We review spread's predictive ability by implementing a number of linear and probit models. We conduct a comparative analysis of the forecasting performance of various specifications by focusing on the last three major US economic slowdowns: 1990, 2001 and 2007. The results indicate that...

Purpose – The purpose of this paper is to present an innovative model to evaluate the fair price of a subset of structured products for a hypothetical US structured bond. Design/methodology/approach –The authors assume that interest rates dynamics are described by the Cox–Ingersoll–Ross...

The aim of the paper is the analysis of the sequential characteristics of the Athens Stock Exchange general index (ASE) using the time series metho-dology based on artificial intelligent techniques. The applied models include the Feed Forward Neural Network trained with the efficient Levenberg -...

This paper studies calendar effects in the emerging Athens Stock Exchange. Rather than examining only basket indices, we analyse calendar effects for each of the constituent stocks of the Athens Stock Exchange General Index for the period from October 1986 to April 1997. In accordance with...

This study examines the spillover effects in international financial markets with respect to implied volatility indices. The use of the latter as the basis of integration analysis means that we test market participants’ expectations and not the actual price fluctuations. The empirical...

We analyzed six stock exchange markets through the nonlinear dynamics concept. We used daily data from the Toronto Stock Exchange, NYSE, London Stock Exchange, Hong Kong Stock Market, Tokyo Stock Exchange, and the Singapore Stock Exchange. The period studied is from January 1, 1988 to June 30,...

In this paper, we investigate the possibility of predicting takeover targets in Greece, which is an incipient market for acquisitions. Our work is based on recursive partitioning techniques, that is decision-tree models, given that takeover likelihood models (such as logit) are not robust over...

Recent research has suggested that returns volatility may contain both short-run and long-run components due to the existence of heterogeneous information flows or heterogeneous agents (Andersen and Bollerslev 1997a, 1997b; Müller et al., 1997). This paper investigates the existence of such...

Employing earnings shortfall as a financial distress indicator, we formulate a dynamic nonlinear model, implementing Wooldridge's conditional maximum likelihood estimator and accounting for potentially endogenous covariates. Likewise, we not only achieve a significant improvement in consistency...