Dynamic analysis of the forecasting bankruptcy under presence of unobserved heterogeneity

DOI10.1007/S10479-016-2143-2zbMath1416.91409OpenAlexW2283335689MaRDI QIDQ1615786

Ilyes Abid, Olfa Kaabia, Farid Mkaouar

Publication date: 31 October 2018

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-016-2143-2

zbMATH Keywords

duration modelmaximum simulated likelihood estimationbankruptcy defaultGHK algorithmmulti-period logit modelunobserved heterogeneity factors

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial science and mathematical finance (91G99)

Related Items (3)

Designing topological data to forecast bankruptcy using convolutional neural networks ⋮ Forecasting bankruptcy using biclustering and neural network-based ensembles ⋮ Forecasting corporate failure using ensemble of self-organizing neural networks

Cites Work

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• Model combination for credit risk assessment: a stacked generalization approach
• A Computationally Practical Simulation Estimator for Panel Data
• Bankruptcy Prediction with Industry Effects
• Comparative analysis of artificial neural network models: Application in bankruptcy prediction

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