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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
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
Persistent link: https://www.econbiz.de/10005673169
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
This paper considers Bayesian nonparametric estimation of conditional densities by countable mixtures of location-scale densities with covariate dependent mixing probabilities. The mixing probabilities are modeled in two ways. First, we consider finite covariate dependent mixture models, in...
Persistent link: https://www.econbiz.de/10009401962
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
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
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
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 semi-parametric Bayesian...
Persistent link: https://www.econbiz.de/10008479238
Cet article est une revue de la littérature où le temps passé dans un état est une variable aléatoire issue d’un mélange continu de distributions. Elle s’est constituée à partir de l’estimation de fonctions de hasards et de méthodes d’approximations d’intégrales. Nous...
Persistent link: https://www.econbiz.de/10004984861