Global frailty is an unobserved macroeconomic variable.  In event data contexts, this unobserved variable is assumed to impact the hazard rate of event arrivals.  Attempts to identify and estimate the path of frailty are complicated when observed macroeconomic variables also impact hazard...

We propose a new approach to the definition of stress scenarios for volatilities and correlations. Correlations and volatilities depend on a common market factor, which is the key to stressing them in a consistent and intuitive way. Our approach is based on a new asset price model where...

AMS classifications: 62G05; 62G20; 62G32; 62N02;

This paper investigates the Estimating Function method in the context of ACD modelling and appraises the properties of these estimates. A simulation study is conducted to demonstrate that these estimates are more efficient than the corresponding ML and QML estimates.

We propose procedures for estimating the time-dependent transition matrices for the general class of finite nonhomogeneous continuous-time semi-Markov processes. We prove the existence and uniqueness of solutions for the system of Volterra integral equations defining the transition matrices,...

We propose procedures for estimating the time-dependent transition matrices for the general class of finite nonhomogeneous continuous-time semi-Markov processes. We prove the existence and uniqueness of solutions for the system of Volterra integral equations defining the transition matrices,...

Using samples from Standard amp; Poor's CreditPro 2005 dataset, we estimate models of rating migration subsequent to firms that issue bonds becoming fallen angels (FAs), becoming rising stars (RSs), or experiencing historical rating jumps of at least two notches (big rating jumpers). Comparator...

We propose procedures for estimating the time-dependent transition matrices for the general class of finite nonhomogeneous continuous-time semi-Markov processes. We prove the existence and uniqueness of solutions for the system of Volterra integral equations defining the transition matrices,...

We construct a spot volatility estimator for high-frequency financial data which contain market microstructure noise. We prove consistency and derive the asymptotic distribution of the estimator. A data-driven method is proposed to select the scale parameter and the bandwidth parameter in the...