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This paper brings together the theory and practice of local linear kernel hazard estimation. Bandwidth selection is …
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This short note is a description of the dataset compiled during the drafting of Cash and Dash: How ATMs and Computers Changed Banking (Oxford University Press, 2018). The full dataset is deposited with the European Association for Banking and Financial History, and is available for download from...
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Katz and Tian (2013) imply a significantly higher credit risk at short time-horizons and/or large initial distances to the … implementations of credit risk valuations and pricing of credit securities …
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A wide variety of conditional and stochastic variance models has been used to estimate latent volatility (or risk). In …
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