In this paper the relatively new technique of neural nets is integrated in a traditional model of portfolio choice. On the basis of Arrow’s State Preference Model the investment decision depends on the expectation building process which consists of two components. The individual information...

We explore convenient analytic properties of distributions constructed as mixtures of scaled and shifted t-distributions. A feature that makes this family particularly desirable for econometric applications is that it possesses closed-form expressions for its anti-derivatives (e.g., the...

Commonly used classification and regression tree methods like the CART algorithm are recursive partitioning methods that build the model in a forward stepwise search. Although this approach is known to be an efficient heuristic, the results of recursive tree methods are only locally optimal, as...

The literature on electoral cycles has developed in two distinct phases. The first one considered the existence of non-rational (naive) voters whereas the second one considered fully rational voters. In our perspective, an intermediate approach is more interesting, i.e. one that considers...

This paper proposes a rating methodology that is based on a non-linear classification method, the support vector machine, and a non-parametric technique for mapping rating scores into probabilities of default. We give an introduction to underlying statistical models and represent the results of...

This paper discusses a tool for optimization of econometric models based on genetic algorithms. First, we briefly describe the concept of this optimization technique. Then, we explain the design of a specifically developed algorithm and apply it to a difficult econometric problem, the...

Many economic and econometric applications require the integration of functions lacking a closed form antiderivative, which is therefore a task that can only be solved by numerical methods. We propose a new family of probability densities that can be used as substitutes and have the property of...

The unpredictability of returns counts as a stylized fact of financial markets. To reproduce this fact, modelers usually implement noise terms - a method with several downsides. Above all, systematic patterns are not eliminated but merely blurred. The present article introduces a model in which...

The level of default in financial institutions is a key piece of information in the activity of these organizations and reveals their level of risk. This in turn explains the growing attention given to variables of this kind, during the crisis of these last years. This paper presents a method to...

Econometric models, in the estimation of real estate prices, are a useful and realistic approach for buyers and for local and fiscal authorities. From the classical hedonic models to more data driven procedures, based on Artificial Neural Networks (ANN), many papers have appeared in economic...