This study examines time-series momentum in the Chinese commodity futures market. The findings show that a time-series momentum strategy performs best with a one-month look-back period and a one-month holding period. Furthermore, this strategy outperforms passive long and cross-sectional...

Samsung Card Lending Model (SCLM) analyzes cash flow in individual accounts and measures the level of company-wide risk. Serving as a risk and portfolio management model in the consumer lending business, the main features of SCLM are as follows. Default ratios such as intrinsic balance default...

The Gaussian sequence model can be obtained from the high-dimensional regression model through principal component analysis. It is shown that the Gaussian sequence model is equivalent to the original high-dimensional regression model in terms of prediction. Under a sparsity condition, we...