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https://ah.lib.nccu.edu.tw/handle/140.119/74191
題名: | The Prediction of Default with Outliers: Robust Logistic Regression | 作者: | Shen, Chung-Hua;Liang, Chen, Yi-Kai;Huang, Bor-Yi 沈中華 |
貢獻者: | 金融系 | 關鍵詞: | Logit; Robust Logit; Forecast; Validation test | 日期: | 2010 | 上傳時間: | 30-Mar-2015 | 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. | 關聯: | Handbook of Quantitative Finance and Risk Management,Part IV,pp 965-977 | 資料類型: | article | DOI: | http://dx.doi.org/10.1007/978-0-387-77117-5_62 |
Appears in Collections: | 期刊論文 |
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chp%3A10.1007%2F978-0-387-77117-5_62.pdf | 446.16 kB | Adobe PDF2 | View/Open |
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