Zobrazeno 1 - 10
of 51
pro vyhledávání: '"Shih-Kuei Lin"'
Publikováno v:
Financial Innovation, Vol 9, Iss 1, Pp 1-58 (2023)
Abstract This research explores upside and downside jumps in the dynamic processes of three rates: domestic interest rates, foreign interest rates, and exchange rates. To fill the gap between the asymmetric jump in the currency market and the current
Externí odkaz:
https://doaj.org/article/c7ea45c11ef043419ab0cc6dee268629
Publikováno v:
Quantitative Finance and Economics, Vol 6, Iss 2, Pp 303-325 (2022)
In this study, we constructed the credit-scoring model of P2P loans by using several machine learning and artificial neural network (ANN) methods, including logistic regression (LR), a support vector machine, a decision tree, random forest, XGBoost,
Externí odkaz:
https://doaj.org/article/b83ba7b874a847f687cbf5da749a6793
Publikováno v:
Mathematics, Vol 9, Iss 23, p 3087 (2021)
Probability of default (PD) estimation is essential to the calculation of expected credit loss under the Basel III framework and the International Financial Reporting Standard 9. Gross domestic product (GDP) growth has been adopted as a key determina
Externí odkaz:
https://doaj.org/article/e242b928e6644d44ba0aa60502b84166
Publikováno v:
Mathematics, Vol 9, Iss 16, p 1930 (2021)
Under the Basel II and Basel III agreements, the probability of default (PD) is a key parameter used in calculating expected credit loss (ECL), which is typically defined as: PD × Loss Given Default × Exposure at Default. In practice or in regulato
Externí odkaz:
https://doaj.org/article/5630f8c437554139b0cb8ae4b4cdc606
Publikováno v:
Applied Economics Letters. :1-7
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::eb8f328043370621af57a628f25c64ce
https://doi.org/10.1080/13504851.2023.2178620
https://doi.org/10.1080/13504851.2023.2178620
Publikováno v:
NTU Management Review. Apr2021, Vol. 31 Issue 1, p117-153. 37p.
Publikováno v:
Review of Quantitative Finance and Accounting. 56:25-51
This study incorporates the Markov switching model with return jumps to depict the behavior of stock returns. Based on the daily Standard & Poor’s 500 index (hereafter SPX) and the daily closing price of the call option, we use the particle filteri
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::455eaff78321c851b240661b0d3058ba
https://doi.org/10.1007/s11156-020-00885-x
https://doi.org/10.1007/s11156-020-00885-x
Publikováno v:
International Review of Economics & Finance. 66:71-91
In this paper, we study whether the correlated jump risks of interest and exchange rates play an important role in currency option pricing. We augment the model of Jarrow and Yildirim (2003) with correlated jump risks (herein referred to as the CB-CJ
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::55101dae1521debecab4f3645a9f018a
https://doi.org/10.1016/j.iref.2019.10.013
https://doi.org/10.1016/j.iref.2019.10.013
Publikováno v:
Journal of Asset Management. 21:154-165
This study examines the presence of excess volatility and market efficiency in government bond markets of ASEAN-5 member countries. The individual country-level bond volatility is verified using an AR-GARCH model with a multivariate extension of pane
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ca757c037e566ed8c3bf01396c54853f
https://doi.org/10.1057/s41260-020-00154-5
https://doi.org/10.1057/s41260-020-00154-5
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e44b4524efbf70b04b52027fd6d57580
https://doi.org/10.2139/ssrn.4008759
https://doi.org/10.2139/ssrn.4008759