The multi-state latent factor intensity model for credit rating transitions (Q290969): Difference between revisions

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-.1016/j.jeconom.2007.07.001
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+unobserved components
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+credit cycles
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+generator matrix
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+Monte Carlo likelihood
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+Statistical models based on counting processes
@@ Property / cites work: Statistical models based on counting processes / rank @@
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+Modeling and Forecasting Realized Volatility
@@ Property / cites work: Modeling and Forecasting Realized Volatility / rank @@
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+Monte Carlo maximum likelihood estimation for non-Gaussian state space models
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+A simple and efficient simulation smoother for state space time series analysis
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+Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
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+The simulation smoother for time series models
@@ Property / cites work: The simulation smoother for time series models / rank @@
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+Q3999328
@@ Property / cites work: Q3999328 / rank @@
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+Likelihood analysis of non-Gaussian measurement time series
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@@ Property / cites work @@
+A nonidentifiability aspect of the problem of competing risks.
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+.1016/J.JECONOM.2007.07.001
@@ Property / DOI: 10.1016/J.JECONOM.2007.07.001 / rank @@
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+Publication:290969