Comparing firm failure predictions between Logit, KMV, and ZPP models: Evidence from Taiwan's electronics industry

DOI10.1007/S10690-010-9113-5zbMath1195.91183OpenAlexW2007757224MaRDI QIDQ1959134

Shih-Ming Huang, En-Der Su

Publication date: 6 October 2010

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-010-9113-5

zbMATH Keywords

failure predictionGARCH simulationTaiwan's electronics industryvalidation of discriminatory powerzero-price probability

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (1)

Default probability estimation via pair copula constructions

Cites Work

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• A new approach for firm value and default probability estimation beyond Merton models
• Artificial neural networks in bankruptcy prediction: General framework and cross-validation analysis
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Managerial Applications of Neural Networks: The Case of Bank Failure Predictions
• Semiparametric Receiver Operating Characteristic Analysis to Evaluate Biomarkers for Disease
• Portfolio Analysis in a Stable Paretian Market

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