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Predicting default of listed companies in mainland China via U-MIDAS Logit model with group lasso penalty
16 references·0 citing·54 second hop
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References

  • 1984Specification Tests for the Multinomial Logit Model2,510 cited
  • 2012Stock Market Volatility and Macroeconomic Fundamentals1,122 cited
  • 2007MIDAS Regressions: Further Results and New Directions1,003 cited
  • 2004Predicting Firm Financial Distress: A Mixed Logit Model377 cited
  • 2013Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH–DCC approach359 cited
  • 2005Stock market integration in ASEAN after the Asian financial crisis294 cited
  • 2013Unrestricted Mixed Data Sampling (MIDAS): MIDAS Regressions with Unrestricted Lag Polynomials275 cited
  • 2015Do high-frequency financial data help forecast oil prices? The MIDAS touch at work132 cited
  • 2016Comparison of individual, ensemble and integrated ensemble machine learning methods to predict China’s SME credit risk in supply chain finance130 cited
  • 2010Volatility forecasting and microstructure noise101 cited
  • 2015Logit and Probit Model used for Prediction of Financial Health of Company88 cited
  • 2006Financial distress prediction by a radial basis function network with logit analysis learning73 cited
  • 2003Evaluating interval forecasts of high‐frequency financial data58 cited
  • 2014Variable Selection in Predictive MIDAS Models56 cited

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2014
Forecasting GDP growth using mixed-frequency models with switching regimes
52 cited
  • 2018Predicting U.S. Bank Failures with MIDAS Logit Models42 cited
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