Financial Management 14 (2021) 11, pp. 1-25

structure. The proposed approach is continuous since the results of market segmentation and rules for churn prediction can be …

Persistent link: https://www.econbiz.de/10013201227

Equalizing seasonal time series using artificial neural networks in predicting the Euro-Yuan exchange rate

Vochozka, Marek; Horák, Jakub; Šuleř, Petr - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-17

, while affecting it significantly in the short run. However, prediction of the exchange rate is very complicated. In this …

Persistent link: https://www.econbiz.de/10012611122

Cross-country application of manufacturing failure models

Tomczak, Sebastian Klaudiusz; Staszkiewicz, Piotr - In: Journal of Risk and Financial Management 13 (2020) 2, pp. 1-10

applied in other economies. One of the characteristics of the prediction model is that a date drives the estimation. Thus, the … application of the prediction models to cross-economies' consolidated financial statements is biased. …

Persistent link: https://www.econbiz.de/10012611250

The predictability of the exchange rate when combining machine learning and fundamental models

Zhang, Yuchen; Hamori, Shigeyuki - In: Journal of Risk and Financial Management 13 (2020) 3, pp. 1-16

prediction performance of random walk without drift. More specifically, this paper applies the random forest, support vector …

Persistent link: https://www.econbiz.de/10012611273

Support vector machine methods and artificial neural networks used for the development of bankruptcy prediction models and their comparison

Horák, Jakub; Vrbka, Jaromir; Suler, Petr - In: Journal of Risk and Financial Management 13 (2020) 3, pp. 1-15

Bankruptcy prediction is always a topical issue. The activities of all business entities are directly or indirectly …

Persistent link: https://www.econbiz.de/10012611289

Predictions of crowdfunding campaign success: The influence of first impressions on accuracy and positivity

Schraven, Etienne; van Burg, Elco; van Gelderen, Marco; … - In: Journal of Risk and Financial Management 13 (2020) 12, pp. 1-16

prediction accuracy in both conditions is equal, yet shorter time availability results in assessments that are more negative. We …

Persistent link: https://www.econbiz.de/10012611558

The application of graphic methods and the DEA in predicting the risk of bankruptcy

Štefko, Róbert; Horváthová, Jarmila; Mokrišová, … - In: Journal of Risk and Financial Management 14 (2021) 5, pp. 1-19

The paper deals with the issue of analyzing the financial failure of businesses. The aim was to select key performance indicators entering the DEA model. The research was carried out on a sample of 343 Slovak heat management companies. When addressing the research problem, we made use of...

Persistent link: https://www.econbiz.de/10012611777

Countering cybercrime risks in financial institutions: Forecasting information trends

Kuzior, Aleksandra; Brożek, Paulina; Kuzmenko, Olha; … - In: Journal of Risk and Financial Management 15 (2022) 12, pp. 1-22

This article aims to forecast the information trends related to the most popular cyberattacks, seen as the cyber-crimes' consequences reflecting on the Internet. The study database was formed based on online users' search engine requests regarding the terms "Cyberattacks on the computer systems...

Persistent link: https://www.econbiz.de/10014332769