Blar i Department of Mathematics på tidsskrift "The Journal of the Royal Statistical Society, Series C (Applied Statistics)"
Viser treff 1-1 av 1
-
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. ...