Search Results - subject:"Regression Tree"

The Bayesian Additive Classification Tree Applied to Credit Risk Modelling

Zhang, Junni L.; Härdle, Wolfgang - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008

Classification Tree (BACT), which extends the Bayesian Additive Regression Tree (BART) method into the classi- fication context. Like … Tree (BACT), which extends the Bayesian Additive Regression Tree (BART) method into the classi- flcation context. Like BART … identifying insolvent flrms. Key words and phrases: Classiflcation and Regression Tree, Financial Ratio, Misclassiflcation Rate …

Persistent link: https://www.econbiz.de/10005678032

Application of regression trees in the analysis of electricity load

Gladysz, Barbara; Kuchta, Dorota - In: Operations Research and Decisions 4 (2008), pp. 19-28

management. In order to analyse the electricity load level the CART (Classification and Regression Tree) method has been used …

Persistent link: https://www.econbiz.de/10008777215

Incomplete-market equilibria solved recursively on an event tree

Dumas, Bernard; Lyasoff, Andrew - 2008

We develop a method that allows one to compute incomplete-market equilibria routinely for Markovian equilibria (when they exist). The main difficulty to be overcome arises from the set of state variables. There are, of course, exogenous state variables driving the economy but, in an incomplete...

Persistent link: https://www.econbiz.de/10003966639

Incomplete-market equilibria solved recursively on an event tree

Dumas, Bernard; Lyasoff, Andrew - 2008

Persistent link: https://www.econbiz.de/10003794986

The convergence of binomial trees for pricing the American put

Joshi, Mark S. (contributor) - 2008

Persistent link: https://www.econbiz.de/10003797784

Stock picking via nonsymmetrically pruned binary decision trees

Andriyashin, Anton V. (contributor) - 2008

Stock picking is the field of financial analysis that is of particular interest for many professional investors and researchers. In this study stock picking is implemented via binary classification trees. Optimal tree size is believed to be the crucial factor in forecasting performance of the...

Persistent link: https://www.econbiz.de/10003727376

Numerics of implied binomial trees

Härdle, Wolfgang (contributor); … - 2008

Market option prices in last 20 years confirmed deviations from the Black and Scholes (BS) models assumptions, especially on the BS implied volatility. Implied binomial trees (IBT) models capture the variations of the implied volatility known as "volatility smile". They provide a discrete...

Persistent link: https://www.econbiz.de/10003727608

Incomplete-Market Equilibria Solved Recursively on an Event Tree

Dumas, Bernard - 2008

Persistent link: https://www.econbiz.de/10012464019

Manufacturing exports and growth: When is a developing country ready to transition from primary exports to manufacturing exports?

Sheridan, Brandon J. - In: Journal of Macroeconomics 42 (2014) C, pp. 1-13

-splitting technique, known as regression tree analysis, to identify possible economic development thresholds in the relationship between …

Persistent link: https://www.econbiz.de/10011117995

A demand trend change early warning forecast model for the city of São Paulo multi-airport system

Scarpel, Rodrigo Arnaldo - In: Transportation Research Part A: Policy and Practice 65 (2014) C, pp. 23-32

The need of accurate forecasts of air passenger numbers to assist managerial decision making for both short and long terms is well recognized and a central problem on both short and long term forecasting is how to handle future trend. The aim of this paper is to develop a demand trend change...

Persistent link: https://www.econbiz.de/10010869271