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Details about Elena Ivona Dumitrescu

Homepage:https://sites.google.com/site/ivonadumitrescu
Workplace:EconomiX, Université Paris-Nanterre (Paris X) (University of Paris-Nanterre), (more information at EDIRC)

Access statistics for papers by Elena Ivona Dumitrescu.

Last updated 2023-12-05. Update your information in the RePEc Author Service.

Short-id: pdu298


Jump to Journal Articles

Working Papers

2022

  1. Machine Learning for Credit Scoring: Improving Logistic Regression with Non Linear Decision Tree Effects
    Post-Print, HAL Downloads 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) Downloads View citations (32) (2022)

2021

  1. Machine Learning or Econometrics for Credit Scoring: Let's Get the Best of Both Worlds
    Working Papers, HAL Downloads View citations (1)
    Also in LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans (2020) Downloads View citations (2)

2020

  1. How Should Parameter Estimation Be Tailored to the Objective?
    Post-Print, HAL

2019

  1. 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 Downloads
    Also in Post-Print, HAL (2019)
  2. Local Whittle Analysis of Stationary Unbalanced Fractional Cointegration Systems
    EconomiX Working Papers, University of Paris Nanterre, EconomiX Downloads
  3. Narrow-band Weighted Nonlinear Least Squares Estimation of Unbalanced Cointegration Systems
    EconomiX Working Papers, University of Paris Nanterre, EconomiX Downloads View citations (2)

2017

  1. Testing for Extreme Volatility Transmission with Realized Volatility Measures
    EconomiX Working Papers, University of Paris Nanterre, EconomiX Downloads View citations (3)

2015

  1. 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) Downloads View citations (54) (2015)

2014

  1. Commodity Prices and Exchange Rate: Lessons from South Africa's Capital Account Liberalization
    Post-Print, HAL View citations (7)
  2. 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) Downloads View citations (12)
    LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans (2010) Downloads View citations (12)

    See also Journal Article Currency crisis early warning systems: Why they should be dynamic, International Journal of Forecasting, Elsevier (2014) Downloads View citations (31) (2014)

2013

  1. Multivariate Dynamic Probit Models: An Application to Financial Crises Mutation
    Post-Print, HAL View citations (5)
    Also in Working Papers, HAL (2012) Downloads View citations (4)
  2. Testing Interval Forecasts: a GMM-Based Approach
    Post-Print, HAL View citations (2)
    Also in Working Papers, HAL (2011) Downloads 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

  1. Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests
    Post-Print, HAL View citations (25)
    Also in Working Papers, HAL (2012) Downloads View citations (26)

    See also Journal Article Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests, Finance, Presses universitaires de Grenoble (2012) Downloads View citations (26) (2012)
  2. 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) Downloads 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) Downloads View citations (67) (2012)
  3. How to evaluate an Early Warning System ?
    Working Papers, HAL Downloads View citations (51)
  4. Testing for Granger Non-causality in Heterogeneous Panels
    Post-Print, HAL View citations (1440)
    Also in Working Papers, HAL (2012) Downloads View citations (1490)

    See also Journal Article Testing for Granger non-causality in heterogeneous panels, Economic Modelling, Elsevier (2012) Downloads View citations (1453) (2012)

2011

  1. 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 Downloads
  2. Modelling Financial Crises Mutation
    LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans Downloads View citations (1)
  3. 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 Downloads

Journal Articles

2022

  1. Machine learning for credit scoring: Improving logistic regression with non-linear decision-tree effects
    European Journal of Operational Research, 2022, 297, (3), 1178-1192 Downloads View citations (32)
    See also Working Paper Machine Learning for Credit Scoring: Improving Logistic Regression with Non Linear Decision Tree Effects, Post-Print (2022) Downloads View citations (42) (2022)

2015

  1. Which are the SIFIs? A Component Expected Shortfall approach to systemic risk
    Journal of Banking & Finance, 2015, 50, (C), 575-588 Downloads 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

  1. Commodity prices and exchange rate volatility: Lessons from South Africa's capital account liberalization
    Emerging Markets Review, 2014, 19, (C), 96-105 Downloads View citations (16)
  2. Currency crisis early warning systems: Why they should be dynamic
    International Journal of Forecasting, 2014, 30, (4), 1016-1029 Downloads 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

  1. 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

  1. Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests
    Finance, 2012, 33, (1), 79-112 Downloads 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)
  2. 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 Downloads 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)
  3. Testing for Granger non-causality in heterogeneous panels
    Economic Modelling, 2012, 29, (4), 1450-1460 Downloads 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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