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Equidependence in Qualitative and Duration Models with Application to Credit Risk

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  • Christian Gourieroux

    (Crest)

  • Alain Monfort

    (Crest)

Abstract

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  • Christian Gourieroux & Alain Monfort, 2002. "Equidependence in Qualitative and Duration Models with Application to Credit Risk," Working Papers 2002-51, Center for Research in Economics and Statistics.
  • Handle: RePEc:crs:wpaper:2002-51
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    File URL: http://crest.science/RePEc/wpstorage/2002-51.pdf
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    References listed on IDEAS

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    1. Aronsson, Thomas & Blomquist, Soren & Sacklen, Hans, 1999. "Identifying Interdependent Behaviour in an Empirical Model of Labour Supply," Journal of Applied Econometrics, John Wiley & Sons, Ltd., pages 607-626.
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    Cited by:

    1. Roberto Casarin, 2005. "Stochastic Processes in Credit Risk Modelling," Working Papers ubs0505, University of Brescia, Department of Economics.
    2. Gagliardini, P. & Gourieroux, C., 2005. "Migration correlation: Definition and efficient estimation," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 865-894, April.

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