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Empirical comparison of hazard models in predicting SMEs failure
Gupta, Jairaj; Gregoriou, Andros; Ebrahimi, Tahera - In: Quantitative finance 18 (2018) 3, pp. 437-466
Persistent link: https://www.econbiz.de/10011906393
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Forecasting tail risks : presented at CESifo Area Conference on Macro, Money and International Finance, February 2015
De Nicolò, Gianni; Lucchetta, Marcella - 2015
Reliable early warning signals are essential for timely implementation of macroeconomic and macro-prudential policies. This paper presents an early warning system as a set of multi-period forecasts of indicators of tail real and financial (systemic) risks. Forecasts are obtained from: (a)...
Persistent link: https://www.econbiz.de/10010498601
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Credit Portfolio Loss Forecasts for Economic Downturns
Roesch, Daniel - 2013
Recent studies find a positive correlation between default and loss given default rates of credit portfolios. In response, financial regulators require financial institutions to base their capital on 'Downturn' loss rates given default which are also known as Downturn LGDs. This article proposes...
Persistent link: https://www.econbiz.de/10013073285
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Mornitoring, Forecasting and Optimization Technique When Multi-Variables Shift With Time
Mao, Hong - 2020
In this paper, the quality control technique and the optimization of adjustment interval of one dimensional quality characteristic are extended to multi-dimensional case in which the vector of the quality characteristics or important financial indices of firms shifts with time. A special...
Persistent link: https://www.econbiz.de/10012842216
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On Long Memory Behaviour and Predictability of Financial Markets
Vo, Long - 2017
An immediate consequence of the Efficient Market Hypothesis (EMH) is the absence of auto-correlation of the return series of the financial prices and the exclusion of excess profitability made by any (active) trading strategy. However, the precondition for the validity of EMH, which assumes that...
Persistent link: https://www.econbiz.de/10012956295
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What Do Fund Flows Reveal About Asset Pricing Models and Investor Sophistication?
Jegadeesh, Narasimhan - 2019
Recent evidence indicates that market model alphas are stronger predictors of mutual fund flows than alphas with other models. Berk and van Binsbergen (2016) claim that this evidence indicates CAPM is the best asset pricing model but Barber, Huang and Odean (2016) (BHO) claim it is evidence...
Persistent link: https://www.econbiz.de/10012900390
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Forecasting Credit Card Portfolio Losses in the Great Recession : A Study in Model Risk
Canals-Cerda, José J. - 2016
Credit card portfolios represent a significant component of the balance sheets of the largest US banks. The charge‐off rate in this asset class increased drastically during the Great Recession. The recent economic downturn offers a unique opportunity to analyze the performance of credit risk...
Persistent link: https://www.econbiz.de/10013006575
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Wave Function Method to Forecast Foreign Currencies Exchange Rates at Ultra High Frequency Electronic Trading in Foreign Currencies Exchange Markets
Ledenyov, Dimitri - 2015
exchange rates dynamics in the foreign currencies exchange markets in the classic finances theory; 3) the description on the … theory; 4) the derivation of the time dependent/time independent wave equation in the quantum finances theory; 5) the …/time independent wave equation in the quantum finances theory; 6) the discussion on the developed software program with the embedded …
Persistent link: https://www.econbiz.de/10013013057
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Forecast in Capital Markets
Ledenyov, Dimitri - 2016
Persistent link: https://www.econbiz.de/10012987861
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Competitive Dynamics in Forecasting : The Interaction of Skill and Uncertainty
Evgeniou, Theodoros - 2014
The outcomes of many activities depend upon both skill and luck. We analyze stock analysts' forecasts of companies' earnings per share under market conditions that vary in volatility and thus imply different levels of luck in outcomes. Noting that making forecasts that deviate widely from the...
Persistent link: https://www.econbiz.de/10013046272