Bradford Scholars is the University of Bradford online research archive. Access is free to anyone interested in research being conducted at Bradford. In the repository you will find a range of materials from journal articles and conference papers to research reports and theses.

Contact the repository team via openaccess@bradford.ac.uk with any queries about Open Access or to deposit your research papers.

 


 

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  • Testing the predictive ability of corridor implied volatility under GARCH models

    Lu, Shan (2019)
    This paper studies the predictive ability of corridor implied volatility (CIV) measure. It is motivated by the fact that CIV is measured with better precision and reliability than the model-free implied volatility due to the lack of liquid options in the tails of the risk-neutral distribution. By adding CIV measures to the modified GARCH specifications, the out-of-sample predictive ability of CIV is measured by the forecast accuracy of conditional volatility. It finds that the narrowest CIV measure, covering about 10% of the RND, dominate the 1-day ahead conditional volatility forecasts regardless of the choice of GARCH models in high volatile period; as market moves to non volatile periods, the optimal width broadens. For multi-day ahead forecasts narrow and mid-range CIV measures are favoured in the full sample and high volatile period for all forecast horizons, depending on which loss functions are used; whereas in non turbulent markets, certain mid-range CIV measures are favoured, for rare instances, wide CIV measures dominate the performance. Regarding the comparisons between best performed CIV measures and two benchmark measures (market volatility index and at-the-money Black–Scholes implied volatility), it shows that under the EGARCH framework, none of the benchmark measures are found to outperform best performed CIV measures, whereas under the GARCH and NAGARCH models, best performed CIV measures are outperformed by benchmark measures for certain instances.
  • Forecasting the term structure of volatility of crude oil price changes

    Balaban, E.; Lu, Shan (2016-04)
    This is a pioneering effort to test the comparative performance of two competing models for out-of-sample forecasting the term structure of volatility of crude oil price changes employing both symmetric and asymmetric evaluation criteria. Under symmetric error statistics, our empirical model using the estimated growth factor of volatility through time is overall superior, and it beats in most cases the benchmark model of the square-root-of-time for holding periods between one and 250 days. Under asymmetric error statistics, if over-prediction (under-prediction) of volatility is undesirable, the empirical (benchmark) model is consistently superior. Relative performance of the empirical model is much higher for holding periods up to fifty days.
  • The effects of stakeholder integration on firm-level product innovativeness: insights from small and medium-sized enterprises in Ghana

    Adomako, Samuel; Amankwah-Amoah, J.; Danso, A. (2019)
    In spite of growing research on the influence of external stakeholders on firm outcomes, there is a paucity of research on how they influence innovation in emerging economies. In addition, the specific environmental factors that may influence the effect of stakeholder integration (SI) on firm innovation is less understood. Using data collected from 248 small and medium-sized enterprises (SMEs) in Ghana, this paper develops and tests a model that examines the relationship between SI and firm-level product innovativeness. The findings from the study indicate SI positively relates to product innovativeness. Moreover, under conditions of higher competitor pressure and greater customer expectations, the effect of SI on product innovativeness is amplified. Contributions for theory and practice are discussed.
  • Hybrid case‑base maintenance approach for modeling large scale case‑based reasoning systems

    Khan, M.J.; Hayat, H.; Awan, Irfan U. (2019)
    Case-based reasoning (CBR) is a nature inspired paradigm of machine learning capable to continuously learn from the past experience. Each newly solved problem and its corresponding solution is retained in its central knowledge repository called case-base. Withρ the regular use of the CBR system, the case-base cardinality keeps on growing. It results into performance bottleneck as the number of comparisons of each new problem with the existing problems also increases with the case-base growth. To address this performance bottleneck, different case-base maintenance (CBM) strategies are used so that the growth of the case-base is controlled without compromising on the utility of knowledge maintained in the case-base. This research work presents a hybrid case-base maintenance approach which equally utilizes the benefits of case addition as well as case deletion strategies to maintain the case-base in online and offline modes respectively. The proposed maintenance method has been evaluated using a simulated model of autonomic forest fire application and its performance has been compared with the existing approaches on a large case-base of the simulated case study.
  • Would two-stage scoring models alleviate bank exposure to bad debt?

    Abdou, H.A.; Mitra, S.; Fry, J.; Elamer, Ahmed A. (2019-08-15)
    The main aim of this paper is to investigate how far applying suitably conceived and designed credit scoring models can properly account for the incidence of default and help improve the decision-making process. Four statistical modelling techniques, namely, discriminant analysis, logistic regression, multi-layer feed-forward neural network and probabilistic neural network are used in building credit scoring models for the Indian banking sector. Notably actual misclassification costs are analysed in preference to estimated misclassification costs. Our first-stage scoring models show that sophisticated credit scoring models, in particular probabilistic neural networks, can help to strengthen the decision-making processes by reducing default rates by over 14%. The second-stage of our analysis focuses upon the default cases and substantiates the significance of the timing of default. Moreover, our results reveal that State of residence, equated monthly instalment, net annual income, marital status and loan amount, are the most important predictive variables. The practical implications of this study are that our scoring models could help banks avoid high default rates, rising bad debts, shrinking cash flows and punitive cost-cutting measures.

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