This paper describes an empirical investigation into the predictive ability of four credit scoring models as applied to US personal loans. The models tested include the Logit model (LM), the divergence – a discriminant – method (DVM), neural networks (NN), and the generalized additive model...

This paper introduces a new specification for the heterogeneous autoregressive (HAR) model for the realized volatility of S&P500 index returns. In this new model, the coefficients of the HAR are allowed to be time-varying with unknown functional forms. We propose a local linear method for...