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Counting processes for retail default modeling
11 references·0 citing·43 second hop
Counting processes for retail default modeling (2015)Counting processes for retail default mod…WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS (2016)WEAK DIFFUSION LIMITS OF DYNA…Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) (2016)Modeling corporate defaults: …Identification and estimation of non-Gaussian structural vector autoregressions (2016)Identification and estimation…Option valuation with observable volatility and jump dynamics (2015)Option valuation with observa…Explosive Bubbles in House Prices? Evidence from the OECD Countries (2015)Explosive Bubbles in House Pr…Exploiting the errors: A simple approach for improved volatility forecasting (2015)Exploiting the errors: A simp…EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area (2015)EuroMInd-D: A Density Estimat…Effects of Macroeconomic Uncertainty on the Stock and Bond Markets (2015)Effects of Macroeconomic Unce…Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions (2015)Daily House Price Indices: Co…A simulation estimator for testing the time homogeneity of credit rating transitions (2006)A simulation estimator for te…Empirical Labor Economics: The Search Approach. (1992)Empirical Labor Economics: Th…Statistical Analysis of Non-Lattice Data (1975)Testing for the Constancy of Parameters Over Time (1989)Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects (1990)PARX model for football match predictions (2017)Artificial intelligence for team sports: a survey (2019)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)The impact of sentiment and attention measures on stock market volatility (2019)The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets (2021)The impact of the Russian-Ukrainian war on global financial markets (2023)Has the Business Cycle Changed and Why?Macroeconomics and Reality (1980)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)A test for independence based on the correlation dimension (1996)GMM Estimation of Non-Gaussian Structural Vector Autoregression (2019)Exchange rates, foreign currency exposure and sovereign risk (2021)Empirical Performance of Alternative Option Pricing Models (1997)Bitcoin option pricing with a SETAR-GARCH model (2020)More is better? The impact of predictor choice on the INE oil futures volatility forecasting (2024)Generalized autoregressive conditional heteroskedasticity (1986)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Dynamic Conditional Correlation (2002)Fundamentals and the Volatility of Real Estate Prices in China: A Sequential Modelling Strategy (2015)A More Timely House Price Index (2016)Specification Tests in Econometrics (1978)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Presidential Address: Discount Rates (2011)Speculative Bubbles or Market Fundamentals? An Investigation of US Regional Housing Markets (2016)Exuberance and spillovers in housing markets: Evidence from first- and second-tier cities in China (2019)Analyzing rating transitions and rating drift with continuous observations (2002)Credit Scoring and Its Applications (2002)Ratings migration and the business cycle, with application to credit portfolio stress testing (2002)A likelihood ratio test for stationarity of rating transitions (2009)A coupled Markov chain approach to credit risk modeling (2011)Bank Credit Risk Management and Rating Migration Analysis on the Business Cycle (2014)Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models (2000)Stock Market Volatility and Macroeconomic Fundamentals (2012)Economic Policy Uncertainty and Emerging Stock Market Volatility (2023)The effect of uncertainty on stock market volatility and correlation (2023)One Day in the Life of a Very Common Stock (1997)Looking into the Black Box: A Survey of the Matching Function (2001)Job Information Networks, Neighborhood Effects, and Inequality (2004)
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References

  • 2015Exploiting the errors: A simple approach for improved volatility forecasting448 cited
  • 1992Empirical Labor Economics: The Search Approach.384 cited
  • 2016Identification and estimation of non-Gaussian structural vector autoregressions203 cited
  • 2015Explosive Bubbles in House Prices? Evidence from the OECD Countries148 cited
  • 2016Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)105 cited
  • 2015Effects of Macroeconomic Uncertainty on the Stock and Bond Markets73 cited
  • 2015Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions67 cited
  • 2015Option valuation with observable volatility and jump dynamics54 cited
  • 2006A simulation estimator for testing the time homogeneity of credit rating transitions34 cited
  • 2016WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS19 cited
  • 2015EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area11 cited

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