Hwang, Ruey-Ching - In: International Journal of Forecasting 28 (2012) 3, pp. 675-688
In this paper, a default prediction method based on the discrete-time varying-coefficient hazard model (DVHM) is proposed. The new model is constructed by replacing the constant coefficients of firm-specific predictors in the discrete-time hazard model (DHM; see Shumway, 2001; and Chava & Jarrow,...
