An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk.Depending on both the degree of non-linearity of the instruments comprised in the portfolio and thewillingness to make restrictive assumptions on the underlying statistical distributions, a...

Purpose This study investigates whether the artificial neural network approach, when used on a large organizational soft HR performance dataset, results in a better (R 2 /RMSE) model compared to the linear regression. With the use of predictive modelling, a more informed base for managerial...

Purpose – This paper investigates whether mean reversion holds for a panel of 16 OECD stock price indices for the period 1970 to 2011. Design/methodology/approach – We employ seemingly unrelated regression (SUR)-based linear and non-linear unit root tests which are not only able to exploit...