Narrow search
Showing 1 - 10 of 4,271
Cover Image
Multi-period credit default prediction with time-varying covariates
Orth, Walter - 2011 - First draft: March 17, 2011
augments the prediction problem by covariate forecasting models. In this paper, we present simple alternatives for multi …
Persistent link: https://www.econbiz.de/10008939079
Cover Image
Local adaptive multiplicative error models for high-frequency forecasts
Härdle, Wolfgang; Hautsch, Nikolaus; Mihoci, Andrija - 2012
modelling bias and estimation (in)efficiency. In forecasting, the proposed adaptive approach significantly outperforms a MEM …-frequency processes ; trading volume ; forecasting …
Persistent link: https://www.econbiz.de/10009526607
Cover Image
Estimating survival times using Swiss hospital data
Kuhlmey, Florian; Minke, Matthias - 2018
We compare and evaluate two different approaches to estimate overall survival curvesfrom censored data of recurrent events: (1) standard survival time analysis, and (2) a multistate framework that explicitly estimates the mortality rate during censored periods. With both models, we estimate...
Persistent link: https://www.econbiz.de/10011869851
Cover Image
Frailty correlated default
Duffie, Darrell; Eckner, Andreas; Horel, Guillaume; … - 2008
We analyze portfolio credit risk in light of dynamic quot;frailty,quot; by which the credit qualities of different firms depend on common unobservable time-varying default covariates. Frailty is estimated to have a large impact on estimated conditional mean default rates, above and beyond those...
Persistent link: https://www.econbiz.de/10003966209
Cover Image
Adaptive order flow forecasting with multiplicative error models
Härdle, Wolfgang; Mihoci, Andrija; Ting, Christopher … - 2014
A flexible statistical approach for the analysis of time-varying dynamics of transaction data on financial markets is here applied to intra-day trading strategies. A local adaptive technique is used to successfully predict financial time series, i.e., the buyer and the seller-initiated trading...
Persistent link: https://www.econbiz.de/10010374563
Cover Image
Local adaptive multiplicative error models for high-frequency forecasts
Härdle, Wolfgang Karl; Hautsch, Nikolaus; Mihoci, Andrija - 2012
modelling bias and estimation (in)efficiency. In forecasting, the proposed adaptive approach significantly outperforms a MEM …
Persistent link: https://www.econbiz.de/10010330969
Cover Image
Volatility Estimation and Forecasts Based on Price Durations
Hong, Seok Young - 2020
duration estimators can be used for the estimation and forecasting of the integrated variance of an underlying semi … estimators. We provide simulation and forecasting evidence that price duration estimators can extract relevant information from …-implied variance estimators, when considered in isolation or as part of a forecasting combination setting …
Persistent link: https://www.econbiz.de/10012855793
Cover Image
Stress testing German banks against a global cost-of-capital shock
Düllmann, Klaus; Kick, Thomas - 2012
This paper introduces a stress test of the corporate credit portfolios of 24 large German banks by a two-stage approach: First, a macro-econometric model is used to forecast the impact of a substantial increase of the user cost of business capital for firms worldwide on three particularly...
Persistent link: https://www.econbiz.de/10009509091
Cover Image
Market microstructure effects on firm default risk evaluation
Barsotti, Flavia; Sanfelici, Simona - In: Econometrics : open access journal 4 (2016) 3, pp. 1-31
Default probability is a fundamental variable determining the credit worthiness of a firm and equity volatility estimation plays a key role in its evaluation. Assuming a structural credit risk modeling approach, we study the impact of choosing different non parametric equity volatility...
Persistent link: https://www.econbiz.de/10011506497
Cover Image
Systematic Risk in Recovery Rates - an Empirical Analysis of U.S. Corporate Credit Exposures
Düllmann, Klaus - 2004
This paper empirically analyses a parsimonious model framework that accounts for a dependence of bond and bank loan recoveries on systematic risk. We extend the single risk factor model by assuming that the recovery rates follow a logit-normal distribution. The results are compared with two...
Persistent link: https://www.econbiz.de/10012738646