Estimation of Hazard Models with Dependence Across Observations: Correlation, Frailty and Contagion

Abstract

This paper proposes nonparametric and semi-nonparametric estimation of hazard models with various types of dependence between observations. The methods are designed to examine the impact that di¤erent macroeconomic and …nancial conditions have on hazard rates. First, dependence between time-varying covariate processes across observations is examined. Among… (More)

Topics

Figures and Tables

Sorry, we couldn't extract any figures or tables for this paper.