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Variable selection in forecasting models for corporate bankruptcy
(2011)
In this paper we develop statistical models for bankruptcy prediction of Italian
firms in the limited liability sector, using annual balance sheet information.
Several issues involved in default risk analysis are ...
A note on the invertibility of the threshold moving average model
(2010)
The Threshold Moving Average model with k regimes of order q is examined. In
particular we provide sufficient conditions for its invertibility by generalizing some
results reported in the literature. In the first part ...