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Bayesian Analysis of Hazard Regression Models under Order Restrictions on Covariate Effects and Ageing
Bhattacharjee, Arnab; Bhattacharjee, Madhuchhanda - Volkswirtschaftliche Fakultät, … - 2007
possibly age-varying (non-proportional), and there is multiplicative frailty with arbitrary distribution. Our framework … incorporates a wide variety of order restrictions on covariate dependence and duration dependence (ageing). We propose estimation … on the nature of ageing. For example, relevant theory may suggest that the baseline hazard function decreases with age …
Persistent link: https://www.econbiz.de/10005787182
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Frailty Correlated Default
DUFFIE, Darrell; ECKNER, Andreas; HOREL, Guillaume; …
We analyze portfolio credit risk in light of dynamic “frailty,” by which the credit qualities of different firms depend … on common unobservable time-varying default covariates. Frailty is estimated to have a large impact on estimated …
Persistent link: https://www.econbiz.de/10005534189
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A Simple Test for the Absence of Covariate Dependence in Hazard Regression Models
Bhattacharjee, Arnab - School of Economics and Finance, University of St. Andrews - 2007
Persistent link: https://www.econbiz.de/10005673169
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Partial Orders with Respect to Continuous Covariates and Tests for the Proportional Hazards Model
Bhattacharjee, Arnab - School of Economics and Finance, University of St. Andrews - 2008
are applicable in the presence of multiple covariates and frailty. Small sample performance and applications to real data …
Persistent link: https://www.econbiz.de/10005673172
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Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture
Jensen, Mark J.; Maheu, John M. - Rimini Centre for Economic Analysis (RCEA) - 2012
In this paper we extend the parametric, asymmetric, stochastic volatility model (ASV), where returns are correlated with volatility, by flexibly modeling the bivariate distribution of the return and volatility innovations nonparametrically. Its novelty is in modeling the joint, conditional,...
Persistent link: https://www.econbiz.de/10010555040
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Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture
Jensen, Mark J; Maheu, John M - University of Toronto, Department of Economics - 2012
In this paper we extend the parametric, asymmetric, stochastic volatility model (ASV), where returns are correlated with volatility, by flexibly modeling the bivariate distribution of the return and volatility innovations nonparametrically. Its novelty is in modeling the joint, conditional,...
Persistent link: https://www.econbiz.de/10010556277
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Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
Jensen, Mark J.; Maheu, John M. - In: Journal of Econometrics 178 (2014) P3, pp. 523-538
We extend the asymmetric, stochastic, volatility model by modeling the return-volatility distribution nonparametrically. The novelty is modeling this distribution with an infinite mixture of Normals, where the mixture unknowns have a Dirichlet process prior. Cumulative Bayes factors show our...
Persistent link: https://www.econbiz.de/10010730133
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Bayesian Estimation of Cox Models with Non-Nested Random Effects : An Application to the Ratification of ILO Conventions by Developing Countries
Horny, Guillaume; Boockmann, Bernhard; Djurdjevic, Dragana - 2015
English Abstract: We use a multivariate hazard model to analyse the ratification behaviour of ILO conventions by developing countries. The model accounts for two random effects: one at the country level, the other at the convention level. After investigating identification, we use a...
Persistent link: https://www.econbiz.de/10014137837
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Unobserved Heterogeneity in Multiple-Spell Multiple-States Duration Models
Bijwaard, Govert - Centre for Research and Analysis of Migration (CReAM), … - 2012
In survival analysis a large literature using frailty models, or models with unobserved heterogeneity, exist. In the … proportional hazard structure. First, the aspects of frailty modeling in univariate (proportional hazard, Cox) duration models are …
Persistent link: https://www.econbiz.de/10010595372
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On diversity under a Bayesian nonparametric dependent model
Rousseau, Judith; Mengersen, Kerrie; Arbel, Julyan - Université Paris-Dauphine (Paris IX) - 2014
We present a dependent Bayesian nonparametric model for the proba- bilistic modelling of species-by-site data, i.e. population data where observations at different sites are classified into distinct species. We use a dependent version of the Griffiths-Engen-McCloskey distribution, the...
Persistent link: https://www.econbiz.de/10010781520