This paper applies the variable forgetting factor and the fixed forgetting factor to financial time-series analysis, and establishes the linkage for the first time between the variable forgetting factor approach and kernel smoothing. We then demonstrate the use of the proposed variable...

Purpose: The purpose of this paper is to examine the association between debt maturity structure and stock price crash risk in Australia. Design/methodology/approach: The authors employ panel data estimation with industry and year fixed effects. The paper uses a sample of 1,548 publicly listed...