Essays about: "macro dependent baseline function"

Found 1 essay containing the words macro dependent baseline function.

  1. 1. Bankruptcy Prediction: Static Logit Model versus Discrete Hazard Models Incorporating Macroeconomic Dependencies

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Henning Schmidt; Matej Duda; [2010]
    Keywords : bankruptcy prediction; discrete-time hazard model; static logit; multi-period logit; macro dependent baseline function; Business and Economics;

    Abstract : The purpose of this master thesis is to (i) compare the out-of-sample prediction power of one static logit model and two hazard models, (ii) explore whether incorporating macroeconomic patterns improves forecasting results, and (iii) examine the determinants of corporate failures from the pool of accounting and market driven variables. We perform our study on 102 US listed manufacturing firms that defaulted between 2000 and 2009. READ MORE