The multi-state latent factor intensity model for credit rating transitions

Monteiro, Andre, Lucas, Andre, Koopman, Siem Jan, Lucas, André, Monteiro, André . Journal of Econometrics 2008. 142 (1) :399-424

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Bibtex

@article{CIS-248902,
  Author = {Monteiro, Andre and Lucas, Andre and Koopman, Siem Jan and Lucas, André and Monteiro, André},
  Title = {The multi-state latent factor intensity model for credit rating transitions},
  Journal = {Journal of Econometrics},
  Volume = {142},
  Number = {1},
  Year = {2008},
  Pages = {399--424},
  Keywords = {Generator matrix, Duration model, Monte Carlo likelihood, Unobserved components, credit cycles}
}

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