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Ratings migration and the business cycle, with application to credit portfolio stress testing

, , , , and . Journal of Banking & Finance, 26 (2-3): 445--474 (March 2002)

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Forecasting the term structure of government bond yields, and . Journal of Econometrics, 130 (2): 337--364 (February 2006)On the power of Dickey-Fuller tests against fractional alternatives, and . Economics Letters, 35 (2): 155--160 (February 1991)Fractional integration and interval prediction, and . Economics Letters, 50 (3): 305--313 (March 1996)Advances in Econometrics, , , and . Volume 20, Part 2, chapter Realized Beta: Persistence and Predictability, page 1--39. JAI, (2006)A Nonparametric Investigation of Duration Dependence in the American Business Cycle, and . Journal of Political Economy, 98 (3): 596 (Jan 1, 1990)doi: 10.1086/261696.CFEnetwork: The Annals of Computational and Financial Econometrics: 2nd Issue., , , , , , , , , and 32 other author(s). Comput. Stat. Data Anal., (2014)The macroeconomy and the yield curve: a dynamic latent factor approach, , and . Journal of Econometrics, 131 (1-2): 309--338 (00 2006)The exact initial covariance matrix of the state vector of a general MA(q) process. Economics Letters, 22 (1): 27--31 (1986)Long memory and regime switching, and . Journal of Econometrics, 105 (1): 131--159 (November 2001)Testing structural stability with endogenous breakpoint A size comparison of analytic and bootstrap procedures, and . Journal of Econometrics, 70 (1): 221--241 (January 1996)