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Forecasting stock volatility with economic policy uncertainty : a smooth transition GARCH-MIDAS model

Li, Dongxin; Zhang, Li; Li, Lihong - In: International review of financial analysis 88 (2023), pp. 1-13

Persistent link: https://www.econbiz.de/10014471874

Optimal hybrid framework for carbon price forecasting using time series analysis and least squares support vector machine

Zhang, Wen; Wu, Zhibin - In: Journal of forecasting 41 (2022) 3, pp. 615-632

Persistent link: https://www.econbiz.de/10013166168

Improving customer value index and consumption forecasts using a weighted RFM model and machine learning algorithms

Wu, Zongxiao; Zang, Cong; Wu, Chia-Huei; Deng, Zilin; … - In: Journal of global information management 30 (2022) 3, pp. 1-23

Persistent link: https://www.econbiz.de/10012799261

CVaR prediction model of the investment portfolio based on the convolutional neural network facilitates the risk management of the financial market

Wu, Zheng; Qiao, Yan; Huang, Shuai; Liu, HsienChen - In: Journal of global information management 30 (2022) 7, pp. 1-19

Persistent link: https://www.econbiz.de/10012800070

Customer churn prediction for commercial banks using customer-value-weighted machine learning models

Wu, Zongxiao; Li, Zhiyong - In: The journal of credit risk : published quarterly by … 17 (2021) 4, pp. 15-42

Persistent link: https://www.econbiz.de/10013185682

Portfolio management with robustness in both prediction and decision : a mixture model based learning approach

Zhu, Shushang; Fan, Minjie; Li, Duan - In: Journal of economic dynamics & control 48 (2014), pp. 1-25

Persistent link: https://www.econbiz.de/10010485842

Change-point detection for expected shortfall in time series

Sun, Lingyu; Li, Dong - In: Journal of management science and engineering 6 (2021) 3, pp. 324-335

Expected shortfall (ES) is a popular risk measure and plays an important role in risk and portfolio management. Recently, change-point detection of risk measures has been attracting much attention in finance. Based on the self-normalized CUSUM statistic in Fan, Glynn and Pelger (2018) and the...

Persistent link: https://www.econbiz.de/10013206368

Using admission tests to predict success in college : evidence from the University of Puerto Rico

Ragan, James Francis; Li, Dong; Matos Díaz, Horacio - In: Eastern economic journal 37 (2011) 4, pp. 470-487

Persistent link: https://www.econbiz.de/10009355102

Uniform test for predictive regression with AR errors

Li, Chenxue; Li, Deyuan; Peng, Liang - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 1, pp. 29-39

Persistent link: https://www.econbiz.de/10011704097

Bias-corrected inference for a modified Lee-Carter mortality model

Liu, Qing; Ling, Chen; Li, Deyuan; Peng, Liang - In: Astin bulletin : the journal of the International … 49 (2019) 2, pp. 433-455

Persistent link: https://www.econbiz.de/10012056606