With the emergence and expansion of credit derivatives, which are financial instruments that are based on corporate bonds and provide their holders a protection against default, the importance of estimating probabilities of default has reached an unprecedented level. We have developed a Bayesian...

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...

We present a series of models capturing the non-stationarities and dependencies in the variance of yields on natural gas futures. Both univariate and multivariate models are explored, based on the ARIMA and Hidden-Markov methodologies. The models capture the effects uncovered through various...

The White information matrix (IM) test is applied to the linear regression model with autoregressive conditional heteroskedastic (ARCH) errors. ARCH models are used widely in analyzing economic and financial time series data. However, in practice, the models are not often thoroughly tested. We...

In this paper, we introduce DSPMD, discretely sampled process with pre-specified marginals and pre-specified dependence, and SRLMD, series representation for Levy process with pre-specified marginals and pre-specified dependence. In the DSPMD for Levy processes, some regular copula can be...

Convention travel has been growing rapidly throughout the worldin recent years and becoming a critical component of the hospitality andtravel industry. Hosting of conventions, especially internationalconventions, can be used by host countries as part of a strategicmarketing plan to publicize...

This paper constructs a model of long-run performance for SMEs that have received venture capital backing. The model explains performance by financial structure. FAME data are used for estimating performance equations over the period 1989 to 2004 for UK businesses in their post-investment...