We explore simple finite sample adjustments to simulated spot FX rates, zero bonds, forward IBORs and the numeraire to ensure the martingale asset pricing property of linear IR and FX products holds exactly with a finite number of Monte Carlo simulations. The impact on CVA, DVA, and CVA-DVA...

This paper proposes new estimation techniques for gravity models with zero trade values and heteroscedasticity. We propose various Heckman estimators with different distributions of the residuals, nonlinear forms of both selection and measure equations, and various process of the variance. We...

This chapter presents a unified set of estimation methods for fitting a rich array of models describing dynamic relationships within a longitudinal data setting. The discussion surveys approaches for characterizing the micro dynamics of continuous dependent variables both over time and across...

Zero-inflated ordered probit (ZIOP) and middle-inflated ordered probit (MIOP) models are finding increasing favour in the discrete choice literature. Both models consist of a mixture of binary and single ordered probit equations, the combination of which accounts for an "excessive" build-up of...