The multi-state latent factor intensity model for credit rating transitions
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Cited in
(28)- On sovereign credit migration: a study of alternative estimators and rating dynamics
- Measuring credit risk of individual corporate bonds in US energy sector
- Disentangling and assessing uncertainties in multiperiod corporate default risk predictions
- Filtered likelihood for point processes
- Modeling dynamic dependence between crude oil and natural gas return rates: a time-varying geometric copula approach
- Random effects model for credit rating transitions
- A likelihood ratio test for stationarity of rating transitions
- Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model
- Maximum likelihood estimation and inference for high dimensional generalized factor models with application to factor-augmented regressions
- A Bayesian simulation approach to inference on a multi-state latent factor intensity model
- Modelling credit grade migration in large portfolios using cumulative t-link transition models
- A score-test on measurement errors in rating transition times
- A multi-state model of functional disability and health status in the presence of systematic trend and uncertainty
- Capturing model risk and rating momentum in the estimation of probabilities of default and credit rating migrations
- Modeling dependent credit rating transitions: a comparison of coupling schemes and empirical evidence
- Multiperiod corporate default prediction -- a forward intensity approach
- The impact of systematic trend and uncertainty on mortality and disability in a multistate latent factor model for transition rates
- Inference for a Nonstationary Self-Exciting Point Process with an Application in Ultra-High Frequency Financial Data Modeling
- RATING TRANSITIONS FORECASTING: A FILTERING APPROACH
- Composite Likelihood Estimation of an Autoregressive Panel Ordered Probit Model with Random Effects
- Efficiency in large dynamic panel models with common factors
- Pooling functional disability and mortality in long-term care insurance and care annuities: a matrix approach for multi-state pools
- A Class of Non-Gaussian State Space Models With Exact Likelihood Inference
- A Dynamic Model of Vaccine Compliance: How Fake News Undermined the Danish HPV Vaccine Program
- A powerful nonparametric test of the effect of dementia duration on mortality
- Incorporating heterogeneity and macroeconomic variables into multi-state delinquency models for credit cards
- Modeling frailty-correlated defaults using many macroeconomic covariates
- Case-cohort analysis of clusters of recurrent events
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