Recently, there has been a fast-growing literature on the determinants of corporate bond returns, in particular, the driving force of cross-sectional return variation. In this review, we first survey recent empirical studies on this important topic. We discuss cross-sectional evidence as well as...

Using security-level credit spread data in eight developed economies, we document a large cross-country difference in credit spreads conditional on credit ratings and other default risk measures. The standard structural models not only fail to explain this cross-country variation in spreads but...

We consider the stochastic volatility model with regime switching. We model the unobserved regimesas a continuous-time latent or hidden Markov chain, with exponential waiting times. This allows us to identify the hidden regimes and compare the posterior probability of changes in regimes with...

Mixture models provide a convenient and flexible class of models for density estimation. They are typically used to model data generated from one of a number of different groups. This thesis studies two types of mixture models for density estimation from a Bayesian perspective. First, the...