We propose a Bayesian nonparametric model to estimate rating migration matrices and default probabilities using the reinforced urn processes (RUP) introduced in Muliere et al. (2000). The estimated default probability becomes our prior information in a parametric model for the prediction of the...

A multivariate positive definite estimator of the integrated covariance matrix of noisy and asynchronously observed asset returns is proposed. We adopt a Bayesian Dynamic Linear Model where microstructure noise is interpreted as measurement error, and asynchronous trading as missing observations...