Semiparametric Estimation of a Corporate Bond Rating Model

The Impact of Bond Rating Changes on Corporate Bond Prices

I examine the corporate bond market reaction to bond rating changes using newly available corporate bond transaction data from the over-the-counter (OTC) market. I document significant price responses to both downgrades and upgrades in the in two-day period surrounding announcements. Since numerous studies find no evidence of a stock price reaction do upgrades, my findings adds to the literatur...

A Case-based Reasoning Approach for Corporate Bond Rating

Case-based reasoning is a problem solving technique by re-using past cases and experiences to find solutions to problems. The central tasks that CBR methods have to deal with are to identify the current problem situation, find a past case similar to the new one, use that case to suggest a solution to the current problem, evaluate the proposed solution, and update the system by learning from thi...

Estimation of a Semiparametric Transformation Model

This paper proposes consistent estimators for transformation parameters in semiparametric models. The problem is to find the optimal transformation into the space of models with a predetermined regression structure like additive or multiplicative separability. We give results for the estimation of the transformation when the rest of the model is estimated nonor semi-parametrically and fulfills ...

Efficient Estimation in a Semiparametric Autoregressive Model

This paper constructs eecient estimates of the parameter in the semi-parametric autoregression model X t = X t?1 + (X t?2) + t with a smooth function and independent and identically distributed innovations t with zero means and nite variances. This will be done under the assumptions that jj + lim sup jxj!1 j(x)j jxj < 1 and that the errors have a density with nite Fisher information for locatio...

A Case-based Approach using Inductive Learning for Corporate Bond Rating