Forecasting Corporate Bankruptcy: Applying Feature Selection Techniques to the Pre- and Post-Global Financial Crisis Environments
By Parker Levi I investigate the use of feature selection techniques to forecast corporate bankruptcy in the years before, during and after the global financial crisis. Feature selection is the process of selecting a subset of relevant features for use in model construction. While other empirical bankruptcy studies apply similar techniques, I focus specifically […]
Multi-Horizon Forecast Optimality Based on Related Forecast Errors
By Christopher G. MacGibbon This thesis develops a new Multi-Horizon Moment Conditions test for evaluating multi-horizon forecast optimality. The test is based on the variances, covariances and autocovariances of optimal forecast errors that should have a non-zero relationship for multi-horizon forecasts. A simulation study is conducted to determine the test’s size and power properties. Also, […]
Dealing with Data: An Empirical Analysis of Bayesian Black-Litterman Model Extensions
By Daniel Roeder Portfolio Optimization is a common financial econometric application that draws on various types of statistical methods. The goal of portfolio optimization is to determine the ideal allocation of assets to a given set of possible investments. Many optimization models use classical statistical methods, which do not fully account for estimation risk in […]
Conditional Beta Model for Asset Pricing By Sector in the U.S. Equity Markets
By Yuci Zhang In nance, the beta of an investment is a measure of the risk arising from exposure to general market movements as opposed to idiosyncratic factors. Therefore, reliable estimates of stock portfolio betas are essential for many areas in modern nance, including asset pricing, performance evaluation, and risk management. In this paper, we […]
