Purpose: The assets of bankrupt firms are usually sold to unsuitable buyers at an extremely discounted price. Aiming to reduce the bankruptcy cost, the purpose of this paper is to propose a novel insurance system for associated loans. Design/methodology/approach: In this insurance system, the...

Purpose: The purpose of this paper is to explore whether the out-of-sample model bias plays an important role in predicting volatility. Design/methodology/approach: Under the heterogeneous autoregressive realized volatility...