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    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/74191
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/74191


    Title: The Prediction of Default with Outliers: Robust Logistic Regression
    Authors: Shen, Chung-Hua;Liang, Chen, Yi-Kai;Huang, Bor-Yi
    沈中華
    Contributors: 金融系
    Keywords: Logit;Robust Logit;Forecast;Validation test
    Date: 2010
    Issue Date: 2015-03-30 12:02:46 (UTC+8)
    Abstract: 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.
    Relation: Handbook of Quantitative Finance and Risk Management,Part IV,pp 965-977
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1007/978-0-387-77117-5_62
    DOI: 10.1007/978-0-387-77117-5_62
    Appears in Collections:[金融學系] 期刊論文

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