Predicting bankruptcy using the discrete-time semiparametric hazard model

DOI10.1080/14697680902814274zbMath1210.91149OpenAlexW2150164326MaRDI QIDQ2994845

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Publication date: 29 April 2011

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680902814274

zbMATH Keywords

semiparametric modelpanel datalocal likelihooddiscrete-time hazard modelout-of-sample error rate

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Credit risk (91G40)

Related Items (1)

Forecasting forward defaults: a simple hazard model with competing risks

Cites Work

• Unnamed Item
• Using Bayesian networks for bankruptcy prediction: some methodological issues
• Exact mean integrated squared error
• Bootstrap confidence bands for regression curves and their derivatives
• Bootstrapping local polynomial estimators in likelihood-based models
• Local Likelihood Estimation
• Local Polynomial Kernel Regression for Generalized Linear Models and Quasi-Likelihood Functions
• The Kernel Estimate of a Regression Function in Likelihood-Based Models

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