The recent literature on the duration of trade has predominantly analyzed the determinants of trade flow durations using Cox proportional hazards models. The purpose of this paper is to show why it is inappropriate to analyze the duration of trade with continuous-time models such as the Cox...

This paper proposes a discrete-time hazard regression approach based on the interrelation between hazard rate models and excess over threshold models, which are frequently encountered in extreme value modelling. The proposed duration model incorporates a grouped-duration analogue of the...

In the existing literature, the duration of trade has typically been analyzed using either descriptive Kaplan-Meier methods or a Cox regression approach. While the latter has the advantage of allowing for explanatory variables, it is designed for the analysis of continuous duration times,...

We provide new evidence on the causal mechanisms reflected in the intergenerational transmission of human capital. Applying both an adoption and a twin design to rich data from the Swedish military enlistment, we show that greater parental education increases son's cognitive and non-cognitive...

Multi-state transition models are widely applied tools to analyze individual event histories in the medical or social sciences. In this paper we propose the use of (discrete-time) competing-risks duration models to analyze multi-transition data. Unlike conventional Markov transition models,...

The objective of this paper is twofold. First, against the background of an existing empirical literature on the duration of trade which has found that international trade is often of strikingly short duration, we aim to establish whether or not EU imports from the rest of the world also are...

Aiming to explore how the survival of trade flows has evolved over time, we analyze a rich data set of detailed imports to individual EU15 countries from 140 non-EU exporters, covering the period 1962-2006. We find that short duration is a persistent characteristic of trade throughout the...

This paper focuses on the many extreme credit default swap spread movements observed during the recent credit crisis and on how the tails of the spread (and price) change distribution significantly differ from those of the normal distribution even for diversified credit derivatives portfolios....

The growing interest in management of credit risk and estimation ofdefault probabilities has given rise to a range of more or lesselaborate credit risk models. Hall and Miles (1990) suggests an approachof estimating failure probabilities based solely on stock market prices.The approach has the...

This paper introduces a simple continuous measure of credit risk that associates to each firm a risk parameter related to the firm's risk-neutral default intensity. These parameters can be computed from quoted bond prices and allow assignment of credit ratings much finer than those provided by...