Bayesian solvency analysis with autocorrelated observations

DOI10.1002/ASMB.626zbMATH Open1127.62102OpenAlexW2102837216MaRDI QIDQ3439748FDOQ3439748

Authors Manuel Mendoza, Luis E. Nieto-Barajas

Publication date 29 May 2007

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.626

zbMATH Keywords

predictionautoregressive modellog-normal distributiondynamic linear modelautocorrelated observationssolvency analysis

Mathematics Subject Classification ID

Bayesian inference (62F15) 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

(6)

• Bayesian analysis of duration models: An application to Chapter 11 bankruptcy
• General dependence structures for some models based on exponential families with quadratic variance functions
• An approach for measuring corporation financial stability by econophysics and Bayesian method
• Self-Selectivity in Firm’s Decision to Withdraw IPO: Bayesian Inference for Hazard Models of Bankruptcy With Feedback
• Solvency supervision based on a total balance sheet approach
• A Bayesian nonparametric approach for time series clustering

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