The Markov-switching GARCH model allows for a GARCH structure with time-varying parameters. This flexibility is unfortunately undermined by a path dependence problem which complicates the parameter estimation process. This problem led to the development of computationally intensive estimation...

In the seismological and geophysics literature, it is suggested by numerous authors that the elapsed time between two earthquakes at a given location should be represented by either an exponential or Weibull distribution. In addition, the seismic gap hypothesis states that large waiting times...

This paper presents a firm-specific methodology for extracting implied default intensities and recovery rates jointly from unit recovery claim prices---backed by out-of-the-money put options---and credit default swap premiums, therefore providing time-varying and market-consistent views of...