Modeling portfolio credit risk involves the default dependencies between the individual securities in a portfolio. The copula is a common approach to construct it. It parameterizes the joint distribution of individual defaults independently of their marginal distributions. The current market...

This thesis builds a stochastic volatility model for the term structure of interest rates, which is also known as the dynamics of the yield curve. The main purpose of the model is to propose a parsimonious and plausible approach to capture some characteristics that conform to some empirical...

This dissertation consists of three essays on modeling and parameter estimation for covariance non-stationary processes. The first essay considers the non-linear deformation of time scale for G(lambda)-stationary processes developed by Jiang, Gray and Woodward [2006]. After the appropriate...

Rivers and Vuong (2002) develop a very general framework for choosing between two competing dynamic models. Within their framework, inference is based on a statistic that compares measures of goodness of fit between the two models. The null hypothesis is that the models have equal measures of...

We analyze the limiting distribution of the Rivers and Vuong (2002, <italic>Econometrics Journal</italic> 5, 1–39) statistic for choosing between two competing dynamic models based on a comparison of generalized method of moments minimands. It is shown that (i) if both models are misspecified then the...