In this paper, we consider a semiparametric regression model where the unknown regression function is the sum of parametric and nonparametric parts. The parametric part is a finite-dimensional multiple regression function whereas the nonparametric part is represented by an infinite series of...

The Gaussian sequence model can be obtained from the high-dimensional regression model through principal component analysis. It is shown that the Gaussian sequence model is equivalent to the original high-dimensional regression model in terms of prediction. Under a sparsity condition, we...

Samsung Card Lending Model (SCLM) analyzes cash flow in individual accounts and measures the level of company-wide risk. Serving as a risk and portfolio management model in the consumer lending business, the main features of SCLM are as follows. Default ratios such as intrinsic balance default...

This study investigates the number of state variables needed for CDS pricing by conducting a principal component analysis using CDS data for the 2006-2009 period. Two state variables, approximated by the first two components, are found sufficient for pricing CDS spreads. The first component...

This study examines the short-term relationship between stock market returns and implied volatility using  high frequency data . This is the first study to analyze  high frequency data on the VKOPSIa newly introduced volatility index implied by the KOSPI200 options.  KOSPI 200 optioins  are...

In this study, we examine the impacts of changes to the required reserve ratio (RRR) on banking and finance stock prices in China from 2007 to 2012 using multiple variance ratio tests and vector error correction models. The efficient market hypothesis is rejected during the earlier increases in...