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Firma Başarısızlığının Dinamiklerinin Belirlenmesinde Makina Öğrenmesi Teknikleri: Ampirik Uygulamalar ve Karşılaştırmalı Analiz
Cakir, Murat - Volkswirtschaftliche Fakultät, … - 2005
Recent financial crises and especially large corporate bankruptcies, have led bank managements and financial authorities to follow and monitor both financial and real sector risks, and to focus on firm failures. Bank of International Settlements, has therefore, taken the decision to include the...
Persistent link: https://www.econbiz.de/10011111559
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Some thoughts on accurate characterization of stock market indexes trends in conditions of nonlinear capital flows during electronic trading at stock exchanges in global capital ma...
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2013
This research represents some thoughts on the accurate characterization of the stock market indexes trends in the conditions of the nonlinear capital flows at the stock exchanges in the global capital markets. We make our original research proposal that the nonlinear capital flows in the process...
Persistent link: https://www.econbiz.de/10011259405
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Beyond location and dispersion models: The Generalized Structural Time Series Model with Applications
Djennad, Abdelmajid; Rigby, Robert; Stasinopoulos, Dimitrios - Volkswirtschaftliche Fakultät, … - 2015
In many settings of empirical interest, time variation in the distribution parameters is important for capturing the dynamic behaviour of time series processes. Although the fitting of heavy tail distributions has become easier due to computational advances, the joint and explicit modelling of...
Persistent link: https://www.econbiz.de/10011201261
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The determinants of the Harare Stock Exchange (HSE) market capitalisation
Ilmolelian, Peter - Volkswirtschaftliche Fakultät, … - 2005
This is an exploratory study that attempts to identify and provide empirical evidence on the possible determinants of the market capitalisation of the Harare Stock Exchange (HSE) with the view of understanding the development prospects of the HSE and other similar markets. The study used...
Persistent link: https://www.econbiz.de/10005787110
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Inflation and Nominal Financial Reporting: Implications for Performance and Stock Prices
Konchitchki, Yaniv - Volkswirtschaftliche Fakultät, … - 2011
The monetary unit assumption of financial accounting assumes a stable currency (i.e., constant purchasing power over time). Yet, even during periods of low inflation or deflation, nominal financial statements violate this assumption. I posit that, while the effects of inflation are not...
Persistent link: https://www.econbiz.de/10011114513
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Robust Two-Stage Least Squares: some Monte Carlo experiments
Mishra, SK - Volkswirtschaftliche Fakultät, … - 2008
(s) concerned is (are) over-identified or exactly identified. However, in presence of outliers in the data matrix, the classical 2 … weighted 2-SLS (W2-SLS), which is robust to the effects of outliers and perturbations in the data matrix. Monte Carlo … proposed method is not much destabilized by the magnitude of outliers, but it is sensitive to the number of outliers …
Persistent link: https://www.econbiz.de/10005837152
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A new method of robust linear regression analysis: some monte carlo experiments
Mishra, SK - Volkswirtschaftliche Fakultät, … - 2008
This paper elaborates on the deleterious effects of outliers and corruption of dataset on estimation of linear … procedures are applied to detect outliers in and estimate regression coefficients from some widely used datasets such as … very mild outliers). Subsequently, some Monte Carlo experiments have been carried out to assess the properties of these …
Persistent link: https://www.econbiz.de/10005790232
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Analysis of dependencies in low frequency financial data sets
Ardia, David - Volkswirtschaftliche Fakultät, … - 2003
This empirical study proposes a dependency analysis of monthly financial time series. We use the overlapping technique and non-parametric correlation in order to increase both accuracy and consistency. Copulas are used to test extreme co-movements between financial securities. Our results...
Persistent link: https://www.econbiz.de/10005837546
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Risk components in UK cross-sectional equities: evidence of regimes and overstated parametric estimates
Rossi, Francesco - Volkswirtschaftliche Fakultät, … - 2011
We study the behavior and interaction of systematic and idiosyncratic components of risk in a cross-section of U.K. stocks. We find no clear evidence of a trend in any component of total risk, but we document different “regimes” in the behavior of each component of total risk, in their...
Persistent link: https://www.econbiz.de/10011261127
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Copulas for finance
Bouye, Eric; Durlleman, Valdo; Nikeghbali, Ashkan; … - Volkswirtschaftliche Fakultät, … - 2000
Copulas are a general tool to construct multivariate distributions and to investigate dependence structure between random variables. However, the concept of copula is not popular in Finance. In this paper, we show that copulas can be extensively used to solve many financial problems.
Persistent link: https://www.econbiz.de/10011114301