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Combining Bond Rating Forecasts Using Logit

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Author Info
Kamstra, M.
Kennedy, P.
Suan, T.-K.

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Abstract

This paper uses the ordered logit regression combining method to form consensus forecasts from different individual bond rating forecasts, to predict bond ratings in the transportation and industrial sectors form Moody's bond rating service.

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Publisher Info
Paper provided by Department of Economics, Simon Fraser University in its series Discussion Papers with number dp98-10.

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Length: 24 pages
Date of creation: 1998
Date of revision:
Handle: RePEc:sfu:sfudps:dp98-10

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Postal: Department of Economics, Simon Fraser University, 8888 University Drive, Burnaby, BC, V5A 1S6, Canada
Phone: (778)782-3508
Fax: (778)782-5944
Web page: http://www.econ.sfu.ca/
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Postal: Working Paper Coordinator, Department of Economics, Simon Fraser University, 8888 University Drive, Burnaby, BC, V5A 1S6, Canada
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Web: http://www.econ.sfu.ca/Research_and_Seminars/Publications/index.html

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Related research
Keywords: PROJECTIONS ; STATISTICAL ANALYSIS ; ECONOMETRIC MODELS ; INVESTMENTS;

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Find related papers by JEL classification:
C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
G20 - Financial Economics - - Financial Institutions and Services - - - General
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

Cited by:
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  1. Guglielmo Maria Caporale & Roman Matousek & Chris Stewart, 2009. "Rating Assignments: Lessons from International Banks," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
Statistics
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This page was last updated on 2009-12-15.

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