Browsing Department of Mathematics by Journals "The Journal of the Royal Statistical Society, Series C (Applied Statistics)"
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Modelling clusters of corporate defaults: Regime-switching models significantly reduce the contagion source
(Journal article; Peer reviewed, 2022)In this paper, we report robust evidence that the process of corporate defaults is time-dependent and can be modelled by extending an autoregressive count time series model class via the introduction of regime-switching. ...