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...

Assessing the economic value of increasingly precise covariance estimates is of great interest in finance. We present a realized tick-time covariance estimator that incorporates cross-market tick-matching and intelligent sub-sampling. These features of the estimator offer the potential for...

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...

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...

Over the past few years, we have seen an increased need for analyzing the dynamically changing behaviors of economic and financial time series. These needs have led to significant demand for methods that denoise non-stationary time series across time and for specific investment horizons (scales)...

Financial markets for Liquified Natural Gas (LNG) are an important and rapidly-growing segment of commodities markets. Like other commodities markets, there is an inherent spatial structure to LNG markets, with different price dynamics for different points of delivery hubs. Certain hubs support...

This paper quantifies the rising global dynamic, interconnected relationship between energy and water commodities. Over the last decade, increased international concern has emerged about the water-energy nexus. However, recent research still lacks a quantified understanding of the role of water...