Estimating Multiplicative and Additive Hazard Functions by Kernel Methods
Download full text from publisher
Other versions of this item:
- Oliver Linton & Jens Perch Nielsen & Sara van de Geer, 2001. "Estimating Multiplicative and Additive Hazard Functions by Kernel Methods," STICERD - Econometrics Paper Series 411, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Linton, Oliver & Perch Nielsen, Jens & van de Geer, Sara, 2001. "Estimating multiplicative and additive hazard functions by kernel methods," LSE Research Online Documents on Economics 2168, London School of Economics and Political Science, LSE Library.
References listed on IDEAS
- Nelson, Daniel B., 1990. "ARCH models as diffusion approximations," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 7-38.
- Wilson, Jack W & Jones, Charles P, 1990. "Is There a January Effect in Corporate Bond and Paper Returns?," The Financial Review, Eastern Finance Association, vol. 25(1), pages 55-79, February.
- Duffee, Gregory R, 1999. "Estimating the Price of Default Risk," Review of Financial Studies, Society for Financial Studies, vol. 12(1), pages 197-226.
- Michael J. Fleming & Eli M. Remolona, 1997. "What moves the bond market?," Economic Policy Review, Federal Reserve Bank of New York, issue Dec, pages 31-50.
- Jones, Charles M. & Lamont, Owen & Lumsdaine, Robin L., 1998.
"Macroeconomic news and bond market volatility,"
Journal of Financial Economics,
Elsevier, vol. 47(3), pages 315-337, March.
- Charles M. Jones & Owen Lamont & Robin L. Lumsdaine, "undated". "Macroeconomic News and Bond Market Volatility," CRSP working papers 333, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Charles M. Jones & Owen Lamont & Robin Lumsdaine, 1996. "Macroeconomic News and Bond Market Volatility," Home Pages _005, Princeton University, Department of Economics.
- Duffie, Darrell & Singleton, Kenneth J, 1999. "Modeling Term Structures of Defaultable Bonds," Review of Financial Studies, Society for Financial Studies, vol. 12(4), pages 687-720.
- Robert A. Jarrow & David Lando & Stuart M. Turnbull, 2008.
"A Markov Model for the Term Structure of Credit Risk Spreads,"
World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 18, pages 411-453
World Scientific Publishing Co. Pte. Ltd..
- Jarrow, Robert A & Lando, David & Turnbull, Stuart M, 1997. "A Markov Model for the Term Structure of Credit Risk Spreads," Review of Financial Studies, Society for Financial Studies, vol. 10(2), pages 481-523.
- Madan, Dilip & Unal, Haluk, 2000.
"A Two-Factor Hazard Rate Model for Pricing Risky Debt and the Term Structure of Credit Spreads,"
Journal of Financial and Quantitative Analysis,
Cambridge University Press, vol. 35(01), pages 43-65, March.
- Dilip Madan & Haluk Unal, 1999. "A Two-Factor Hazard-Rate Model for Pricing Risky Debt and the Term Structure of Credit Spreads," Center for Financial Institutions Working Papers 99-32, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Ederington, Louis H & Lee, Jae Ha, 1993. " How Markets Process Information: News Releases and Volatility," Journal of Finance, American Finance Association, vol. 48(4), pages 1161-1191, September.
- Longstaff, Francis A & Schwartz, Eduardo S, 1995. " A Simple Approach to Valuing Risky Fixed and Floating Rate Debt," Journal of Finance, American Finance Association, vol. 50(3), pages 789-819, July.
- Nunn, Kenneth P. & Hill, Joanne & Schneeweis, Thomas, 1986. "Corporate Bond Price Data Sources and Return/Risk Measurement," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(02), pages 197-208, June.
- Chang, Eric C. & Huang, Roger D., 1990. "Time-Varying Return and Risk in the Corporate Bond Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(03), pages 323-340, September.
- Kroner, Kenneth F & Ng, Victor K, 1998. "Modeling Asymmetric Comovements of Asset Returns," Review of Financial Studies, Society for Financial Studies, vol. 11(4), pages 817-844.
- Edwin J. Elton, 2001. "Explaining the Rate Spread on Corporate Bonds," Journal of Finance, American Finance Association, vol. 56(1), pages 247-277, February.
- Pierre Collin-Dufresne & Robert S. Goldstein & Spencer J. Martin, 1999. "The Determinants of Credit Spreads Changes," GSIA Working Papers 2000-E13, Carnegie Mellon University, Tepper School of Business.
- Engle, Robert F, 1998. "Macroeconomic Announcements and Volatility of Treasury Futures," University of California at San Diego, Economics Working Paper Series qt7rd4g3bk, Department of Economics, UC San Diego.
- Gregory R. Duffee, 1998. "The Relation Between Treasury Yields and Corporate Bond Yield Spreads," Journal of Finance, American Finance Association, vol. 53(6), pages 2225-2241, December.
- Lumsdaine, Robin L, 1995. "Finite-Sample Properties of the Maximum Likelihood Estimator in GARCH(1,1) and IGARCH(1,1) Models: A Monte Carlo Investigation," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 1-10, January.
- Bollerslev, Tim, 1990. "Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model," The Review of Economics and Statistics, MIT Press, vol. 72(3), pages 498-505, August.
- Sarig, Oded & Warga, Arthur, 1989. " Some Empirical Estimates of the Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 44(5), pages 1351-1360, December.
- Christie-David, Rohan & Chaudhry, Mukesh, 1999. "Liquidity and Maturity Effects around News Releases," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 22(1), pages 47-67, Spring.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Toshio Honda, 2005. "Estimation in additive cox models by marginal integration," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 57(3), pages 403-423, September.
More about this item
KeywordsAdditive Model; Censoring; Kernel; Proportional Hazards; Survival Analysis;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hhb:aarfin:2001_002. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Helle Vinbaek Stenholt). General contact details of provider: http://edirc.repec.org/data/ifhhadk.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
We have no references for this item. You can help adding them by using this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.