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We develop a methodology for multivariate time-series analysis when our time-series has components that are both continuous and categorical. Our specific contribution is a logistic smooth-transition regression (LSTR) model, the transition variable of which is related to a categorical time-series...
Persistent link: https://www.econbiz.de/10005676598
The term structure of interest rates is used to price defaultable bonds and credit derivatives, as well as to infer the quality of bonds for risk management purposes. We introduce a new framework for estimating the term structure of interest rates for corporate bonds. The proposed model jointly...
Persistent link: https://www.econbiz.de/10009441853
We investigate two open problems in the area of time series analysis. The first is developing a methodology for multivariate time series analysis when our time series has components that are both continuous and categorical. Our specific contribution is a logistic smooth transition regression...
Persistent link: https://www.econbiz.de/10009441919
Control charts are regularly developed with the assumption that the process observations have an independent relationship. However, a common occurrence in certain industries is the collection of autocorrelated data. Two approaches are investigated that deal with this issue. The time series...
Persistent link: https://www.econbiz.de/10009441936
This dissertation develops a modeling framework for univariate and multivariate zero-inflated time series of counts and applies the models in a clustering scheme to identify groups of count series with similar behavior. The basic modeling framework used is observation-driven Poisson regression...
Persistent link: https://www.econbiz.de/10009441964
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