New dynamic Bayesian models for survival data analysis are applied in a study of contributory factors to unemployment. The models treat survival data as time series data, reflecting the need to model time varying relationships with explanatory variables that cannot be accommodated within standard proportional hazard models. In the present study, prior expectations that the effects of various so...

We examine the joint time series of option prices and returns on the S&P 500 index and a set of stocks drawn from the index with a new arbitrage-free multivariate stochastic volatility model that captures a market effect. The preliminary results show that the new model fits well for all the marginal time series for different periods of time. The price of volatility risk is estimated from option...