Bec, F.; Bouabdallah, O.; Ferrara, L. - Banque de France - 2011
This paper explores the various shapes the recoveries may exhibit within a Markov-Switching model. It relies on the bounce-back effects first analyzed by Kim, Morley and Piger (2005) and extends the methodology by proposing i) a more flexible bounce-back model, ii) explicit tests to select the...