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Market-based credit ratings
Creal, Drew; Gramacy, Robert B.; Tsay, Ruey S. - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 3, pp. 430-444
Persistent link: https://www.econbiz.de/10010488477
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High dimensional dynamic stochastic copula models
Creal, Drew; Tsay, Ruey S. - In: Journal of econometrics 189 (2015) 2, pp. 335-345
Persistent link: https://www.econbiz.de/10011504544
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Market based credit rating and its applications
Tsay, Ruey S.; Zhu, H. - In: Applied quantitative finance, (pp. 113-128). 2017
Persistent link: https://www.econbiz.de/10011794956