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Small-sample confidence intervals for multivariate impulse response functions...
Existing methods for constructing confidence bands for multivariate impulse response functions may have poor coverage at long lead times when variables are highly persistent.... -
Estimation of multivariate models for time series of possibly different lengt...
We consider the problem of estimating parametric multivariate density models when unequal amounts of data are available on each variable. We focus in particular on the case that... -
Business and default cycles for credit risk (replication data)
Various economic theories are available to explain the existence of credit and default cycles. There remains empirical ambiguity, however, as to whether these cycles coincide....
