In spite of the widespread use of generalized additive models (GAMs), there is no well established methodology for simultaneous inference and variable selection for the components of GAM. There is no doubt that both, inference on the marginal component functions and their selection, are...

We consider theoretical bootstrap "coupling" techniques for nonparametric robust smoothers and quantile regression, and verify the bootstrap improvement. To cope with curse of dimensionality, a variant of "coupling" bootstrap techniques are developed for additive models with both symmetric error...

The influence of maternal health problems on child's worrying status is important in practice in terms of the intervention of maternal health problems early for the influence on child's worrying status. Conventional methods apply symmetric prior distributions such as a normal distribution or a...

As observed in the financial crisis, CDS spreads tend to increase simutaneously as a reaction to common shocks. Focusing on the spillover effects triggered by extreme events, we propose a credit risk analysis tool by applying credit default swap spread returns to the concept of 4CoVaR suggested...

A flexible statistical approach for the analysis of time-varying dynamics of transaction data on financial markets is here applied to intra-day trading strategies. A local adaptive technique is used to successfully predict financial time series, i.e., the buyer and the seller-initiated trading...

It was evident that credit default swap (CDS) spreads have been highly correlated during the recent financial crisis. Motivated by this evidence, this study attempts to investigate the extent to which CDS markets across regions, maturities and credit ratings have integrated more in crisis. By...

A standard quantitative method to access credit risk employs a factor model based on joint multi- variate normal distribution properties. By extending a one-factor Gaussian copula model to make a more accurate default forecast, this paper proposes to incorporate a state-dependent recovery rate...

Classical asset allocation methods have assumed that the distribution of asset returns is smooth, well behaved with stable statistical moments over time. The distribution is assumed to have constant moments with e.g., Gaussian distribution that can be conveniently parameterised by the first two...

For many applications, analyzing multiple response variables jointly is desirable because of their dependency, and valuable information about the distribution can be retrieved by estimating quantiles. In this paper, we propose a multi-task quantile regression method that exploits the potential...

Systemically important banks are connected and have dynamic dependencies of their default probabilities. An extraction of default factors from cross-sectional credit default swaps (CDS) curves allows to analyze the shape and the dynamics of the default probabilities. Extending the Dynamic Nelson...