In the current paper, we introduce a new calibration methodology for the LIBOR market model driven by LIBOR additive processes based in an inverse problem. This problem can be splitted in the calibration of the continuous and discontinuous part, linking each part of the problem with at-the-money...

A no-arbitrage framework to model interest rates with credit risk, based on the LIBOR additive process, and an approach to price corporate bonds in incomplete markets, is presented in this paper. We derive the no-arbitrage conditions under different conditions of recovery, and we obtain new...

In this paper, a new kind of additive process is proposed. Our main goal is to define, characterize and prove the existence of the LIBOR additive process as a new stochastic process. This process will be de.ned as a piecewise stationary process with independent increments, continuous in...

This article proposes a test for the Martingale Difference Hypothesis (MDH) using dependence measures related to the characteristic function. The MDH typically has been tested using the sample autocorrelations or in the spectral domain using the periodogram. Tests based on these statistics are...

This article presents a comparison of four methods to compute the posterior probabilities of the possible orders in polynomial regression models. These posterior probabilities are used for forecasting by using Bayesian model averaging. It is shown that Bayesian model averaging provides a closer...

Prediction intervals in State Space models can be obtained by assuming Gaussian innovations and using the prediction equations of the Kalman filter, where the true parameters are substituted by consistent estimates. This approach has two limitations. First, it does not incorporate the...

We show that analyzing model selection in ARMA time series models as a quadratic discrimination problem provides a unifying approach for deriving model selection criteria. Also this approach suggest a different definition of expected likelihood that the one proposed by Akaike. This approach...

It is well-known that classical p-values sometimes behave incoherently for testing hypotheses in the sense that, when '0 0 T .T , the support given to 0 T is greater than or equal to the support given to '0 T . This problem is also found for posterior predictive p-values (a Bayesian-motivated...

In this paper, we provide a method for constructing confidence intervals for the variance that exhibit guaranteed coverage probability for any sample size, uniformly over a wide class of probability distributions. In contrast, standard methods achieve guaranteed coverage only in the limit for a...

In this paper, we describe how to make Bayesian inference for the transient behaviour and busy period in a single server system with general and unknown distribution for the service and interarrival time. The dense family of Coxian distributions is used for the service and arrival process to the...