Showing 1 - 10 of 458
This paper decomposes the explained part of the CDS spread changes of 31 listed euro area banks according to various risk drivers. The choice of the credit risk drivers is inspired by the Merton (1974) model. Individual CDS liquidity and other market and business variables are identified to...
Persistent link: https://www.econbiz.de/10011506710
The topic of insolvency risk in connection with life insurance companies has recently attracted a great deal of attention. In this paper, the question is investigated of how the value of the equity and of the liability of a life insurance company are affected by the default risk and the choice...
Persistent link: https://www.econbiz.de/10010263166
In recent times of noticeable climate change the consideration of external factors, such as weather and economic key figures, becomes even more crucial for a proper valuation of derivatives written on agricultural commodities. The occurrence of remarkable price changes as a result of severe...
Persistent link: https://www.econbiz.de/10014497500
Purpose: The goal of this study was to propose the multi-agent mechanism to forecast the corporate financial distress. Design/methodology/approach: This study utilized numerous methods, namely random subspace method, discriminant analysis and decision tree to construct the multi-agent...
Persistent link: https://www.econbiz.de/10011939208
With the objective of evaluating the accuracy of price index models, we adopt a series of techniques to compares the performances of the hedonic, repeat sales, and hybrid models based on the data from the Chinese most representative painter, Qi Baishi during the period from 2000 to 2016. When...
Persistent link: https://www.econbiz.de/10011988833
Longer term exposure to high poverty neighbourhoods can affect individual socio-economic outcomes later in life. Previous research has shown strong path dependence in individual neighbourhood histories. A growing literature shows that the neighbourhood histories of people is linked to the...
Persistent link: https://www.econbiz.de/10011816607
This study aims to create a monthly sales quantity budget by making use of the previous income data of an enterprise operating within the construction sector, which is considered the locomotive of the economy. For estimating time-series of sales as a linear model ARIMA (Auto-Regressive...
Persistent link: https://www.econbiz.de/10012873454
This study introduces the Ensemble Empirical Mode Decomposition (EEMD) technique to forecasting popular vote share. The technique is useful when using polling data, which is pertinent when none of the main candidates is the incumbent. Our main interest in this study is the short- and long-term...
Persistent link: https://www.econbiz.de/10013272177
The Standard Generalised Autoregressive Conditionally Heteroskedastic (sGARCH) model and the Functional Generalised Autoregressive Conditionally Heteroskedastic (fGARCH) model were applied to study the volatility of the Autoregressive Fractionally Integrated Moving Average (ARFIMA) model, which...
Persistent link: https://www.econbiz.de/10012600278
The predictability of wind information in a given location is essential for the evaluation of a wind power project. Predicting wind speed accurately improves the planning of wind power generation, reducing costs and improving the use of resources. This paper seeks to predict the mean hourly wind...
Persistent link: https://www.econbiz.de/10012652023