The multi-state latent factor intensity model for credit rating transitions
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Publication:290969
DOI10.1016/j.jeconom.2007.07.001zbMath1418.62383OpenAlexW2028387985MaRDI QIDQ290969
Siem Jan Koopman, André Monteiro, André Lucas
Publication date: 3 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2007.07.001
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Uses Software
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