February 2020 - 21 articles
In this work we study a variant of the GARCH model when we consider the arrival of heterogeneous information in high-frequency data. This model is known as HARCH(n). We modify the HARCH(n) model when taking into consideration some market components t...
The article provides a comprehensive review regarding the theoretical approaches, methodologies and empirical researches of corporate bankruptcy prediction, laying emphasis on the 30-year development history of Hungarian empirical results. In ex-soci...
The rapid spread of new coronaviruses throughout China and the world in 2019–2020 has had a great impact on China’s economic and social development. As the backbone of Chinese society, Chinese universities have made significant contributions to emerg...
This publication presents the methodological aspects of designing of a scoring model for an early prediction of bankruptcy by using ensemble classifiers. The main goal of the research was to develop a scoring model (with good classification propertie...
The post-Altman models suffer from moral amortization. This paper asks whether models developed in one country can be applied in other economies. One of the characteristics of the prediction model is that a date drives the estimation. Thus, the estim...
We examine the significance of fourty-one potential covariates of bitcoin returns for the period 2010–2018 (2872 daily observations). The recently introduced principal component-guided sparse regression is employed. We reveal that economic poli...
Since the 2008 financial crisis, modelling of the extreme values of financial risk has become important [...]
Our paper forecasts the expected recovery rates of defaulted Italian mortgage loans backed by either residential or commercial real estate. We apply an exponential Ornstein–Uhlenbeck process to model the price dynamics at the provincial and reg...
We investigate the impact of corporate social responsibility (CSR) and corporate governance on stock price crash risk in manufacturing sector of India and Pakistan. We collect data of nine years from 2010 to 2018 from DataStream of 353 manufacturing...
Compliance measures emphasized in the Dodd-Frank Bill 2010, Section 165 is a response to the 2008 financial crisis, that requires large banks to maintain a minimum capital ratio. The Federal Reserve Bank (Fed) regulates capital of Bank Holding Compan...
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