Details about Elena Ivona Dumitrescu
Access statistics for papers by Elena Ivona Dumitrescu.
Last updated 2023-12-05. Update your information in the RePEc Author Service.
Short-id: pdu298
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Working Papers
2022
- Machine Learning for Credit Scoring: Improving Logistic Regression with Non Linear Decision Tree Effects
Post-Print, HAL View citations (42)
See also Journal Article Machine learning for credit scoring: Improving logistic regression with non-linear decision-tree effects, European Journal of Operational Research, Elsevier (2022) View citations (32) (2022)
2021
- Machine Learning or Econometrics for Credit Scoring: Let's Get the Best of Both Worlds
Working Papers, HAL View citations (1)
Also in LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans (2020) View citations (2)
2020
- How Should Parameter Estimation Be Tailored to the Objective?
Post-Print, HAL
2019
- Do High-frequency-based Measures Improve Conditional Covariance Forecasts?
LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans 
Also in Post-Print, HAL (2019)
- Local Whittle Analysis of Stationary Unbalanced Fractional Cointegration Systems
EconomiX Working Papers, University of Paris Nanterre, EconomiX
- Narrow-band Weighted Nonlinear Least Squares Estimation of Unbalanced Cointegration Systems
EconomiX Working Papers, University of Paris Nanterre, EconomiX View citations (2)
2017
- Testing for Extreme Volatility Transmission with Realized Volatility Measures
EconomiX Working Papers, University of Paris Nanterre, EconomiX View citations (3)
2015
- Which Are the SIFIs? A Component Expected Shortfall Approach to Systemic Risk
Post-Print, HAL View citations (64)
See also Journal Article Which are the SIFIs? A Component Expected Shortfall approach to systemic risk, Journal of Banking & Finance, Elsevier (2015) View citations (54) (2015)
2014
- Commodity Prices and Exchange Rate: Lessons from South Africa's Capital Account Liberalization
Post-Print, HAL View citations (7)
- Currency Crises Early Warning Systems: Why They Should Be Dynamic
Post-Print, HAL View citations (17)
Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2010) View citations (12) LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans (2010) View citations (12)
See also Journal Article Currency crisis early warning systems: Why they should be dynamic, International Journal of Forecasting, Elsevier (2014) View citations (31) (2014)
2013
- Multivariate Dynamic Probit Models: An Application to Financial Crises Mutation
Post-Print, HAL View citations (5)
Also in Working Papers, HAL (2012) View citations (4)
- Testing Interval Forecasts: a GMM-Based Approach
Post-Print, HAL View citations (2)
Also in Working Papers, HAL (2011) View citations (1)
See also Journal Article Testing Interval Forecasts: A GMM‐Based Approach, Journal of Forecasting, John Wiley & Sons, Ltd. (2013) View citations (2) (2013)
2012
- Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests
Post-Print, HAL View citations (25)
Also in Working Papers, HAL (2012) View citations (26)
See also Journal Article Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests, Finance, Presses universitaires de Grenoble (2012) View citations (26) (2012)
- How to Evaluate an Early Warning System? Towards a Unified Statistical Framework for Assessing Financial Crises Forecasting Methods
Post-Print, HAL View citations (56)
Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2010) View citations (9)
See also Journal Article How to Evaluate an Early-Warning System: Toward a Unified Statistical Framework for Assessing Financial Crises Forecasting Methods, IMF Economic Review, Palgrave Macmillan (2012) View citations (67) (2012)
- How to evaluate an Early Warning System ?
Working Papers, HAL View citations (51)
- Testing for Granger Non-causality in Heterogeneous Panels
Post-Print, HAL View citations (1440)
Also in Working Papers, HAL (2012) View citations (1490)
See also Journal Article Testing for Granger non-causality in heterogeneous panels, Economic Modelling, Elsevier (2012) View citations (1453) (2012)
2011
- Backesting Value-at-Risk: From DQ (Dynamic Quantile) to DB (Dynamic Binary) Tests
LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans
- Modelling Financial Crises Mutation
LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans View citations (1)
- Testing Interval Forecasts: A New GMM-based Test
LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans
Journal Articles
2022
- Machine learning for credit scoring: Improving logistic regression with non-linear decision-tree effects
European Journal of Operational Research, 2022, 297, (3), 1178-1192 View citations (32)
See also Working Paper Machine Learning for Credit Scoring: Improving Logistic Regression with Non Linear Decision Tree Effects, Post-Print (2022) View citations (42) (2022)
2015
- Which are the SIFIs? A Component Expected Shortfall approach to systemic risk
Journal of Banking & Finance, 2015, 50, (C), 575-588 View citations (54)
See also Working Paper Which Are the SIFIs? A Component Expected Shortfall Approach to Systemic Risk, Post-Print (2015) View citations (64) (2015)
2014
- Commodity prices and exchange rate volatility: Lessons from South Africa's capital account liberalization
Emerging Markets Review, 2014, 19, (C), 96-105 View citations (16)
- Currency crisis early warning systems: Why they should be dynamic
International Journal of Forecasting, 2014, 30, (4), 1016-1029 View citations (31)
See also Working Paper Currency Crises Early Warning Systems: Why They Should Be Dynamic, Post-Print (2014) View citations (17) (2014)
2013
- Testing Interval Forecasts: A GMM‐Based Approach
Journal of Forecasting, 2013, 32, (2), 97-110 View citations (2)
See also Working Paper Testing Interval Forecasts: a GMM-Based Approach, Post-Print (2013) View citations (2) (2013)
2012
- Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests
Finance, 2012, 33, (1), 79-112 View citations (26)
See also Working Paper Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests, Post-Print (2012) View citations (25) (2012)
- How to Evaluate an Early-Warning System: Toward a Unified Statistical Framework for Assessing Financial Crises Forecasting Methods
IMF Economic Review, 2012, 60, (1), 75-113 View citations (67)
See also Working Paper How to Evaluate an Early Warning System? Towards a Unified Statistical Framework for Assessing Financial Crises Forecasting Methods, Post-Print (2012) View citations (56) (2012)
- Testing for Granger non-causality in heterogeneous panels
Economic Modelling, 2012, 29, (4), 1450-1460 View citations (1453)
See also Working Paper Testing for Granger Non-causality in Heterogeneous Panels, Post-Print (2012) View citations (1440) (2012)
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