The multi-state latent factor intensity model for credit rating transitions
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Publication:290969
DOI10.1016/J.JECONOM.2007.07.001zbMATH Open1418.62383OpenAlexW2028387985MaRDI QIDQ290969FDOQ290969
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
Recommendations
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 (27)
- A Bayesian simulation approach to inference on a multi-state latent factor intensity model
- The Impact of Systematic Trend and Uncertainty on Mortality and Disability in a Multistate Latent Factor Model for Transition Rates
- Modeling dynamic dependence between crude oil and natural gas return rates: a time-varying geometric copula approach
- A Dynamic Model of Vaccine Compliance: How Fake News Undermined the Danish HPV Vaccine Program
- Composite Likelihood Estimation of an Autoregressive Panel Ordered Probit Model with Random Effects
- Measuring credit risk of individual corporate bonds in US energy sector
- A likelihood ratio test for stationarity of rating transitions
- On sovereign credit migration: a study of alternative estimators and rating dynamics
- A Class of Non-Gaussian State Space Models With Exact Likelihood Inference
- Capturing model risk and rating momentum in the estimation of probabilities of default and credit rating migrations
- Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model
- Case-cohort analysis of clusters of recurrent events
- Modelling credit grade migration in large portfolios using cumulative \(t\)-link transition models
- RATING TRANSITIONS FORECASTING: A FILTERING APPROACH
- A score-test on measurement errors in rating transition times
- Modeling dependent credit rating transitions: a comparison of coupling schemes and empirical evidence
- Incorporating heterogeneity and macroeconomic variables into multi-state delinquency models for credit cards
- Modeling frailty-correlated defaults using many macroeconomic covariates
- Maximum likelihood estimation and inference for high dimensional generalized factor models with application to factor-augmented regressions
- Filtered likelihood for point processes
- Disentangling and assessing uncertainties in multiperiod corporate default risk predictions
- Inference for a Nonstationary Self-Exciting Point Process with an Application in Ultra-High Frequency Financial Data Modeling
- A powerful nonparametric test of the effect of dementia duration on mortality
- A Multi-state Model of Functional Disability and Health Status in the Presence of Systematic Trend and Uncertainty
- 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
- Multiperiod corporate default prediction -- a forward intensity approach
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