Artificial Neural Network (ANN) has been shown to be an efficient tool for non-parametric modelling of data in a variety of different contexts where the output is a non-linear function of the inputs. These include business forecasting, credit scoring, bond rating, business failure prediction,...

Artificial Neural Network (ANN) has been shown to be an efficient tool for non-parametric modeling of data in a variety of different contexts where the output is a non-linear function of the inputs. These include business forecasting, credit scoring, bond rating, business failure prediction,...

Indonesia has slowly evolved as a nation which though afflicted by the internal differences and problems since independence. Also in the recent past it transformed itself into a democracy in 2004 and also managed to survive the financial crisis of 1997. Though many commentators and social...

In this article we propose two new methods of portfolio allocation which are applicable for all return distributions. The properties of these new methods are compared with that of Markowitz's mean-variance method using extensive simulation. It is found that the new methods perform appreciably in...

I consider the problem of detecting and predicting regime switching behaviour in the context of Indian Stock Market data. First I discuss detection of volatility change points using the LRT and the Binary Segmentation procedure of Vostrikova (1981). The detected volatility changes are correlated...

This article examines, what makes rural household a preferred choice for formal lenders? It develops sample selected ordered probit model to address this question. While, the selection equation models the determinants of access to credit, an ordered probit model is used to determine the factors...

In this paper we consider modeling leptokurtic daily log-return distributions of three commodities: gold, silver and crude oil. Three modeling approaches are tried out namely (a) a two component mixture of normal distributions model, (b) Variance Gamma (VG) distribution model and (c) Generalized...

The well known Shewharts control chart for mean is constructed under the assumption that the distribution of underlying quality characteristic is normal. It is known that the performance of this control chart is seriously degraded if the underlying distribution is different from normal. Since in...

In this paper we introduce a new likelihood based method, called the likelihood integrated method, which is distinct from the well known integrated likelihood method. We use the likelihood integrated to propose a simple exploratory graphical analysis for the change point problem in the context...