Using the credit card application data provided by a major credit card issuer, we estimate the demand for credit card using a regression discontinuity method. Our method exploits a unique feature of the credit card solicitation campaign design, i.e. credit issuer gives consumers different...

The primary reasons for credit card charge-off are delinquency and bankruptcy. In this paper, we develop a dependent competing risks model to investigate the determinants of time to delinquency and time to bankruptcy jointly, and to investigate their interdependence. Our results show that...

Existing methods for data interpolation or backdating are either univariate or based on a very limited number of series, due to data and computing constraints that were binding until the recent past. Nowadays large datasets are readily available, and models with hundreds of parameters are fastly...

In this paper we study the zero frequency spectral properties of fractionally cointegrated long memory processes and introduce a new frequency domain principal components estimator of the cointegration space and the factor loading matrix for the long memory factors. We find that for fractionally...

Existing methods for data interpolation or backdating are either univariate or based on a very limited number of series, due to data and computing constraints that were binding until the recent past. Nowadays large datasets are readily available, and models with hundreds of parameters are fastly...