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Bayesian Methods for Default Estimation in Low Default Portfolios, Presented at the BIS, Basel, March 2007
Improving robust model selection tests for dynamic models (with H. Choi), October, 2006. Econometrics Journal, forthcoming.
Default Estimation and Expert Information, Journal of Business and Economic Statistics, 2010, 28(2): 320-328. doi:10.1198/jbes.2009.07236The Smooth Colonel Meets the Reverend (w. J. Racine), April 2008. Journal of Nonparametric Statistics, Volume 21, Number 5, July 2009 , pp. 521-533(13)
Default Rates are Probably Less Than Long-Run Average Annual Default
of Fixed Income, Fall 2008, Vol. 18, No. 2: pp. 85-87 DOI: 10.3905/jfi.2008.712352
Development and Validation of Credit-Scoring Models, (with H. Choi, D. Glennon and C. E. Larson), Journal of Credit Risk 4 (3), Summer, 2008 p. 1-61.
Default Estimation, Correlated Defaults, and Expert Information, April 2008. Journal of Applied Econometrics, forthcoming. doi 10.1002/jae.1124
The Probability Approach to Default Estimation, Risk, July 2007, p. 146-150. Reprinted in AsiaRisk, September 2007.
Differential Geometry, Bias Correction, and Nonnested Hypothesis Testing (with H. Choi), April, 2006
A Simulation Estimator for Testing the Time 14
14 (2007) 818-835
Default Estimation for Low-Default Portfolios,
of Empirical Finance, 16 (2009) 164173
16 (2009) 164173
Robust Nonnested Testing and the Demand for Money
(with H. Choi), February, Journal of Business and Economic Statistics
26:1 (2008) 9-17.
Journal of Business and Economic Statistics 26:1 (2008) 9-17.
of Non-Markovian Behavior in the ) 33-50.
of Non-Markovian Behavior in the
Bank Failure: Evidence from the Colombian Financial Crisis
(with J. Gomez-Gonzalez), October, 2006 , The International Journal of Business and
Finance Research, forthcoming. Winner of the Outstanding Research
Award at the Winter Conference of the Institute for Business and Finance
, The International Journal of Business and Finance Research, forthcoming. Winner of the Outstanding Research Award at the Winter Conference of the Institute for Business and Finance Research
A New Asymptotic Theory for Heteroskedasticity-Autocorrelation Robust Tests (with T. Vogelsang), Econometric Theory, 21, 1130-1164, 2005
Specification and Informational
Issues in Credit Scoring (with C. E. Larson), International Journal
of Statistics and Management Systems 1: 152-178 (2006)
1: 152-178 (2006)
Economics and the Origin of the Restaurant, Cornell Hotel and Restaurant Administration Quarterly, August 2002.