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On the network topology of variance decompositions : measuring the connectedness of financial firms
Diebold, Francis X.; Yılmaz, Kamil - In: Journal of econometrics 182 (2014) 1, pp. 119-134
Persistent link: https://www.econbiz.de/10010497110
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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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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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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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Pricing default events : surprise, exogeneity and contagion
Gouriéroux, Christian; Monfort, Alain; Renne, Jean-Paul - In: Journal of econometrics 182 (2014) 2, pp. 397-411
Persistent link: https://www.econbiz.de/10010497742
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Measuring cost efficiency in banking : econometric and linear programming evidence
Ferrier, Gary Donald - In: Journal of econometrics 46 (1990) 1, pp. 229-245
Persistent link: https://www.econbiz.de/10001163569
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Bayesian Artificial Neural Networks for frontier efficiency analysis
Tsionas, Efthymios G.; Parmeter, Christopher F.; … - In: Journal of econometrics 236 (2023) 2, pp. 1-14
Persistent link: https://www.econbiz.de/10014365509
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Mark to market value at risk
Chen, Yu; Wang, Zhicheng; Zhang, Zhengjun - In: Journal of econometrics 208 (2019) 1, pp. 299-321
Persistent link: https://www.econbiz.de/10012145015
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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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Realized jumps on financial markets and predicting credit spreads
Tauchen, George Eugene; Zhou, Hao - In: Journal of econometrics 160 (2011) 1, pp. 102-118
Persistent link: https://www.econbiz.de/10009242533