This paper focuses on an extension of zero-inflated generalized Poisson (ZIGP) regression models for count data. We discuss generalized Poisson (GP) models where dispersion is modelled by an additional model parameter. Moreover, zero-inflated models in which overdispersion is assumed to be...

The internal-ratings based Basel II approach increases the need for the development of more realistic default probability models. In this paper we follow the approach taken in McNeil and Wendin (2006) by constructing generalized linear mixed models for estimating default probabilities from...

We propose a new class of state space models for longitudinal discrete response data where the observation equation is specified in an additive form involving both deterministic and random linear predictors. These models allow us to explicitly address the effects of trend, seasonal or other...

Building on the work of Bedford, Cooke and Joe, we show how multivariate data, which exhibit complex patterns of dependence in the tails, can be modelled using a cascade of pair-copulae, acting on two variables at a time. We use the pair-copula decomposition of a general multivariate...

A new method for testing linear restrictions in linear regression models is suggested. It allows to validate the linear restriction, up to a specified approximation error and with a specified error probability. The test relies on asymptotic normality of the test statistic, and therefore...

Mortality projections are major concerns for public policy, social security and private insurance. This paper implements a Bayesian log-bilinear Poisson regression model to forecast mortality. Computations are carried out using Markov Chain Monte Carlo methods in which the degree of smoothing is...

This work is motivated by a mobility study conducted in the city of Munich, Germany. The variable of interest is a binary response, which indicates whether public transport has been utilized or not. One of the central questions is to identify areas of low/high utilization of public transport...

In this paper we model absolute price changes of an option on the XETRA DAX index based on quote-by-quote data from the EUREX exchange. In contrast to other authors, we focus on a parameter-driven model for this purpose and use a Poisson Generalized Linear Model (GLM) with a latent AR(1) process...

Count data often exhibit overdispersion and/or require an adjustment for zero outcomes with respect to a Poisson model. Zero-modified Poisson (ZMP) and zeromodified generalized Poisson (ZMGP) regression models are useful classes of models for such data. In the literature so far only score tests...

In market microstructure theory the effect of time between consecutive transactions and trade volume on transaction price changes of exchange traded shares and options has been considered (e.g. Diamond and Verecchia (1987) and Easley and O'Hara (1987)). The goal of this paper is to investigate...