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Compared to the conditional mean or median, conditional quantiles provide a more comprehensive picture of a variable in various scenarios. A semi-parametric quantile estimation method for a double threshold auto-regression with exogenous regressors and heteroskedasticity is considered, allowing...
Persistent link: https://www.econbiz.de/10010847606
We derive Bayesian confidence intervals for the probability of default (PD), asset correlation (Rho), and serial dependence (Theta) for low default portfolios (LDPs). The goal is to reduce the probability of underestimating credit risk in LDPs. We adopt a generalized method of moments with...
Persistent link: https://www.econbiz.de/10010847646
Persistent link: https://www.econbiz.de/10005184315
-service times densities in this queuing system. A Bayesian procedure based on birth-death MCMC methodology is proposed to estimate …
Persistent link: https://www.econbiz.de/10010634349