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dc.contributor.authorHwang, Ruey-Chingen_US
dc.contributor.authorChung, Huiminen_US
dc.contributor.authorKu, Jiun-Yien_US
dc.date.accessioned2014-12-08T15:30:31Z-
dc.date.available2014-12-08T15:30:31Z-
dc.date.issued2013-06-01en_US
dc.identifier.issn0920-8550en_US
dc.identifier.urihttp://dx.doi.org/10.1007/s10693-012-0136-0en_US
dc.identifier.urihttp://hdl.handle.net/11536/21805-
dc.description.abstractThe dynamic logit model (DLM) with autocorrelation structure (Liang and Zeger Biometrika 73:13-22, 1986) is proposed as a model for predicting recurrent financial distresses. This model has been applied in many examples to analyze repeated binary data due to its simplicity in computation and formulation. We illustrate the proposed model using three different panel datasets of Taiwan industrial firms. These datasets are based on the well-known predictors in Altman (J Financ 23:589-609, 1968), Campbell et al. (J Financ 62:2899-2939, 2008), and Shumway (J Bus 74:101-124, 2001). To account for the correlations among the observations from the same firm, we consider two different autocorrelation structures: exchangeable and first-order autoregressive (AR1). The prediction models including the DLM with independent structure, the DLM with exchangeable structure, and the DLM with AR1 structure are separately applied to each of these datasets. Using an expanding rolling window approach, the empirical results show that for each of the three datasets, the DLM with AR1 structure yields the most accurate firm-by-firm financial-distress probabilities in out-of-sample analysis among the three models. Thus, it is a useful alternative for studying credit losses in portfolios.en_US
dc.language.isoen_USen_US
dc.subjectAutocorrelation structureen_US
dc.subjectDynamic logit modelen_US
dc.subjectExpanding rolling window approachen_US
dc.subjectPredictive intervalen_US
dc.subjectPredicted number of financial distressesen_US
dc.subjectRecurrent financial distressesen_US
dc.titlePredicting Recurrent Financial Distresses with Autocorrelation Structure: An Empirical Analysis from an Emerging Marketen_US
dc.typeArticleen_US
dc.identifier.doi10.1007/s10693-012-0136-0en_US
dc.identifier.journalJOURNAL OF FINANCIAL SERVICES RESEARCHen_US
dc.citation.volume43en_US
dc.citation.issue3en_US
dc.citation.spage321en_US
dc.citation.epage341en_US
dc.contributor.department資訊管理與財務金融系 註:原資管所+財金所zh_TW
dc.contributor.departmentDepartment of Information Management and Financeen_US
dc.identifier.wosnumberWOS:000318283800004-
dc.citation.woscount1-
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