(1993) and Im, Pesaran and Shin (1997) suggest bias adjusted t-statistics. Such corrections are necessary to account for the … affected by two different terms. The first term represents the asymptotic effect on the bias due the detrending method and the … do not require a bias correction. The results of a Monte Carlo experiment suggest that avoiding the bias can improve the …

performance of the underlying credits. In this paper we discuss the simulation of correlated unpredictable default arrival times … can be estimated from readily available equity and single-name credit derivatives market data. -- simulation ; correlated …

efficient simulation of dependent default times for pricing and risk management purposes is straightforward as well. Parameter … management solutions. -- simulation ; correlated defaults ; multivariate exponential model …

Cointegrated VARMA models can be parameterized by using the echelon form, which is characterized by the Kronecker … indices. Three different methods for estimating the Kronecker indices of cointegrated echelon form VARMA models are discussed … selection criteria. The small sample performance of the methods is compared in a simulation study. It is found that the …

explorative study aims to shed some light into the black-box of the matching technology by applying nonparametric estimation …

for the production function is discussed. -- Nonparametric Regression ; Additive Models ; Testing Additivity ; Derivative … Estimation …

exchange rate. The separate estimation of long-run money demands leads to a "structural" error correction equation which allows …