This paper demonstrates how the observed correlation between probability of default and loss given default depends on … available to creditors amounts to a mere truncated sample from the underlying population of defaults. Correlation estimates …-truncated samples. Moreover, the observed correlation between default probability and loss given default is sensitive to the truncation …

structural constant conditional correlation (SCCC) model. Besides determining linear simultaneous influences between several … transmission effects. In this context, the present paper extends the analysis to structural dynamic conditional correlation (SDCC …

asymptotically valid for serially independent observations. Yet, in the presence of serial correlation they are markedly oversized as … confirmed in a simulation study. We summarize serial correlation robust test procedures and propose a bootstrap approach. By … relevance to account for serial correlation in economic time series when testing for the value of directional forecasts …