The ability to predict corporate financial distress can be strengthened using models that account for serial correlation in the data, incorporate information from more than one period and include stationary explanatory variables. This paper develops a stationary financial distress model for AMEX...

This paper develops a financial distress model using the statistical methodology of time-series Cumulative Sums (CUSUM). The model has the ability to distinguish between changes in the financial variables of a firm that are the result of serial correlation and changes that are the result of...

This paper develops a financial distress model using the statistical methodology of time-series Cumulative Sums (CUSUM). The model has the ability to distinguish between changes in the financial variables of a firm that are the result of serial correlation and changes that are the result of...

We introduce a macroeconomic system which we use for interest rate determination, after which we generate the interest rate risk premium. Considering this risk premium function, we investigate, test and determine the macro-variables which affect the interest rate risk premia by using a...