In this paper we introduce the Extended Method of Moments (XMM) estimator. This estimator accommodates a more general set of moment restrictions than the standard Generalized Method of Moments (GMM) estimator. More specifically, the XMM differs from the GMM in that it can handle not only uniform...

The aim of this paper is to extend the results of Jarrow, Yu (2001) on the spread term structures of corporate bonds. We first consider different characterisations of these term structures, when the available information corresponds to the default histories of the firms. The approach is then...

We consider a set of Markovian processes with Stochastic transition matrices. This specification extends the standard stochastic intensity model introduced by Cox in the two state case. Such a model is appropriate for the joint analysis of rating histories of several corporates, including the...