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Paper / 2019SMQ / 89205003823020
Corporate Financial Distress of Industry Level Listings in an Emerging Market
McAleer, M.J. / Pham, B.V.-N. / Pham, T.V.-T. / Vo, D.H.
corporate finance / econometricsResource overview

Corporate Financial Distress of Industry Level Listings in an Emerging Market

Paper2019

by McAleer, M.J., Pham, B.V.-N., Pham, T.V.-T., Vo, D.H.

Tags
corporate financeeconometricsregression

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Suggested foundations for financial time series and risk measurement and stress. Specialist prerequisites vary by paper.

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  1. Stationarity and Unit Roots

    Check whether a relationship can be estimated consistently over time.

  2. Linear Regression

    Read the fitted relationship and its residuals.

  3. Random Variables and Distributions

    Represent losses as a distribution rather than one forecast.

  4. Expected Shortfall and Other Tail Risk Measures

    Distinguish a loss quantile from the average loss in the tail.

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  1. Cointegration and Error Correction

    Study long-run relationships without confusing them with correlation.

  2. Regression Assumptions and Diagnostics

    Check the assumptions behind reported estimates.

  3. VaR Estimation in Practice: Variance-Covariance, Historical Simulation, Monte Carlo

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McAleer, M.J., Pham, B.V.-N., Pham, T.V.-T., Vo, D.H.

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