A novel approach to the combination of volatility forecasts is discussed. The proposed procedure makes use of the generalized method of moments (GMM) for estimating the combination weights. The asymptotic properties of the GMM estimator are derived while its finite sample properties are assessed...

Purpose – The aim of the paper is to investigate several aspects of bankruptcy prediction within both theoretical and empirical frameworks. In particular, it has focused on the comparison of different techniques used to forecast failure through a balanced sample of companies within a...

This paper considers the moments generation of the self exciting threshold autoregressive moving average model. In particular the exact form of the moments of order r is derived and, using this result, the unconditional variance, the skewness and the kurtosis index are given as functions of...