Commercial and residential mortgage defaults: spatial dependence with frailty

DOI10.1016/J.JECONOM.2019.04.020MaRDI QIDQ2323366zbMATHOpenAlexWikidataFDO

Authors Andrii Babii, Xi Chen, Eric Ghysels

Publication date 2 September 2019

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2019.04.020

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(7)

• Machine Learning Time Series Regressions With an Application to Nowcasting
• Monitoring foreclosure rates with a spatially risk-adjusted Bernoulli CUSUM chart for concurrent observations
• Spatial contagion in mortgage defaults: a spatial dynamic survival model with time and space varying coefficients
• Maximum likelihood estimation for score-driven models
• Forecasting portfolio returns with skew-geometric Brownian motions
• Dual-frailty default intensity model: estimations and an application
• Spatial dependence in credit risk and its improvement in credit scoring

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