Now showing items 1-4 of 4
Survival Analysis Using a Censored Semiparametric Regression Model
In this work we study the effect of several covariates X on a censored response variable T with unknown probability distribution. A semiparametric model is proposed to consider situations where the functional form of the ...
An empirical comparison of the performance of alternative option pricing models
(University of the Basque Country, Department of Foundations of Economic Analysis II, 2002)
This paper presents a comparison of alternative option pricing models based neither on jump-diffusion nor stochastic volatility data generating processes. We assume either a smooth volatility function of some previously ...
Analysis of Length of Time Spent in Chapter 11 Bankruptcy
This paper investigates original issuers of high yield bonds in Chapter 11 bankruptcy to determine which factors affect the length of time spent in Chapter 11. In order to do this analysis we propose a flexible new duration ...
Nonparametric estimation of time varying parameters under shape restrictions
In this paper we propose a new method to estimate nonparametrically a time varying parameter model when some qualitative information from outside data (e.g. seasonality) is available. In this framework we make two main ...