Bayesian semi-parametric estimation has proven effective for quantile estimation in general and specifically in financial Value at Risk forecasting. Expected short-fall is a competing tail risk measure, involving a conditional expectation beyond a quantile, that has recently been...

Bayesian semi-parametric estimation has proven effective for quantile estimation in general and specifically in financial Value at Risk forecasting. Expected short-fall is a competing tail risk measure, involving a conditional expectation beyond a quantile, that has recently been...

The purpose of this chapter is to provide a comprehensive treatment of likelihood inference for state space models. These are a class of time series models relating an observable time series to quantities called states, which are characterized by a simple temporal dependence structure, typically...

Applications of duration analysis in Economics and Finance exclusively employ methods for events of stochastic duration. In application to credit data, previous research incorrectly treats the time to pre-determined maturity events as censored stochastic event times. The medical literature has...

Applications of duration analysis in Economics and Finance exclusively employ methods for events of stochastic duration. In application to credit data, previous research incorrectly treats the time to pre-determined maturity events as censored stochastic event times. The medical literature has...

The Global Accounting History four volume set aims to establish a benchmark reference source that covers the evolution of accounting, financial reporting and related institutions for all major economies in the world in a comparable way. Volume Four examines seven nations from Eurasia, the Middle...

The use of risk management methodologies on IT projects is very important, but very little is understood about what drives this use. A review of the literature identified a range of potential drivers of this use, with the notion of use itself being resolved into two types: organizational level...

In this paper, we address the problem of convergence to Nash equilibria in games with rewards that are initially unknown and which must be estimated over time from noisy observations. These games arise in many real-world applications, whenever rewards for actions cannot be prespecified and must...

This paper provides a methodology for combining forecasts based on several discrete choice models. This is achieved primarily by combining one-step-ahead probability forecast associated with each model. The paper applies well-established scoring rules for qualitative response models in the...