In this study we propose a stochastic mortality forecast model that may be viewed as a Lévy process. First, age, period and cohort effects are objectively identified in a given matrix of historic mortality data. Next, these patterns are removed from the matrix of mortality improvement rates. We...

The efficient market hypothesis (EMH), one of the central pillars of modern financial theories, often fails to explain the ‘financial anomalies'. One fatal challenge of EMH probably comes from the theoretical assumption of ‘rational man'. According to EMH, the fully rational investor may...

This paper uses firm-level survey data matched with official tax records to estimate the unobserved true sales of formal firms in Mongolia. Taking into account firm-level incentives to comply with taxes and a production function technology linking unobserved true sales with observable firm-level...

Risk of financial failure is defined as the inability of a firm to pay its current liabilities. Financial failure may lead firms to bankrupt or go into liquidation. This paper aims to develop reliable model to identify the financial failure risk of the firms listed on Istanbul Stock Exchange...

Predicting corporate failure is an important problem in management science. This study tests a new method for predicting corporate failure on a sample of Spanish firms. A GRASP (Greedy Randomized Adaptive Search Procedure) strategy is proposed to use a feature selection algorithm to select a...

With the on-going expansion of renewable energy generation, short-term trading, notably in intraday markets, becomes increasingly relevant to cope with forecast updates for renewable infeed's. In this context, we develop a multivariate model of wind forecasting trajectories in order to support...