This paper proposes a new bivariate competing risks model in which both durations are the first passage times of dependent Lévy subordinators with exponential thresholds and multiplicative covariates effects. Our specification extends the mixed proportional hazards model, as it allows for the...

Payers are increasingly calling for the value of new drugs to be measured explicitly. We analyze how the availability of drug quality ratings by health technology assessment (HTA) agencies affects the adoption of new drugs by physicians in Germany. We combine data from drug quality ratings,...

This paper builds on the Empirical Monte Carlo simulation approach developed by Huber et al. (2013) to study the estimation of Timing-of-Events (ToE) models. We exploit rich Swedish data of unemployed job-seekers with information on participation in a training program to simulate placebo...

This paper studies periods of prolonged contractions in output per capita in a sample of 145 countries from 1950 to 2014. Economic slumps are defined as abrupt interruptions of a period of growth by several regime switches. Slumps start with a sharp contraction along with a trend break, which is...

Discount rates affect stock prices directly via the discount-rate channel or indirectly via the cash-flow channel because expected future cash-flow growth varies with the discount rates. The traditional Macaulay duration captures the effect from the discount-rate channel. I propose a novel...

We define accrual duration as the length of time between an accrual and its associated cash flow. Accrual duration and accrual discretion are inextricably linked by the fundamentals of the accrual process because one side of an accrual pair is pinned down by the sign and magnitude of its...

We give a thorough analytic characterization of a large class of sticky-price models where the firm's price setting behavior is described by a generalized hazard function. Such a function provides a tractable description of the firm's price setting behavior and allows for a vast variety of...

We compare the out-of-sample accuracy of three methodologies—the time-varying hazard model of Shumway (2001), the static probit model used by Cole and Gunther (1998), and a static logistic regression model similar to Cole and White (2012)—in forecasting U.S. bank failures. When we limit all...