The goal of this work is to introduce one of the most successful among recently developed statistical techniques - the support vector machine (SVM) - to the field of corporate bankruptcy analysis. The main emphasis is done on implementing SVMs for analysing predictors in the form of financial...

Let (<italic>X</italic>₁, <italic>Y</italic>₁), …, (<italic>X</italic>, <italic>Y</italic>) be independent and identically distributed random variables and let <italic>l</italic>(<italic>x</italic>) be the unknown <italic>p</italic>-quantile regression curve of <italic>Y</italic> conditional on <italic>X</italic>. A quantile smoother <italic>l</italic>(<italic>x</italic>) is a localized, nonlinear estimator of <italic>l</italic>(<italic>x</italic>). The strong uniform consistency rate is established under...

Recently, support vector machine (SVM), a novel artificial neural network (ANN), has been successfully used for financial forecasting. This paper deals with the application of SVM in volatility forecasting under the GARCH framework, the performance of which is compared with simple moving...

We propose a new nonlinear classification method based on a Bayesian "sum-of-trees" model, the Bayesian Additive Classification Tree (BACT), which extends the Bayesian Additive Regression Tree (BART) method into the classification context. Like BART, the BACT is a Bayesian nonparametric additive...

Die Rekordzahlen an Unternehmensinsolvenzen, die schlechte Ertragslage der deutschen Kreditinstitute in den vergangenen Jahren und der von Basel II ausgehende Druck zur Verwendung von realitätsnahen Ausfallwahrscheinlichkeiten haben es überdeutlich gemacht: Der Bedarf an leistungsfähigen...

Risk management and the thorough understanding of the relations between financial markets and the standard theory of macroeconomics have always been among the topics most addressed by researchers, both financial mathematicians and economists. This work aims at explaining investors’ behavior...