Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)
Tài liệu tham khảo
Amisano, 2007, Comparing density forecasts via weighted likelihood ratio tests, J. Bus. Econ. Stat., 25, 177, 10.1198/073500106000000332
Andrews, 1999, Estimation when a parameter is on a boundary, Econometrica, 67, 1341, 10.1111/1468-0262.00082
Azizpour, 2015, Exploring the sources of default clustering
Berkes, 2003, GARCH processes: structure and estimation, Bernoulli, 9, 201, 10.3150/bj/1068128975
Besag, 1975, Statistical analysis of non-lattice data, The Statistician, 24, 179, 10.2307/2987782
Brown, 1971, Martingale central limit theorems, Ann. Math. Stat., 42, 59, 10.1214/aoms/1177693494
Christou, 2013, Quasi-likelihood inference for negative binomial time series models, J. Time Ser. Anal., 35, 55, 10.1111/jtsa.12050
Das, 2007, Common failings: how corporate defaults are correlated, J. Financ., 62, 93, 10.1111/j.1540-6261.2007.01202.x
Davis, 2014, Theory and inference for a class of nonlinear models with application to time series of counts, Stat. Sin.
Demos, 1998, Testing for garch effects: a one-sided approach, J. Econ., 86, 97, 10.1016/S0304-4076(97)00110-3
Doukhan, 2008, Weakly dependent chains with infinite memory, Stoch. Process. Appl., 118, 1997, 10.1016/j.spa.2007.12.004
Duffie, 2009, Frailty correlated default, J. Financ., 64, 2089, 10.1111/j.1540-6261.2009.01495.x
Duffie, 2007, Multi-period corporate default prediction with stochastic covariates, J. Financ. Econ., 83, 635, 10.1016/j.jfineco.2005.10.011
Ferland, 2006, Integer-valued GARCH processes, J. Time Ser. Anal., 27, 923, 10.1111/j.1467-9892.2006.00496.x
Fokianos, 2009, Poisson autoregression, J. Am. Stat. Assoc., 104, 1430, 10.1198/jasa.2009.tm08270
Francq, 2009, Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons, J. Am. Stat. Assoc., 104, 313, 10.1198/jasa.2009.0117
Gallo, 2000, The effects of trading activity on market volatility, Eur. J. Financ., 6, 163, 10.1080/13518470050020824
Giesecke, 2011, Systemic risk: what defaults are telling us, Manag. Sci., 57, 1387, 10.1287/mnsc.1110.1375
Giesecke, 2011, Corporate bond default risk: a 150-year perspective, J. Financ. Econ., 102, 233, 10.1016/j.jfineco.2011.01.011
Gourieroux, 1987, Generalised residuals, J. Econ., 34, 5, 10.1016/0304-4076(87)90065-0
Gourieroux, 1984, Pseudo maximum likelihood methods: applications to Poisson models, Econometrica, 52, 701, 10.2307/1913472
Han, 2014, Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates, J. Bus. Econ. Stat., 32, 416, 10.1080/07350015.2014.897954
Hansen, 2012, Realized GARCH: a joint model for returns and realized measures of volatility, J. Appl. Econ., 27, 877, 10.1002/jae.1234
Kedem, 2002
Koopman, 2012, Dynamic factor models with macro, frailty, and industry effects for U.S. default counts: the credit crisis of 2008, J. Bus. Econ. Stat., 30, 521, 10.1080/07350015.2012.700859
Koopman, 2014, Modeling frailty-correlated defaults using many macroeconomic covariates, J. Econ., 162, 312, 10.1016/j.jeconom.2011.02.003
Kristensen, 2005, Asymptotics of the QMLE for a class of ARCH(q) models, Econometric Theory, 21, 946, 10.1017/S0266466605050474
Kristensen, 2015, Quasi-maximum likelihood estimation of multivariate GARCH models: a weak dependence approach
Lamoureux, 1990, Heteroskedasticity in stock return data: volume versus GARCH effects, J. Financ., 45, 221, 10.1111/j.1540-6261.1990.tb05088.x
Lando, 2013, Additive intensity regression models in corporate default analysis, J. Financ. Econ., 11, 443
Lando, 2010, Correlation in corporate defaults: contagion or conditional independence?, J. Financ. Intermed., 19, 355, 10.1016/j.jfi.2010.03.002
Nyblom, 1989, Testing for the constancy of parameters over time, J. Am. Stat. Assoc., 84, 223, 10.1080/01621459.1989.10478759
Rydberg, 2000, A modeling framework for the prices and times of trades on the New York Stock Exchange, 217
Shephard, 2010, Realising the future: forecasting with high-frequency-based volatility (HEAVY) models, J. Appl. Econ., 25, 197, 10.1002/jae.1158
Stock, 1996, Evidence on structural instability in macroeconomic time series relations, J. Bus. Econ. Stat., 14, 11
Streett, 2000
Tay, 2000, Density forecasting: a survey, J. Forecast., 19, 235, 10.1002/1099-131X(200007)19:4<235::AID-FOR772>3.0.CO;2-L
White, 1982, Maximum likelihood estimation of misspecified models, Econometrica, 50, 1, 10.2307/1912526