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With the emergence and expansion of credit derivatives, which are financial instruments that are based on corporate bonds and provide their holders a protection against default, the importance of estimating probabilities of default has reached an unprecedented level. We have developed a Bayesian...
Persistent link: https://www.econbiz.de/10009441850
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
Assessing the economic value of increasingly precise covariance estimates is of great interest in finance. We present a …
Persistent link: https://www.econbiz.de/10009441896
We present a series of models capturing the non-stationarities and dependencies in the variance of yields on natural gas futures. Both univariate and multivariate models are explored, based on the ARIMA and Hidden-Markov methodologies. The models capture the effects uncovered through various...
Persistent link: https://www.econbiz.de/10009441910
Advances in computational power and data storage have spawned a new research area in financial economics and statistics … called high-frequency finance. The defining feature of high-frequency finance is the analysis of financial processes over …
Persistent link: https://www.econbiz.de/10009441925
In the study of finance, likelihood based or moment based methods are frequently used to estimate parameters for …
Persistent link: https://www.econbiz.de/10009450777
In this paper, we introduce DSPMD, discretely sampled process with pre-specified marginals and pre-specified dependence, and SRLMD, series representation for Levy process with pre-specified marginals and pre-specified dependence. In the DSPMD for Levy processes, some regular copula can be...
Persistent link: https://www.econbiz.de/10009450904
The purpose of this thesis is to examine recent behavior of the Japanese stock market from 1975 through 1995. The goal of this study is to provide insight into the particular behaviors observed and document possible explanations in light of the work presented. Specific contributions are listed...
Persistent link: https://www.econbiz.de/10009455872
Convention travel has been growing rapidly throughout the worldin recent years and becoming a critical component of the hospitality andtravel industry. Hosting of conventions, especially internationalconventions, can be used by host countries as part of a strategicmarketing plan to publicize...
Persistent link: https://www.econbiz.de/10009459178
This paper constructs a model of long-run performance for SMEs that have received venture capital backing. The model explains performance by financial structure. FAME data are used for estimating performance equations over the period 1989 to 2004 for UK businesses in their post-investment...
Persistent link: https://www.econbiz.de/10009459598