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Reinforced urn processes for credit risk models
Peluso, Stefano; Mira, Antonietta; Mulière, Pietro - In: Journal of econometrics 184 (2015) 1, pp. 1-12
Persistent link: https://www.econbiz.de/10011326824
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The construction of empirical credit scoring rules based on maximization principles
Lieli, Robert P.; White, Halbert - In: Journal of econometrics 157 (2010) 1, pp. 110-119
Persistent link: https://www.econbiz.de/10008661798
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The multi-state latent factor intensity model for credit rating transitions
Koopman, Siem Jan; Lucas, André; Monteiro, André Antonio - In: Journal of econometrics 142 (2008) 1, pp. 399-424
Persistent link: https://www.econbiz.de/10003608208
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Multiperiod corporate default prediction : a forward intensity approach
Duan, Jin-Chuan; Sun, Jie; Wang, Tao - In: Journal of econometrics 170 (2012) 1, pp. 191-209
Persistent link: https://www.econbiz.de/10009673113
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Modeling frailty-correlated defaults using many macroeconomic covariates
Koopman, Siem Jan; Lucas, André; Schwaab, Bernd - In: Journal of econometrics 162 (2011) 2, pp. 312-325
Persistent link: https://www.econbiz.de/10009270628
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Commercial and residential mortgage defaults : spatial dependence with frailty
Babii, Andrii; Chen, Xi; Ghysels, Eric - In: Journal of econometrics 212 (2019) 1, pp. 47-77
Persistent link: https://www.econbiz.de/10012303871
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A causality-in-variance test and its application to financial market prices
Cheung, Yin-Wong - In: Journal of econometrics 72 (1996) 1, pp. 33-48
Persistent link: https://www.econbiz.de/10001198033
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Economic tracking portfolios
Lamont, Owen A. - In: Journal of econometrics 105 (2001) 1, pp. 161-184
Persistent link: https://www.econbiz.de/10001617161
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A generalized bivariate mixture model for stock price volatility and trading volume
Liesenfeld, Roman - In: Journal of econometrics 104 (2001) 1, pp. 141-178
Persistent link: https://www.econbiz.de/10001589531
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The asymptotic null distribution of the Box-Pierce q-statistic for random variables with infinite variance : an application to German stock returns
Runde, Ralf - In: Journal of econometrics 78 (1997) 2, pp. 205-216
Persistent link: https://www.econbiz.de/10001219989