Citations for "Credit cycles and macro fundamentals"
by Koopman, Siem Jan & Kräussl, Roman & Lucas, André
- Creal, Drew & Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2013.
"Observation driven mixed-measurement dynamic factor models with an application to credit risk,"
Working Paper Series
1626, European Central Bank.
- Drew Creal & Bernd Schwaab & Siem Jan Koopman & André Lucas, 2014. "Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk," The Review of Economics and Statistics, MIT Press, vol. 96(5), pages 898-915, December.
- 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.
- Roman Kräussl & Narasimhan Jegadeesh & Joshua M. Pollet, 2014.
"Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices,"
LSF Research Working Paper Series
14-04, Luxembourg School of Finance, University of Luxembourg.
- 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.
- Jegadeesh, Narasimhan & Kräussl, Roman & Pollet, Joshua, 2010. "Risk and expected returns of private equity investments: Evidence based on market prices," CFS Working Paper Series 2010/04, Center for Financial Studies (CFS).
- Bruneau, C. & de Bandt, O. & El Amri, W., 2012.
"Macroeconomic fluctuations and corporate financial fragility,"
Journal of Financial Stability,
Elsevier, vol. 8(4), pages 219-235.
- Catherine Bruneau & Olivier De Bandt & W. Elamri, 2012. "Macroeconomic Fluctuations and Corporate financial Fragility," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00666757, HAL.
- 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.
- 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.
- 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.
- 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.
- 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), issue 26, pages 62-81.
- Stefan Kerbl & Michael Sigmund, 2011. "What Drives Aggregate Credit Risk?," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 22, pages 72-87.
- Salnikov, V. & Mogilat, A. & Maslov, I., 2012. "Stress Testing for Russian Real Sector: First Approach," Journal of the New Economic Association, New Economic Association, vol. 16(4), pages 46-70.
- 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, vol. 21(1), pages 87-105.
- Duan, Jin-Chuan & Sun, Jie & Wang, Tao, 2012. "Multiperiod corporate default prediction—A forward intensity approach," Journal of Econometrics, Elsevier, vol. 170(1), pages 191-209.
- Guillermo L. Ordoñez, 2009.
"Fragility of reputation and clustering of risk-taking,"
431, Federal Reserve Bank of Minneapolis.
- Ordoñez, Guillermo L., 2013. "Fragility of reputation and clustering of risk-taking," Theoretical Economics, Econometric Society, vol. 8(3), September.
- Guillermo Ordonez, 2008. "Fragility of Reputation and Clustering in Risk Taking," 2008 Meeting Papers 441, Society for Economic Dynamics.
- Voß, Sebastian & Weißbach, Rafael, 2014. "A score-test on measurement errors in rating transition times," Journal of Econometrics, Elsevier, vol. 180(1), pages 16-29.
- 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.
- Konrad Banachewicz & André Lucas, 2008. "Quantile forecasting for credit risk management using possibly misspecified hidden Markov models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(7), pages 566-586.
- Carlos Castro, 2012. "Confidence sets for asset correlations in portfolio credit risk," REVISTA DE ECONOMÍA DEL ROSARIO, UNIVERSIDAD DEL ROSARIO, June.
- Jones, Stewart & Johnstone, David & Wilson, Roy, 2015. "An empirical evaluation of the performance of binary classifiers in the prediction of credit ratings changes," Journal of Banking & Finance, Elsevier, vol. 56(C), pages 72-85.
- Kauko, Karlo, 2010. "The feasibility of through-the-cycle ratings," Research Discussion Papers 14/2010, Bank of Finland.
- Bernd Schwaab & Siem Jan Koopman & Andr� Lucas, 2015. "Global Credit Risk: World, Country and Industry Factors," Tinbergen Institute Discussion Papers 15-029/III/DSF87, Tinbergen Institute.
- Bezemer, Dirk J & Werner, Richard A, 2009. "Disaggregated Credit Flows and Growth in Central Europe," MPRA Paper 17456, University Library of Munich, Germany.
- Miroslav Plasil & Tomas Konecny & Jakub Seidler & Petr Hlavac, 2015. "In the Quest of Measuring the Financial Cycle," Working Papers 2015/05, Czech National Bank, Research Department.
- 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.
- Siem Jan Koopman & Andr� Lucas & Andr� 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.
- Koopman, Siem Jan & Lucas, Andre & Monteiro, Andre, 2008. "The multi-state latent factor intensity model for credit rating transitions," Journal of Econometrics, Elsevier, vol. 142(1), pages 399-424, January.
- Bezemer, Dirk J, 2009. "Disaggregated Credit Flows and Growth in Central Europe," MPRA Paper 15896, University Library of Munich, Germany.
- Adam Gersl & Petr Jakubik, 2010. "Procyclicality of the Financial System and Simulation of the Feedback Effect," Occasional Publications - Chapters in Edited Volumes, in: CNB Financial Stability Report 2009/2010, chapter 0, pages 110-119 Czech National Bank, Research Department.
- Georges Dionne & Pascal François & Olfa Maalaoui Chun, 2009. "Detecting Regime Shifts in Corporate Credit Spreads," Cahiers de recherche 0929, CIRPEE.
- repec:luc:wpaper:13-2 is not listed on IDEAS
- 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.
- Eidenberger, Judith & Neudorfer, Benjamin & Sigmund, Michael & Stein, Ingrid, 2014. "What predicts financial (in)stability? A Bayesian approach," Discussion Papers 36/2014, Deutsche Bundesbank, Research Centre.
- Anisa Caja & FrÃ©dÃ©ric Planchet, 2014. "Modeling Cycle Dependence in Credit Insurance," Risks, MDPI, Open Access Journal, vol. 2(1), pages 74-88, March.
- Orth, Walter, 2013. "Multi-period credit default prediction with time-varying covariates," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 214-222.
- Carmen Broto & Luis Molina, 2014. "Sovereign ratings and their asymmetric response to fundamentals," Banco de Espa�a Working Papers 1428, Banco de Espa�a.
- repec:syb:wpbsba:03/2013 is not listed on IDEAS