In this paper, we introduce a semi-parametric Bayesian methodology based on the proportional hazard model that assumes that the baseline hazard function is constant over segments but, by contrast to what is usually assumed in the literature, with the periods at which the function changes not...

This article proposes a new methodology to estimate the Value at Risk (VaR) in a time varying heteroscedastic dynamic regression context. The methodology assumes that the form of the model and its information set may also change over time and takes into account the uncertainty associated with...