Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)

Journal of Empirical Finance - Tập 38 - Trang 640-663 - 2016
Arianna Agosto1, Giuseppe Cavaliere2, Dennis Kristensen3,4,5, Anders Rahbek5,6
1Financial Risk Control Unit, Banca Carige, Via Cassa di Risparmio 15,16123 Genova, Italy
2Department of Statistical Sciences, University of Bologna, Italy
3Department of Economics, University College, London, WC1E 6BT, United Kingdom
4Institute of Fiscal Studies, United Kingdom
5CREATES, University of Aarhus, Denmark
6Department of Economics, University of Copenhagen, 1353 Copenhagen K, Denmark

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