“...Risks are usually represented and measured by volatility-covolatility matrices. Wishart processes are models for a dynamic analysis of multivariate risk and...”

“...Maximum likelihood (ML) estimation of the autoregressive parameter of a dynamic panel data model with fixed effects is inconsistent under fixed time series...”

“...We consider the problem of derivative pricing when the stochastic discount factors are exponential-affine functions of underlying state variable. In particular...”

“...We introduce the multivariate Jacobi process as a representation for the dynamics of a stochastic discrete probability distribution. Its domain of application...”

“...Information on the expected changes in credit quality of obligors is contained in credit migration matrices which trace out the movements of firms across...”

“...The bonus-malus scheme shows how the history of claim arrivals determines the dynamics of insurance premium. It is important to distinguish to what extent...”

“...The aim of this paper is to analyze the sensitivity of Value at Risk (VaR) with respect to portfolio allocation. We derive analytical expressions for the first...”

“...We consider a quadratic stochastic intensity model with a Gaussian autoregressive factor, derive explicit formulas for predictive mortality tables and...”

“...The recursive prediction and filtering formulas of the Kalman filter are difficult to implement in nonlinear state space models since they require the updating...”

“...We consider a homogeneous class of assets, whose returns are driven by an unobservable factor representing systematic risk. We derive approximated pricing...”