We study the sources of corporate default clustering in the United States. We reject the hypothesis that firms' default times are correlated only because their conditional default rates depend on observable and latent systematic factors. By contrast, we find strong evidence that contagion,...

A common definition of liquidity in real estate investment is the ability to sell property assetsquickly at full value, as reflected by transaction volume. The present paper makes methodologicaland conceptual contributions in the study and understanding of liquidity. First, we extendthe Fisher...

The average time on market (TOM) of sold properties is frequently used by practitioners and policymakers as a market liquidity indicator. This figure might be misleading as the average TOM only considers properties that have been sold. Furthermore, traded properties are heterogeneous. Since...

We consider trading against a hedge fund or large trader that must liquidate a large position in a risky asset if the market price of the asset crosses a certain threshold. Liquidation occurs in a disorderly manner and negatively impacts the market price of the asset. We consider the perspective...

This paper studies stochastic conditional duration models with a mixture of distribution processes for financial asset's transaction data. The mixture component distributions include exponential, gamma and Weibull. The models allow for a correlation between the observed durations and the...

This paper extends a stochastic conditional duration (SCD) model for financial transaction data to allow for correlation between error processes or innovations of observed duration process and latent log duration process with the aim of improving the statistical fit of the model. Suitable...

This paper proposes a threshold stochastic conditional duration (TSCD) model to capture the asymmetric property of financial transactions. The innovation of the observable duration equation is assumed to follow a threshold distribution with two component distributions switching between two...

Rating transition matrices for corporate bond issuers are often based on fitting a discrete time Markov chain model to homogeneous cohorts. Literature has documented that rating migration matrices can differ considerably depending on the characteristics of the issuers in the pool used for...

We study informational dissociations between decisions and decision confidence. We explore the consequences of a dual-system model: the decision system and confidence system have distinct goals, but share access to a source of noisy and costly information about a decision-relevant variable. The...

Duration dependent Markov-switching VAR (DDMS-VAR) models are time series models with data generating process consisting in a mixture of two VAR processes. The switching between the two VAR processes is governed by a two state Markov chain with transition probabilities that depend on how long...