The term structure of interest rates is used to price defaultable bonds and credit derivatives, as well as to infer the quality of bonds for risk management purposes. We introduce a new framework for estimating the term structure of interest rates for corporate bonds. The proposed model jointly...

Assessing the economic value of increasingly precise covariance estimates is of great interest in finance. We present a realized tick-time covariance estimator that incorporates cross-market tick-matching and intelligent sub-sampling. These features of the estimator offer the potential for...

We investigate two open problems in the area of time series analysis. The first is developing a methodology for multivariate time series analysis when our time series has components that are both continuous and categorical. Our specific contribution is a logistic smooth transition regression...

Control charts are regularly developed with the assumption that the process observations have an independent relationship. However, a common occurrence in certain industries is the collection of autocorrelated data. Two approaches are investigated that deal with this issue. The time series...

This dissertation develops a modeling framework for univariate and multivariate zero-inflated time series of counts and applies the models in a clustering scheme to identify groups of count series with similar behavior. The basic modeling framework used is observation-driven Poisson regression...