In this paper we propose a new method to specify linear models for vectors of time series with some convenient properties: First, it provides a unique modeling approach for single and multiple time series, as the same decisions are required in both cases. Second, it is scalable, meaning that it...

This paper analyzes the unconditional measurement of default risk and proposes an alternative modeling approach. We begin the analysis by showing that when conducted under non-stationarity, the objective of the unconditional measurement changes and that some relevant problems appear as a...

This paper discusses how to model and forecast a vector of time series sampled at different frequencies. To this end we first study how aggregation over time affects both, the dynamic components of a time series and their observability, in a multivariate linear framework. We find that the basic...