Correlations are the main drivers for credit portfolio risk and constitute a Major element in pricing credit derivatives such as synthetic single-tranche collateralized debt obligation swaps. This paper suggests a dynamic panel regression Approach to model and forecast implied correlations....

We propose a new methodology for predicting international stock returns and evaluating international asset pricing models. Our Bayesian framework performs probabilistic selection of predictors and factors that can shift at multiple unknown structural break dates. The approach generates...