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dc.contributor.authorAmendola, Alessandra
dc.contributor.authorRestaino, Marialuisa
dc.contributor.authorSensini, Luca
dc.date.accessioned2019-11-08T13:54:43Z
dc.date.available2019-11-08T13:54:43Z
dc.date.issued2011
dc.identifier.citationAmendola, A., Restaino, M. and Sensini, L. (2011). “Variable selection in forecasting models for corporate bankruptcy”. DISES Working Paper 3.216, Università degli Studi di Salerno, Dipartimento di Scienze Economiche e Statistiche.it_IT
dc.identifier.issn1971-3029it_IT
dc.identifier.urihttp://elea.unisa.it:8080/xmlui/handle/10556/3814
dc.identifier.urihttp://dx.doi.org/10.14273/unisa-2036
dc.description.abstractIn 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 investigated, such as the structure of the data-base, the sampling procedure and the influence of predictors. In particular we focus on the variable selection problem, comparing innovative techniques based on shrinkage with traditional stepwise methods. The predictive performance of the proposed default risk model has been evaluated by means of different accuracy measures. The results of the analysis, carried out on a data-set of financial ratios expressly created from a sample of industrial firms annual reports, give evidence in favor of the proposed model over traditional ones.it_IT
dc.format.extent43 p.it_IT
dc.language.isoenit_IT
dc.relation.ispartofWorking Papers ; 3.216it_IT
dc.sourceUniSa. Sistema Bibliotecario di Ateneoit_IT
dc.subjectForecastingit_IT
dc.subjectDefault riskit_IT
dc.subjectVariable selectionit_IT
dc.subjectShrinkageit_IT
dc.subjectLassoit_IT
dc.titleVariable selection in forecasting models for corporate bankruptcyit_IT
dc.typeWorking Paperit_IT
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