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Variable selection in forecasting models for corporate bankruptcy
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
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 ...