There is hardly any literature on modelling nonlinear dynamic relations involving nonnormal time series data. This is a serious lacuna because nonnormal data are far more abundant than normal ones, ...

This paper presents an EM algorithm for semiparametric likelihood analysis of linear, generalized linear, and nonlinear regression models with measurement errors in explanatory variables. A structural ...

In the process of loan pricing, stress testing, capital allocation, modeling of probability of default (PD) term structure and International Financial Reporting Standard 9 expected credit loss ...