Accurate business failure prediction models would be extremely valuable to many industry sectors, particularly in financial investment and lending. The potential value of such models has been recently emphasised by the extremely costly failure of high profile businesses in both Australia and...

Accurate business failure prediction models would be extremely valuable to many industry sectors, particularly financial investment and lending. The potential value of such models is emphasised by the extremely costly failure of high-profile companies in the recent past. Consequently, a...

In the paper, we use generalized autoregressive conditional heteroskedasticity-mixed data sampling (GARCH-MIDAS) to study the impact of Australia’s commodity price index, Global economic conditions indicator, Global Economic Policy Uncertainty Index, monthly realised volatility of S&P/ASX 200...

Popular ways of hedging downside risk of a stock portfolio is by means of a constant proportion portfolio insurance (CPPI) strategy or by means of an options-based portfolio insurance strategy (OBPI). However both have drawbacks in terms of practical applicability given transaction costs....

Purpose – The purpose of this paper is to perform a comparative study of prediction performances of an artificial neutral network (ANN) model against a linear prediction model like a linear discriminant analysis (LDA) with regards to forecasting corporate credit ratings from financial...