Robust analysis of default intensity
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Tiziano Bellini, 2016. "The forward search interactive outlier detection in cointegrated VAR analysis," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 10(3), pages 351-373, September.
- Bellini, Tiziano, 2013. "Integrated bank risk modeling: A bottom-up statistical framework," European Journal of Operational Research, Elsevier, vol. 230(2), pages 385-398.
- Bellini, Tiziano, 2012. "Forward search outlier detection in data envelopment analysis," European Journal of Operational Research, Elsevier, vol. 216(1), pages 200-207.
More about this item
KeywordsForward search; Outlier; Kalman filter; Term structure of default intensity;
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