Computational Economics最新文献_第10页

Using Decision Trees to Predict Insolvency in Spanish SMEs: Is Early Warning Possible? 利用决策树预测西班牙中小型企业破产：早期预警可行吗？

IF 2 4区经济学

Computational Economics Pub Date : 2024-03-27 DOI: 10.1007/s10614-024-10586-5

Andrés Navarro-Galera, Juan Lara-Rubio, Pavel Novoa-Hernández, Carlos A. Cruz Corona

{"title":"Using Decision Trees to Predict Insolvency in Spanish SMEs: Is Early Warning Possible?","authors":"Andrés Navarro-Galera, Juan Lara-Rubio, Pavel Novoa-Hernández, Carlos A. Cruz Corona","doi":"10.1007/s10614-024-10586-5","DOIUrl":"https://doi.org/10.1007/s10614-024-10586-5","url":null,"abstract":"In today’s economic landscape, with its increasingly brief economic cycles and ever-changing market conditions, forecasting has become more critical than ever. In the specific case of small and medium-sized enterprises (SMEs), a crucial aspect is to anticipate the state of bankruptcy due to the low life expectancy of this type of company. A requirement that has been recommended by several international organizations such as the European Union, especially because SMEs contribute significantly to job creation and added value and to overcoming the effects of economic crises. Despite the progress in this field, there are economies that have been little or poorly addressed by the literature. This is the case for Spain, an economy where SMEs account for a significant share of its business landscape. To close this gap, this paper addressed the problem of predicting the insolvency of Spanish SMEs from a Machine Learning perspective. Leveraging a dataset encompassing financial and non-financial data from 58,267 Spanish SMEs spanning the period 2009–2020, we adjusted several decision tree models to address two scenarios of practical value in the Spanish context. Additionally, we conducted a thorough analysis of the most influential predictors of insolvency from a financial perspective. To empower Spanish SMEs, we provided them with a free software tool implementing the best models for the considered scenarios. The tool is intended to serve as an additional means to proactively and early assess solvency status.","PeriodicalId":50647,"journal":{"name":"Computational Economics","volume":"13 1","pages":""},"PeriodicalIF":2.0,"publicationDate":"2024-03-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140322276","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Standard Errors for Regression-Based Causal Effect Estimates in Economics Using Numerical Derivatives 使用数值导数计算经济学中基于回归的因果效应估计的标准误差

IF 2 4区经济学

Computational Economics Pub Date : 2024-03-25 DOI: 10.1007/s10614-024-10565-w

引用次数: 0

A New Look at Cross-Country Aggregation in the Global VAR Approach: Theory and Monte Carlo Simulation 全球 VAR 方法中的跨国聚合新视角：理论与蒙特卡罗模拟

IF 2 4区经济学

Computational Economics Pub Date : 2024-03-24 DOI: 10.1007/s10614-024-10569-6

Halil Ibrahim Gunduz, Furkan Emirmahmutoglu, M. Eray Yucel

{"title":"A New Look at Cross-Country Aggregation in the Global VAR Approach: Theory and Monte Carlo Simulation","authors":"Halil Ibrahim Gunduz, Furkan Emirmahmutoglu, M. Eray Yucel","doi":"10.1007/s10614-024-10569-6","DOIUrl":"https://doi.org/10.1007/s10614-024-10569-6","url":null,"abstract":"Requirements to understand and forecast the behavior of complex macroeconomic interactions mandate the use of high-dimensional macroeconometric models. The Global Vector Autoregressive (GVAR) modeling technique is very popular among them and it allows researchers and policymakers to take into account both the complex interdependencies that exist between various economic entities and the global economy through the world’s trade and financial channels. However, determining the cross-section unit size while using this approach is not a trivial task. In order to address this issue, we suggest an objective procedure for the detection of the size of the cross-country aggregation in GVAR models. While doing so, we depart from the Akaike Information Criterion (AIC) and propose an analytical modification to it, mainly employing an ad hoc approach without violating Akaike’s main principles. To supplement the theoretical results, small sample performances of those procedures are studied in Monte Carlo experiments as well as implementing our approach on real data. The numerical results suggest that our ad hoc modification of AIC can be used to determine the structure of the cross-section unit dimension in GVAR models, allowing the researchers and policymakers to build parsimonious models.","PeriodicalId":50647,"journal":{"name":"Computational Economics","volume":"66 1","pages":""},"PeriodicalIF":2.0,"publicationDate":"2024-03-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140302208","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

On Using Proportional Representation Methods as Alternatives to Pro-rata Based Order Matching Algorithms in Stock Exchanges 论在证券交易所使用比例代表方法替代按比例订单匹配算法

IF 2 4区经济学

Computational Economics Pub Date : 2024-03-21 DOI: 10.1007/s10614-024-10576-7

Sanjay Bhattacherjee, Palash Sarkar

引用次数: 0

Portfolio Optimization Using Novel EW-MV Method in Conjunction with Asset Preselection 利用结合资产预选的新型 EW-MV 方法优化投资组合

IF 2 4区经济学

Computational Economics Pub Date : 2024-03-19 DOI: 10.1007/s10614-024-10583-8

Priya Singh, Manoj Jha

{"title":"Portfolio Optimization Using Novel EW-MV Method in Conjunction with Asset Preselection","authors":"Priya Singh, Manoj Jha","doi":"10.1007/s10614-024-10583-8","DOIUrl":"https://doi.org/10.1007/s10614-024-10583-8","url":null,"abstract":"Integration of asset preselection with appropriate portfolio optimization techniques can improve the performance of the portfolio optimization models. This paper morphed the potential asset selection and the optimal portfolio construction rather than focusing on one. A large volume of sample data from 25 stocks is used for the experiment from the National Stock Exchange, India, between January 2005 and December 2021. Initially, a 3-step screening approach, an asset selection method is applied to select potential assets. The 3-steps comprise data choice, fundamental screening, and the Long Short Term Memory model anticipating real-time stock prices to shortlist stocks with higher expected returns. The suggested approach is effective in determining the quality of assets. Further, the optimal asset allocation is done by introducing a novel exponentially weighted-mean-variance model. This exponential weighting scheme outperforms the classical Mean-Variance model when applied to the maximum Sharpe ratio model. The proposed model outperforms the five baseline techniques in terms of the Sharpe ratio and average potential returns and risks. Additionally, the proposed model’s resilience across diversified time frames is tested through the incorporation of multiple time windows, demonstrating robustness of the performance.","PeriodicalId":50647,"journal":{"name":"Computational Economics","volume":"52 1","pages":""},"PeriodicalIF":2.0,"publicationDate":"2024-03-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140170219","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

A General and Efficient Method for Solving Regime-Switching DSGE Models 解决制度转换 DSGE 模型的通用高效方法

IF 2 4区经济学

Computational Economics Pub Date : 2024-03-17 DOI: 10.1007/s10614-024-10570-z

Julien Albertini, Stéphane Moyen

引用次数: 0

Evaluating Density Forecasts Using Weighted Multivariate Scores in a Risk Management Context 在风险管理背景下使用加权多变量得分评估密度预测

IF 2 4区经济学

Computational Economics Pub Date : 2024-03-16 DOI: 10.1007/s10614-024-10571-y

Jie Cheng

引用次数: 0

Debt Stabilisation and Dynamic Interaction Between Monetary Authority and National Fiscal Authorities 债务稳定与货币当局和国家财政当局之间的动态互动

IF 2 4区经济学

Computational Economics Pub Date : 2024-03-16 DOI: 10.1007/s10614-024-10561-0

Luca Gori, Francesco Purificato, Mauro Sodini

{"title":"Debt Stabilisation and Dynamic Interaction Between Monetary Authority and National Fiscal Authorities","authors":"Luca Gori, Francesco Purificato, Mauro Sodini","doi":"10.1007/s10614-024-10561-0","DOIUrl":"https://doi.org/10.1007/s10614-024-10561-0","url":null,"abstract":"The main aim of the present research is to consider a monetary union’s economy consisting of N countries, N fiscal authorities (one for each country) and a single monetary authority. The fiscal authorities want to stabilise output and public debt through the primary government balance, and they can exhibit heterogeneous preferences about the trade-off between output and debt stability. Unlike these, the monetary authority has the aim of price and output stability. They play a non-cooperative policy game, in which they independently and simultaneously choose monetary and fiscal instruments to pursue their goals. In a dynamic setting, each authority must choose its policy instrument prevailing in the next period without knowing—at the end of each period—the choice of other authorities. By assuming static expectations, the present work shows the possibility of several dynamic outcomes. First, there exists one Nash equilibrium representing the optimal level for the macro economy; this equilibrium is stable if the average weight that fiscal authorities assign to output stability is not excessively high; therefore, this result holds even if some authorities are less willing to promote debt stabilisation. Second, in addition to this equilibrium, there exist other Nash equilibria representing steady-state values for macroeconomic variables that differ from the targets adopted by the authorities; these equilibria emerge and are stable if the authorities’ preference for output stability is even greater and with a higher degree of heterogeneity compared to the previous case. Third, the parameters of the model matter to determine the stability properties of the equilibria, and the analysis shows the possibility of nonlinear dynamics.","PeriodicalId":50647,"journal":{"name":"Computational Economics","volume":"98 1","pages":""},"PeriodicalIF":2.0,"publicationDate":"2024-03-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140153603","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Estimation of Models for Stock Returns 股票收益模型的估计

IF 2 4区经济学

Computational Economics Pub Date : 2024-03-15 DOI: 10.1007/s10614-024-10580-x

引用次数: 0

Robust Prediction Intervals for Valuation of Large Portfolios of Variable Annuities: A Comparative Study of Five Models 大型变额年金组合估值的稳健预测区间：五种模型的比较研究

IF 2 4区经济学

Computational Economics Pub Date : 2024-03-15 DOI: 10.1007/s10614-024-10574-9

Tingting Sun, Haoyuan Wang, Donglin Wang

{"title":"Robust Prediction Intervals for Valuation of Large Portfolios of Variable Annuities: A Comparative Study of Five Models","authors":"Tingting Sun, Haoyuan Wang, Donglin Wang","doi":"10.1007/s10614-024-10574-9","DOIUrl":"https://doi.org/10.1007/s10614-024-10574-9","url":null,"abstract":"Valuation of large portfolios of variable annuities (VAs) is a well-researched area in the actuarial science field. However, the study of producing reliable prediction intervals for prices has received comparatively less attention. Compared to point prediction, the prediction interval can calculate a reasonable price range of VAs and help investors and insurance companies better manage risk to maintain profitability and sustainability. In this study, we address this gap by utilizing five different models in conjunction with bootstrapping techniques to generate robust prediction intervals for variable annuity prices. Our findings show that the Gradient Boosting regression (GBR) model provides the narrowest intervals compared to the other four models. While the Random sample consensus (RANSAC) model has the highest coverage rate, but it has the widest interval. In practical applications, considering the trade-off between coverage rate and interval width, the GBR model would be a preferred choice. Therefore, we recommend using the gradient boosting model with the bootstrap method to calculate the prediction interval of valuation for a large portfolio of variable annuity policies.","PeriodicalId":50647,"journal":{"name":"Computational Economics","volume":"69 1","pages":""},"PeriodicalIF":2.0,"publicationDate":"2024-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140153634","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0