Commercial and residential mortgage defaults: spatial dependence with frailty
DOI10.1016/J.JECONOM.2019.04.020zbMATH Open1452.62741OpenAlexW2944159786WikidataQ127896207 ScholiaQ127896207MaRDI QIDQ2323366FDOQ2323366
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
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Cited In (5)
- Monitoring foreclosure rates with a spatially risk-adjusted Bernoulli CUSUM chart for concurrent observations
- Forecasting portfolio returns with skew-geometric Brownian motions
- Machine Learning Time Series Regressions With an Application to Nowcasting
- Maximum likelihood estimation for score-driven models
- Spatial dependence in credit risk and its improvement in credit scoring
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