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Time series patterns in credit ratings

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  • Parnes, Dror
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    File URL: http://www.sciencedirect.com/science/article/B7CPP-4PR3GC6-1/2/f933d5a1f1ab4c008c1ef55e7e1d6db6
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    Bibliographic Info

    Article provided by Elsevier in its journal Finance Research Letters.

    Volume (Year): 4 (2007)
    Issue (Month): 4 (December)
    Pages: 217-226

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    Handle: RePEc:eee:finlet:v:4:y:2007:i:4:p:217-226

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    Web page: http://www.elsevier.com/locate/frl

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    1. Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2004. "The Cross-Section of Volatility and Expected Returns," NBER Working Papers 10852, National Bureau of Economic Research, Inc.
    2. Anil Bangia & Francis X. Diebold & Til Schuermann, 2000. "Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing," Center for Financial Institutions Working Papers 00-26, Wharton School Center for Financial Institutions, University of Pennsylvania.
    3. Pierre Collin-Dufresne, 2001. "The Determinants of Credit Spread Changes," Journal of Finance, American Finance Association, vol. 56(6), pages 2177-2207, December.
    4. Jarrow, Robert A & Lando, David & Turnbull, Stuart M, 1997. "A Markov Model for the Term Structure of Credit Risk Spreads," Review of Financial Studies, Society for Financial Studies, vol. 10(2), pages 481-523.
    5. Connolly, Robert & Stivers, Chris & Sun, Licheng, 2005. "Stock Market Uncertainty and the Stock-Bond Return Relation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 40(01), pages 161-194, March.
    6. Robert B. Israel & Jeffrey S. Rosenthal & Jason Z. Wei, 2001. "Finding Generators for Markov Chains via Empirical Transition Matrices, with Applications to Credit Ratings," Mathematical Finance, Wiley Blackwell, vol. 11(2), pages 245-265.
    7. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
    8. Charles J. Corrado & Thomas W. Miller, 2006. "Estimating Expected Excess Returns Using Historical And Option-Implied Volatility," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 29(1), pages 95-112.
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    Cited by:
    1. Alsakka, Rasha & ap Gwilym, Owain, 2010. "A random effects ordered probit model for rating migrations," Finance Research Letters, Elsevier, vol. 7(3), pages 140-147, September.

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