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The multi-state latent factor intensity model for credit rating transitions

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Author Info
Koopman, Siem Jan
Lucas, Andre
Monteiro, Andre

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Abstract

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 142 (2008)
Issue (Month): 1 (January)
Pages: 399-424
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Handle: RePEc:eee:econom:v:142:y:2008:i:1:p:399-424

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  1. Drew Creal & Siem Jan Koopman & André Lucas, 2008. "A General Framework for Observation Driven Time-Varying Parameter Models," Tinbergen Institute Discussion Papers 08-108/4, Tinbergen Institute. [Downloadable!]
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  2. Chew Lian Chua & G. C. Lim & Penelope Smith, 2008. "A Bayesian Simulation Approach to Inference on a Multi-State Latent Factor Intensity Model," Melbourne Institute Working Paper Series wp2008n16, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne. [Downloadable!]
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