Measuring interdependence between probabilities of default (PDs) in different industry sectors of an economy plays a crucial role in financial stress testing. Thereby, regression approaches may be employed to model the impact of stressed industry sectors as covariates on other response sectors....

Let (X1, Y1), . . ., (Xn, Yn) be i.i.d. rvs and let l(x) be the unknownp-quantile regression curve of Y on X. A quantile-smootherln(x) is a localised, nonlinear estimator of l(x). The strong uniformconsistency rate is established under general conditions. In many applicationsit is necessary to...

Eine große Herausforderung der multivariablen Analyse mit bilanziellen Kennzahlen besteht in der Identifikation derjenigen Kennzahlen, die zur besten Modellperformance führen und dabei möglichst leicht interpretierbar und intuitiv bleiben. Die Menge der in Frage kommenden Kennzahlen ist in...

Empirical studies on the earnings effects of tobacco use have found significant wage penalties attached to smoking. We produce evidence that suggests that these estimates are significantly upward biased. The bias arises from a general failure in the literature to control for the past smoking...

State price density (SPD) contains important information concerning market expectations. In existing literature, a constrained estimator of the SPD is found by nonlinear least squares in a suitable Sobolev space...