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Generalized additive model with embedded variable selection for bankruptcy prediction: Prediction versus interpretation

Valencia, Carlos; Cabrales, Sergio; Garcia, Laura; … - In: Cogent Economics & Finance 7 (2019) 1, pp. 1-14

This paper explores the properties of using a generalized additive model with embedded variable selection for the prediction of bankruptcy. The main purpose is to explore an innovative way to close the gap between interpretation and prediction that has prevented widespread use of methods based...

Persistent link: https://www.econbiz.de/10012657511

Estimation of cross-lingual news similarities using text-mining methods

Wang, Zhouhao; Liu, Enda; Sakaji, Hiroki; Ito, Tomoki; … - In: Journal of Risk and Financial Management 11 (2018) 1, pp. 1-13

In this research, two estimation algorithms for extracting cross-lingual news pairs based on machine learning from financial news articles have been proposed. Every second, innumerable text data, including all kinds news, reports, messages, reviews, comments, and tweets are generated on the...

Persistent link: https://www.econbiz.de/10012610996

A credit risk assessment model based on SVM for small and medium enterprises in supply chain finance

Zhang, Lang; Hu, Haiqing; Zhang, Dan - In: Financial Innovation 1 (2015) 14, pp. 1-21

) The SCF credit risk assessment model based on SVM is of good generalization ability and robustness, which is more … credit risk assessment models based on support vector machine (SVM) technique and BP neural network respectly. Results: (1 … applying the SVM model, which can alleviate credit rationing on SMEs. Conclusions: (1)The SCF credit risk assessment index …

Persistent link: https://www.econbiz.de/10011808202

A semi-parametric approach to the Oaxaca-Blinder decomposition with continuous group variable and self-selection

Rios-Avila, Fernando - In: Econometrics 7 (2019) 2, pp. 1-29

This paper presents an extension to the Oaxaca-Blinder decomposition with continuous groups using a semiparametric approach known as varying coefficients model. To account for potential self-selection into the continuum of groups, the use of inverse mills ratios is expanded upon following the...

Persistent link: https://www.econbiz.de/10012696243

A game-theoretic analysis of baccara chemin de fer

Ethier, Stewart N.; Gámez, Carlos - In: Games 4 (2013) 4, pp. 711-737

Assuming that cards are dealt with replacement from a single deck and that each of Player and Banker sees the total of his own two-card hand but not its composition, baccara is a 2 . 288 matrix game, which was solved by Kemeny and Snell in 1957. Assuming that cards are dealt without replacement...

Persistent link: https://www.econbiz.de/10010369414

Plug-in bandwidth selection for kernel density estimation with discrete data

Chu, Chi-Yang; Henderson, Daniel J.; Parmeter, … - In: Econometrics 3 (2015) 2, pp. 199-214

This paper proposes plug-in bandwidth selection for kernel density estimation with discrete data via minimization of …

Persistent link: https://www.econbiz.de/10011755277

Fixed-b inference for testing structural change in a time series regression

Cho, Cheol-Keun; Vogelsang, Timothy J.; Montañés, Antonio - In: Econometrics 5 (2017) 1, pp. 1-26

statistics depend on the break fraction and the bandwidth tuning parameter as well as on the kernel. When the break date is …

Persistent link: https://www.econbiz.de/10011755355

Das Risiko einer Immobilienpreisblase ist in Deutschland sowie in den meisten OECD-Ländern hoch

Cholodilin, Konstantin A.; Michelsen, Claus - In: DIW Wochenbericht 86 (2019) 32, pp. 547-555

Die Preise für Immobilien sind in vielen Ländern in den vergangenen Jahren deutlich gestiegen und es wächst die Sorge, dass sich erneut spekulative Preisblasen bilden. Für politische Entscheidungsträger kann es dabei schwer sein, den richtigen Zeitpunkt für regulierende Eingriffe in den...

Persistent link: https://www.econbiz.de/10012051514

High risk of a housing bubble in Germany and most OECD countries

Cholodilin, Konstantin A.; Michelsen, Claus - In: DIW Weekly Report 9 (2019) 32, pp. 265-273

Housing prices in many countries have increased significantly over the past years, fueling a fear that speculative price bubbles will return. However, it can be difficult for policymakers to recognize when regulatory interventions in the market are necessary to counteract bubbles. This report...

Persistent link: https://www.econbiz.de/10012063342

An intelligent system for business data mining

Huang, Shian-Chang; Wu, Tung-Kuang; Wang, Nan-Yu - In: Global Business & Finance Review (GBFR) 22 (2017) 2, pp. 1-7

Persistent link: https://www.econbiz.de/10012286622

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