| dc.contributor | 金融系 | |
| dc.creator (作者) | Shen, Chung-Hua;Liang, Chen, Yi-Kai;Huang, Bor-Yi | |
| dc.creator (作者) | 沈中華 | zh_TW |
| dc.date (日期) | 2010 | |
| dc.date.accessioned | 30-Mar-2015 12:02:46 (UTC+8) | - |
| dc.date.available | 30-Mar-2015 12:02:46 (UTC+8) | - |
| dc.date.issued (上傳時間) | 30-Mar-2015 12:02:46 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/74191 | - |
| dc.description.abstract (摘要) | This paper suggests a Robust Logit method, which extends the conventional logit model by taking outliers into account, to implement forecast of defaulted firms. We employ five validation tests to assess the in-sample and out-of-sample forecast performances, respectively. With respect to in-sample forecasts, our Robust Logit method is substantially superior to the logit method when employing all validation tools. With respect to the out-of-sample forecasts, the superiority of Robust Logit is less pronounced. | |
| dc.format.extent | 456871 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | Handbook of Quantitative Finance and Risk Management,Part IV,pp 965-977 | |
| dc.subject (關鍵詞) | Logit; Robust Logit; Forecast; Validation test | |
| dc.title (題名) | The Prediction of Default with Outliers: Robust Logistic Regression | |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1007/978-0-387-77117-5_62 | en_US |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1007/978-0-387-77117-5_62 | en_US |
