Predicting bankruptcy using the discrete-time semiparametric hazard model

NCU Institutional Repository > 理學院 > 統計研究所 > 期刊論文 > Item 987654321/51834

jsp.display-item.identifier=請使用永久網址來引用或連結此文件: http://ir.lib.ncu.edu.tw/handle/987654321/51834

题名:	Predicting bankruptcy using the discrete-time semiparametric hazard model
作者:	Cheng,KF;Chu,CK;Hwang,RC
贡献者:	統計研究所
日期:	2010
上传时间:	2012-03-27 19:07:19 (UTC+8)
出版者:	國立中央大學
摘要:	The usual bankruptcy prediction models are based on single-period data from firms. These models ignore the fact that the characteristics of firms change through time, and thus they may suffer from a loss of predictive power. In recent years, a discrete-time parametric hazard model has been proposed for bankruptcy prediction using panel data from firms. This model has been demonstrated by many examples to be more powerful than the traditional models. In this paper, we propose an extension of this approach allowing for a more flexible choice of hazard function. The new method does not require the assumption of a parametric model for the hazard function. In addition, it also provides a tool for checking the adequacy of the parametric model, if necessary. We use real panel datasets to illustrate the proposed method. The empirical results confirm that the new model compares favorably with the well-known discrete-time parametric hazard model.
關聯:	QUANTITATIVE FINANCE
显示于类别:	[統計研究所] 期刊論文

文件中的档案:

档案	描述	大小	格式	浏览次数
index.html		0Kb	HTML	700	检视/开启

在NCUIR中所有的数据项都受到原著作权保护.

社群 sharing