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Credit risk clustering in a business group : which matters more, systematic or idiosyncratic risk?

Li, Feng; He, Zhuojing - In: Cogent economics & finance 7 (2019) 1, pp. 1-23

Understanding how defaults correlate across firms is a persistent concern in risk management. In this paper, we apply covariate-dependent copula models to assess the dynamic nature of credit risk dependence, which we define as "credit risk clustering". We also study the driving forces of the...

Persistent link: https://www.econbiz.de/10012024047

Improving forecasting performance using covariate-dependent copula models

Li, Feng; Kang, Yanfei - In: International journal of forecasting 34 (2018) 3, pp. 456-476

Persistent link: https://www.econbiz.de/10012031011

Distributed ARIMA models for ultra-long time series

Wang, Xiaoqian; Kang, Yanfei; Hyndman, Rob J.; Li, Feng - In: International journal of forecasting 39 (2023) 3, pp. 1163-1184

Persistent link: https://www.econbiz.de/10014465263

Bayesian forecast combination using time-varying features

Li, Li; Kang, Yanfei; Li, Feng - In: International journal of forecasting 39 (2023) 3, pp. 1287-1302

Persistent link: https://www.econbiz.de/10014465281

Forecast combinations : an over 50-year review

Wang, Xiaoqian; Hyndman, Rob J.; Li, Feng; Kang, Yanfei - In: International journal of forecasting 39 (2023) 4, pp. 1518-1547

Persistent link: https://www.econbiz.de/10014465324

FFORMPP : feature-based forecast model performance prediction

Talagala, Thiyanga S.; Li, Feng; Kang, Yanfei - In: International journal of forecasting 38 (2022) 3, pp. 920-943

Persistent link: https://www.econbiz.de/10013349631

A note on distributed quantile regression by pilot sampling and one-step updating

Pan, Rui; Ren, Tunan; Guo, Baishan; Li, Feng; Li, Guodong; … - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 4, pp. 1691-1700

Persistent link: https://www.econbiz.de/10013540454

Optimal reconciliation with immutable forecasts

Zhang, Bohan; Kang, Yanfei; Panagiotelis, Anastasios; … - In: European journal of operational research : EJOR 308 (2023) 2, pp. 650-660

Persistent link: https://www.econbiz.de/10014283109

Hierarchical forecasting with a top-down alignment of independent-level forecasts

Anderer, Matthias; Li, Feng - In: International journal of forecasting 38 (2022) 4, pp. 1405-1414

Persistent link: https://www.econbiz.de/10014381098

Feature-based intermittent demand forecast combinations : accuracy and inventory implications

Li, Li; Kang, Yanfei; Petropoulos, Fotios; Li, Feng - In: International journal of production research 61 (2023) 22, pp. 7557-7572

Persistent link: https://www.econbiz.de/10014383405