Bankruptcy risk dependence structure using the INAR model comprising macroeconomic indicators applied to stress tests
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DOI: 10.1007/s10690-021-09336-6
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References listed on IDEAS
- Emmanuel Bacry & Iacopo Mastromatteo & Jean-Franc{c}ois Muzy, 2015. "Hawkes processes in finance," Papers 1502.04592, arXiv.org, revised May 2015.
- Azizpour, S & Giesecke, K. & Schwenkler, G., 2018. "Exploring the sources of default clustering," Journal of Financial Economics, Elsevier, vol. 129(1), pages 154-183.
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Keywords
INAR model; Multidimensional Hawkes process; Credit risk;All these keywords.
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