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Citations for "Credit Cycles and Macro Fundamentals"

by Siem Jan Koopman & Roman Kraeussl & Andre Lucas & Andre Monteiro

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  1. Andr� A. Monteiro, 2008. "Parameter Driven Multi-state Duration Models: Simulated vs. Approximate Maximum Likelihood Estimation," Tinbergen Institute Discussion Papers 08-021/2, Tinbergen Institute.
  2. Adam Gersl & Petr Jakubik, 2010. "Procyclicality of the Financial System and Simulation of the Feedback Effect," Occasional Publications - Chapters in Edited Volumes, Czech National Bank, Research Department, in: CNB Financial Stability Report 2009/2010, chapter 0, pages 110-119 Czech National Bank, Research Department.
  3. Salnikov, V. & Mogilat, A. & Maslov, I., 2012. "Stress Testing for Russian Real Sector: First Approach," Journal of the New Economic Association, New Economic Association, New Economic Association, vol. 16(4), pages 46-70.
  4. Konrad Banachewicz & Andr� Lucas, 2007. "Quantile Forecasting for Credit Risk Management using possibly Mis-specified Hidden Markov Models," Tinbergen Institute Discussion Papers 07-046/2, Tinbergen Institute.
  5. Konrad Banachewicz & Andr� Lucas, 2007. "Quantile Forecasting for Credit Risk Management using possibly Mis-specified Hidden Markov Models," Tinbergen Institute Discussion Papers 07-046/2, Tinbergen Institute.
  6. Ordoñez, Guillermo L., 2013. "Fragility of reputation and clustering of risk-taking," Theoretical Economics, Econometric Society, Econometric Society, vol. 8(3), September.
  7. Georges Dionne & Pascal François & Olfa Maalaoui Chun, 2009. "Detecting Regime Shifts in Corporate Credit Spreads," Cahiers de recherche, CIRPEE 0929, CIRPEE.
  8. repec:syb:wpbsba:03/2013 is not listed on IDEAS
  9. Konrad Banachewicz & André Lucas & Aad van der Vaart, 2008. "Modelling Portfolio Defaults Using Hidden Markov Models with Covariates," Econometrics Journal, Royal Economic Society, vol. 11(1), pages 155-171, 03.
  10. Drew Creal & Bernd Schwaab & Siem Jan Koopman & Andre Lucas, 2011. "Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk," Tinbergen Institute Discussion Papers 11-042/2/DSF16, Tinbergen Institute.
  11. Siem Jan Koopman & André Lucas & André Monteiro, 2005. "The Multi-State Latent Factor Intensity Model for Credit Rating Transitions," Tinbergen Institute Discussion Papers 05-071/4, Tinbergen Institute, revised 04 Jul 2005.
  12. Orth, Walter, 2013. "Multi-period credit default prediction with time-varying covariates," Journal of Empirical Finance, Elsevier, Elsevier, vol. 21(C), pages 214-222.
  13. Bruneau, C. & de Bandt, O. & El Amri, W., 2012. "Macroeconomic fluctuations and corporate financial fragility," Journal of Financial Stability, Elsevier, Elsevier, vol. 8(4), pages 219-235.
  14. Siem Jan Koopman & André Lucas & André Monteiro, 2005. "The Multi-State Latent Factor Intensity Model for Credit Rating Transitions," Tinbergen Institute Discussion Papers 05-071/4, Tinbergen Institute, revised 04 Jul 2005.
  15. Stefan Kerbl & Michael Sigmund, 2011. "What Drives Aggregate Credit Risk?," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), Oesterreichische Nationalbank (Austrian Central Bank), issue 22, pages 72-87.
  16. Judith Eidenberger & Benjamin Neudorfer & Michael Sigmund & Ingrid Stein, 2013. "Quantifying Financial Stability in Austria, New Tools for Macroprudential Supervision," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), Oesterreichische Nationalbank (Austrian Central Bank), issue 26, pages 62-81.
  17. Drew Creal & Bernd Schwaab & Siem Jan Koopman & Andre Lucas, 2011. "Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk," Tinbergen Institute Discussion Papers 11-042/2/DSF16, Tinbergen Institute.
  18. Figlewski, Stephen & Frydman, Halina & Liang, Weijian, 2012. "Modeling the effect of macroeconomic factors on corporate default and credit rating transitions," International Review of Economics & Finance, Elsevier, Elsevier, vol. 21(1), pages 87-105.
  19. Dimitra Michala & Theoharry Grammatikos & Sara Ferreira Filipe, 2013. "Forecasting distress in European SME portfolios," LSF Research Working Paper Series 13-2, Luxembourg School of Finance, University of Luxembourg.
  20. Dimitra Michala & Theoharry Grammatikos & Sara Ferreira Filipe, 2013. "Forecasting distress in European SME portfolios," CREA Discussion Paper Series 13-2, Center for Research in Economic Analysis, University of Luxembourg.
  21. Konrad Banachewicz & Aad van der Vaart & Andr� Lucas, 2006. "Modeling Portfolio Defaults using Hidden Markov Models with Covariates," Tinbergen Institute Discussion Papers 06-094/2, Tinbergen Institute.
  22. Bezemer, Dirk J & Werner, Richard A, 2009. "Disaggregated Credit Flows and Growth in Central Europe," MPRA Paper 17456, University Library of Munich, Germany.
  23. Kauko, Karlo, 2010. "The feasibility of through-the-cycle ratings," Research Discussion Papers 14/2010, Bank of Finland.
  24. Anisa Caja & Frédéric Planchet, 2014. "Modeling Cycle Dependence in Credit Insurance," Risks, MDPI, Open Access Journal, MDPI, Open Access Journal, vol. 2(1), pages 74-88, March.
  25. Lee, Shih-Cheng & Lin, Chien-Ting & Yang, Chih-Kai, 2011. "The asymmetric behavior and procyclical impact of asset correlations," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2559-2568, October.
  26. Carlos Castro, 2012. "Confidence sets for asset correlations in portfolio credit risk," REVISTA DE ECONOMÍA DEL ROSARIO, UNIVERSIDAD DEL ROSARIO.
  27. Narasimhan Jegadeesh & Roman Kräussl & Joshua Pollet, 2009. "Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices," NBER Working Papers 15335, National Bureau of Economic Research, Inc.
  28. Banu Simmons-Süer, 2013. "Forecasting High-Yield Bond Spreads Using the Loan Market as Leading Indicator," KOF Working papers 13-328, KOF Swiss Economic Institute, ETH Zurich.
  29. Bezemer, Dirk J, 2009. "Disaggregated Credit Flows and Growth in Central Europe," MPRA Paper 15896, University Library of Munich, Germany.
  30. Duan, Jin-Chuan & Sun, Jie & Wang, Tao, 2012. "Multiperiod corporate default prediction—A forward intensity approach," Journal of Econometrics, Elsevier, Elsevier, vol. 170(1), pages 191-209.