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The Use of Box-Cox Transformation Technique in Economic and Statistical Analyses
Box-Cox transformation functional forms model selection
2011/6/1
This paper provides an analytical review of the significant role of the Box-Cox transformation technique in a variety of statistical fields such as estimation, testing, inference and model selection. ...
Default Risk Modeling Beyond the First-Passage Approximation: Extended Black-Cox Model
Default Risk Modeling the First-Passage Approximation Extended Black-Cox Model
2010/10/18
We develop a generalization of the Black-Cox structural model of default risk. The extended model captures uncertainty related to firm's ability to avoid default even if company's liabilities momentar...