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Forecasting US bond default ratings allowing for previous and initial state dependence in an ordered probit model
16 references·1 citing·31 second hop
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References

  • 1968FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY14,869 cited
  • 1983Limited-dependent and qualitative variables in econometrics13,257 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1995Comparing Predictive Accuracy5,214 cited
  • 1990Forecasting, Structural Time Series Models and the Kalman Filter4,101 cited
  • 2001Forecasting Bankruptcy More Accurately: A Simple Hazard Model2,655 cited
  • 1997Testing the equality of prediction mean squared errors2,103 cited
  • 2005Simple solutions to the initial conditions problem in dynamic, nonlinear panel data models with unobserved heterogeneity1,800 cited
  • 1981On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills1,321 cited
  • 1984Limited-Dependent and Qualitative Variables in Econometrics.1,310 cited
  • 2015On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills1,206 cited
  • 2004Bankruptcy Prediction with Industry Effects810 cited
  • 1998The Declining Credit Quality of U.S. Corporate Debt: Myth or Reality?741 cited
  • 1979Statistical Models of Bond Ratings: A Methodological Inquiry651 cited
  • 2003

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Credit Risk : Pricing, Measurement, and Management
587 cited
  • 2000Stability of rating transitions562 cited
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    • 2014A financial early warning logit model and its efficiency verification approach30 cited