This paper proposes a novel approach to the combination of conditional covariance matrix forecasts based on the use of the Generalized Method of Moments (GMM). It is shown how the procedure can be generalized to deal with large dimensional systems by means of a two-step strategy. The finite...

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...