Competing risks proportional-hazards cure model and Generalized Extreme Value regression: an application to bank failures and acquisitions in the United States.
Beretta, Alessandro ; Université de Liège - ULiège > HEC Liège : UER > UER Opérations: Statistique appl. à la gest. et à l'économie
Heuchenne, Cédric ; Université de Liège - ULiège > HEC Liège : UER > UER Opérations: Statistique appl. à la gest. et à l'économie
Restaino, Maria-Luisa
Langue du document :
Anglais
Titre :
Competing risks proportional-hazards cure model and Generalized Extreme Value regression: an application to bank failures and acquisitions in the United States.
A., Akhigbe, J., Madura and A.M., Whyte, Partial anticipation and the gains to bank merger targets, J. Financ. Serv. Res. 26 (2004), pp. 55–71.
E.I., Altman, J., Cizel and H.A., Rijken, Anatomy of bank distress: The information content of accounting fundamentals within and across countries, 2014. Available at https://ssrn.com/abstract=2504926.
M., Amico and I., Van Keilegom, Cure models in survival analysis, Annu. Rev. Stat. Appl. 5 (2018), pp. 311–342.
F., Audrino, A., Kostrov and J.P., Ortega, Predicting US bank failures with MIDAS logit models, J. Financ. Quant. Anal. 54 (2019), pp. 2575–2603.
E., Balla, L.C., Mazur, E.S., Prescott and J.R., Walter, A comparison of community bank failures and FDIC losses in the 1986–1992 and 2007–2013 banking crises, J. Bank. Finance 106 (2019), pp. 1–15.
A., Beretta and C., Heuchenne, Variable selection in proportional hazards cure model with time-varying covariates, application to us bank failures, J. Appl. Stat. 46 (2019), pp. 1529–1549.
F., Betz, S., Oprică, T.A., Peltonen and P., Sarlin, Predicting distress in European banks, J. Bank. Finance 45 (2014), pp. 225–241.
S., Caiazza, A., Clare and A.F., Pozzolo, What do bank acquirers want? Evidence from worldwide bank M&A targets, J. Bank. Finance 36 (2012), pp. 2641–2659.
R., Calabrese and S., Osmetti, Modelling small and medium enterprise loan defaults as rare events: The generalized extreme value regression model, J. Appl. Stat. 40 (2013), pp. 1172–1188.
R., Cole and J., Gunther, Separating the likelihood and timing of bank failure, J. Bank. Finance 19 (1995), pp. 1073–1089.
R.A., Cole and L.J., White, Déjà vu all over again: The causes of US commercial bank failures this time around, J. Financ. Serv. Res. 42 (2012), pp. 5–29.
R., Correa, Cross-border bank acquisitions: Is there a performance effect?, J. Financ. Serv. Res. 36 (2009), p. 169.
D., Cox, Regression models and life-tables, J. R. Stat. Soc. Ser. B (Methodol.) 34 (1972), pp. 187–220.
C., Czado and T.J., Santner, The effect of link misspecification on binary regression inference, J. Stat. Plan. Inference 33 (1992), pp. 213–231.
A., Demirgüç-Kunt, Deposit-institution failures: A review of empirical literature, Econ. Rev. 25 (1989), pp. 2–19.
A., Dempster, N., Laird and D., Rubin, Maximum likelihood from incomplete data via the EM algorithm, J. R. Stat. Soc. Ser. B. (Methodol.) 39 (1977), pp. 1–38.
R., DeYoung, D.D., Evanoff and P., Molyneux, Mergers and acquisitions of financial institutions: A review of the post-2000 literature, J. Financ. Serv. Res. 36 (2009), pp. 87–110.
B., Efron, The Jackknife, the Bootstrap and other resampling plans, in CBMS-NSF Regional Conference Series in Applied Mathematics, Ron Rozier, ed., Society for Industrial and Applied Mathematics, 1982.
D., Focarelli, F., Panetta and C., Salleo, Why do banks merge?, J. Money Credit Bank 34 (2002), pp. 1047–1066.
T.H., Hannan and S.J., Pilloff, Acquisition targets and motives in the banking industry, J. Money Credit Bank. 41 (2009), pp. 1167–1187.
I., Hernando, M.J., Nieto and L.D., Wall, Determinants of domestic and cross-border bank acquisitions in the European Union, J. Bank. Finance 33 (2009), pp. 1022–1032.
G., King and L., Zeng, Logistic regression in rare events data, Polit. Anal. 9 (2001), pp. 137–163.
W., Lane, S., Looney and J., Wansley, An application of the Cox proportional hazards model to bank failure, J. Bank. Finance 10 (1986), pp. 511–531.
C.A., Molina, Predicting bank failures using a hazard model: The Venezuelan banking crisis, Emerg. Mark. Rev. 3 (2002), pp. 31–50.
J., Sy and J., Taylor, Estimation in a Cox proportional hazards cure model, Biometrics 56 (2000), pp. 227–236.
J., Thomson, Predicting bank failures in the 1980s, Econ. Rev. 27 (1991), pp. 9–20.
X., Wang and D., Dey, Generalized extreme value regression for binary response data: An application to B2B electronic payments system adoption, Ann. Appl. Stat. 4 (2010), pp. 2000–2023.
G., Whalen, A proportional hazards model of bank failure: An examination of its usefulness as an early warning tool, Econ. Rev. 27 (1991), pp. 21–30.
D., Wheelock and P., Wilson, Why do banks disappear? The determinants of US bank failures and acquisitions, Rev. Econ. Stat. 82 (2000), pp. 127–138.
