This study aims to compare the prediction accuracy of traditional distress prediction models for the firms which are at an early and advanced stage of distress in an emerging market, Pakistan, during 2001-2015. Design/methodology/approach: The methodology involves constructing model scores for...

The paper provides probability estimates of the state of the GDP growth. A regime-switching model defines the probability of the Greek GDP being in boom or recession. Then probit models extract the predictive information of a set of explanatory (economic and financial) variables regarding the...

The main goal of this paper is to better understand the behavior of credit spreads in the past and the potential risk of unexpected future credit spread changes. One important consideration to note regarding credit spreads is the fact that bond spreads contain a liquidity premium, which...

The purpose of this work is to study the statistical properties of the MDD for stochastic processes characterized by the stylized facts of real financial time series. The numerical results obtained using a Monte Carlo code are firstly validated against the analytical predictions available within...