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

Working Papers

2022

1. Machine Learning for Credit Scoring: Improving Logistic Regression with Non Linear Decision Tree Effects
   Post-Print, HAL View citations (45)
   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 (35) (2022)

2021

2. 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

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

2019

4. 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)
5. Local Whittle Analysis of Stationary Unbalanced Fractional Cointegration Systems
   EconomiX Working Papers, University of Paris Nanterre, EconomiX
6. Narrow-band Weighted Nonlinear Least Squares Estimation of Unbalanced Cointegration Systems
   EconomiX Working Papers, University of Paris Nanterre, EconomiX View citations (2)

2017

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

2015

8. Which Are the SIFIs? A Component Expected Shortfall Approach to Systemic Risk
   Post-Print, HAL View citations (65)
   See also Journal Article Which are the SIFIs? A Component Expected Shortfall approach to systemic risk, Journal of Banking & Finance, Elsevier (2015) View citations (55) (2015)

2014

9. Commodity Prices and Exchange Rate: Lessons from South Africa's Capital Account Liberalization
   Post-Print, HAL View citations (7)
10. Currency Crises Early Warning Systems: Why They Should Be Dynamic
    Post-Print, HAL View citations (17)
    Also in LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans (2010) View citations (12)
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (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

11. 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)
12. 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

13. 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)
14. How to Evaluate an Early Warning System? Towards a Unified Statistical Framework for Assessing Financial Crises Forecasting Methods
    Post-Print, HAL View citations (58)
    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 (69) (2012)
15. How to evaluate an Early Warning System ?
    Working Papers, HAL View citations (51)
16. Testing for Granger Non-causality in Heterogeneous Panels
    Working Papers, HAL View citations (1542)
    Also in Post-Print, HAL (2012) View citations (1492)
    See also Journal Article Testing for Granger non-causality in heterogeneous panels, Economic Modelling, Elsevier (2012) View citations (1505) (2012)

2011

17. 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
18. Modelling Financial Crises Mutation
    LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans View citations (1)
19. 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

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 View citations (35)
   See also Working Paper Machine Learning for Credit Scoring: Improving Logistic Regression with Non Linear Decision Tree Effects, Post-Print (2022) View citations (45) (2022)

2015

2. Which are the SIFIs? A Component Expected Shortfall approach to systemic risk
   Journal of Banking & Finance, 2015, 50, (C), 575-588 View citations (55)
   See also Working Paper Which Are the SIFIs? A Component Expected Shortfall Approach to Systemic Risk, Post-Print (2015) View citations (65) (2015)

2014

3. Commodity prices and exchange rate volatility: Lessons from South Africa's capital account liberalization
   Emerging Markets Review, 2014, 19, (C), 96-105 View citations (19)
4. 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

5. 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

6. 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)
7. 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 (69)
   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 (58) (2012)
8. Testing for Granger non-causality in heterogeneous panels
   Economic Modelling, 2012, 29, (4), 1450-1460 View citations (1505)
   See also Working Paper Testing for Granger Non-causality in Heterogeneous Panels, Working Papers (2012) View citations (1542) (2012)