unique data to estimate econometric models of the determinants of interest relief and claims (defaults) as well as duration … models for the repayment of student loans. We found that finishing the program supported by a loan is essential to avoiding …

of output loss and duration. First, Probit models are used to estimate the probability of a recession at period t + h …

GARCH volatility models with fixed parameters are too restrictive for long time series due to breaks in the volatility … process. Flexible alternatives are Markov-switching GARCH and change-point GARCH models. They require estimation by MCMC …

In recent years multivariate models for asset returns have received much attention, in particular this is the case for … models with time varying volatility. In this paper we consider models of this class and examine their potential when it comes … models, and we provide a feasible way to price options in this framework. Our framework can be used irrespective of the …

This paper proposes finite-sample procedures for testing the SURE specification in multi-equation regression models, i … induced tests based on a set of simultaneous Harvey/Phillips-type tests and suggest a simulation-based solution to the … power. Moreover, MC-QLR tests performed best in terms of power, a result of interest from the point of view of simulation …

study. Finally, three applications to GARCH and realized volatility models are presented. Dans cet article, nous testons des … échantillons de nos tests sont étudiées par simulation. Finalement, nous appliquons nos tests à trois exemples de modèles de …