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Chapter 6 and Default Rules
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Multiperiod corporate default prediction : a forward intensity approach
Duan, Jin-Chuan
;
Sun, Jie
;
Wang, Tao
- In:
Journal of econometrics
170
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2012
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1
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pp. 191-209
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Modeling frailty-correlated defaults using many macroeconomic covariates
Koopman, Siem Jan
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Lucas, André
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Schwaab, Bernd
- In:
Journal of econometrics
162
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2011
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2
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pp. 312-325
Persistent link: https://www.econbiz.de/10009270628
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Reinforced urn processes for credit risk models
Peluso, Stefano
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Mira, Antonietta
;
Mulière, Pietro
- In:
Journal of econometrics
184
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2015
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1
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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
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pp. 397-411
Persistent link: https://www.econbiz.de/10010497742
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Logit versus discriminant analysis : a specification test and application to corporate bankruptcies
Lo, Andrew W.
- In:
Journal of econometrics
31
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1986
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2
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pp. 151-178
Persistent link: https://www.econbiz.de/10003619351
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Robust out-of-sample inference
McCracken, Michael W.
- In:
Journal of econometrics
99
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2000
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2
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pp. 195-223
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Generalised vec operators and the seemingly unrelated regression equations model with vector correlated disturbances
Turkington, Darrell A.
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Journal of econometrics
99
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2000
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2
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pp. 225-253
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Markovian processes, two-sided autoregressions and finite-sample inference for stationary and nonstationary autoregressive processes
Dufour, Jean-Marie
;
Torrès, Olivier
- In:
Journal of econometrics
99
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2000
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2
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pp. 255-289
Persistent link: https://www.econbiz.de/10001511971
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Spectral tests of the martingale hypothesis under conditional heteroscedasticity
Deo, Rohit S.
- In:
Journal of econometrics
99
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2000
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2
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pp. 291-315
Persistent link: https://www.econbiz.de/10001511972
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