Modeling corporate defaults : poisson autoregressions with exogenous covariates (PARX)
Arianna Agosto, Giuseppe Cavaliere, Dennis Kristensen, Anders Rahbek
| Year of publication: |
September 2016
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| Authors: | Agosto, Arianna ; Cavaliere, Giuseppe ; Kristensen, Dennis ; Rahbek, Anders |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 38.2016, Part B, p. 640-663
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| Subject: | Corporate defaults | Count data | Exogenous covariates | Poisson autoregression | Estimation | Schätztheorie | Estimation theory | Korrelation | Correlation | Stochastischer Prozess | Stochastic process | Insolvenz | Insolvency | ARCH-Modell | ARCH model | Autokorrelation | Autocorrelation | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2016.02.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011663393