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Forecasting default with the Merton distance to default model
Bharath, Sreedhar T.; Shumway, Tyler - In: The review of financial studies 21 (2008) 3, pp. 1339-1369
Persistent link: https://www.econbiz.de/10003742248
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Credit Derivatives and Corporate Default Prediction
Ye, Xiaoxia; Yu, Fan; Zhao, Ran - 2021
There have been 128 defaults among U.S. CDS reference entities between 2001 and 2020. Within this sample, the five-year CDS spread is a significant predictor of corporate default in models with equity market covariates and firm attributes. This finding holds for forecast horizons up to 12...
Persistent link: https://www.econbiz.de/10013213330
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Credit derivatives and corporate default prediction
Ye, Xiaoxia; Yu, Fan; Zhao, Ran - In: Journal of banking & finance 138 (2022), pp. 1-14
Persistent link: https://www.econbiz.de/10013461780
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Forecasting for regulatory credit loss derived from the COVID-19 pandemic : a machine learning approach
González, Marta Ramos; Ureña, Antonio Partal; … - In: Research in international business and finance 64 (2023), pp. 1-14
Persistent link: https://www.econbiz.de/10014280038
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Insolvency forecasting through trend analysis with full ignorance of probabilities
Poláček, Tomáš; Kruntorádová, Markéta - In: Acta oeconomica Pragensia : vědecký časopis Vysoke … 27 (2019) 3/4, pp. 17-30
Persistent link: https://www.econbiz.de/10012372881
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Arbitrage valuation of variance forecasts with simulated options
Engle, Robert F. (contributor) - 1992 - Rev
Persistent link: https://www.econbiz.de/10000841635
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Chaos & nonlinear dynamics in the financial markets : theory, evidence and applications
Trippi, Robert R. (ed.) - 1995
Persistent link: https://www.econbiz.de/10000544254
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Testing the martingale hypothesis for futures prices : implications for hedgers
De Ville de Goyet, Cédric; Dhaene, Geert; Sercu, Piet - In: The journal of futures markets 28 (2008) 11, pp. 1040-1065
Persistent link: https://www.econbiz.de/10003769967
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Do nonlinear tools make a difference in handling shipping derivatives?
Goulielmos, Alexander M.; Goulielmos, Matina A. - In: International journal of transport economics : IJTE 35 (2008) 3, pp. 345-371
Persistent link: https://www.econbiz.de/10003786480
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Deriving a statistical model for the prediction of spiralling in BTA deep-hole-drilling from a physical model
Weihs, Claus (contributor); Raabe, N. (contributor);  … - 2007
One serious problem in deep hole drilling is the occurrence of a dynamic disturbances called spiralling. A common explanation for the occurrence of spiralling is the coincidence of time varying bending eigenfrequencies of the tool with multiples of the spindle rotation frequency. We propose a...
Persistent link: https://www.econbiz.de/10003483072