The dynamic analysis of corporate credit ratings is needed for predicting the risk included in a credit portfolio at different horizons. In this paper, we present the estimation of an ordered probit model with factors for the migration probabilities, with its application to aggregate data...

This paper introduces impulse response analysis for nonlinear processes based on the concept of nonlinear innovation. Our approach borrows from the traditional linear impulse response analysis in that we consider shocks to innovations of a process. It also extends the methods of nonlinear...

We derive a coherent multi-factor model for pricing various derivatives written on the same underlying (potentially non-tradable) asset. We show the difference between a case in which the underlying asset is self-financed and tradable and a case in which it is not. In the first case, an...

This paper examines long memory in durations between trades of stocks on financial markets. The approach is based on semi-parametric methods as well as on the fractionally integrated autoregressive conditional duration model (FIACD). The persistence is also investigated in endogenously...