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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)Real Exchange Rates under the Gold Standard, , and . Journal of Political Economy, 99 (6): 1252 (Jan 1, 1991)doi: 10.1086/261799.The distribution of realized stock return volatility, , , and . Journal of Financial Economics, 61 (1): 43--76 (July 2001)Intertemporal consumer behavior under changes in income: a comment. Econometric Reviews, 8 (1): 93--99 (1989)The macroeconomy and the yield curve: a dynamic latent factor approach, , and . Journal of Econometrics, 131 (1-2): 309--338 (00 2006)