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Kiefer, Nicholas Maximilian - 2009

Dependence among defaults both across assets and over time has proven to be an important characteristic of financial risk. A Bayesian approach to default rate estimation is proposed and illustrated using a prior distributions assessed from an experienced industry expert. Two extensions of the...

Persistent link: https://www.econbiz.de/10008649673

Evidence of non-Markovian behavior in the process of bank rating migrations

Gómez-González, José E.; Kiefer, Nicholas Maximilian - In: Cuadernos de economía 46 (2009), pp. 33-50

Persistent link: https://www.econbiz.de/10003856784

Counting processes for retail default modeling

Kiefer, Nicholas Maximilian; Larson, C. Erik - In: The journal of credit risk : published quarterly by … 11 (2015) 3, pp. 45-72

Persistent link: https://www.econbiz.de/10011380103

A new asymptotic theory for heteroskedasticity-autocorrelation robust tests

Kiefer, Nicholas Maximilian (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003148418

A new asymptotic theory for heteroskedasticity : autocorrelation robust tests

Kiefer, Nicholas Maximilian; Vogelsang, Timothy J. - In: Econometric theory 21 (2005) 6, pp. 1130-1164

Persistent link: https://www.econbiz.de/10003193574

Investment in advertising campaigns and search : identification and inference in marketing and dynamic programming models

Christensen, Bent Jesper (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003233695

Liquidity, information, and infrequently traded stocks

Easley, David; Kiefer, Nicholas Maximilian; O'Hara, Maureen - In: The journal of finance : the journal of the American … 51 (1996) 4, pp. 1405-1436

Persistent link: https://www.econbiz.de/10001209023

Heteroskedasticity-autocorrelation robust standard errors using the Bartlett Kernel without truncation

Kiefer, Nicholas Maximilian; Vogelsang, Timothy J. - In: Econometrica : journal of the Econometric Society, an … 70 (2002) 5, pp. 2093-2095

Persistent link: https://www.econbiz.de/10001702262

Simple robust testing of regression hypothesis: a comment

Abadir, Karim Maher; Paruolo, Paolo - In: Econometrica : journal of the Econometric Society, an … 70 (2002) 5, pp. 2097-2099

Persistent link: https://www.econbiz.de/10001702266

Heteroskedasticity-autocorrelation robust testing using bandwidth equal to sample size

Kiefer, Nicholas Maximilian; Vogelsang, Timothy J. - In: Econometric theory 18 (2002) 6, pp. 1350-1366

Persistent link: https://www.econbiz.de/10001716907

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