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Empirical credit cycles and capital buffer formation

, , and . Journal of Banking & Finance, 29 (12): 3159--3179 (December 2005)

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State Space Modeling in Macroeconomics and Finance Using SsfPack for S+Finmetrics, , and . (May 2003)Unpublished mimeo..The multi-state latent factor intensity model for credit rating transitions, , and . Journal of Econometrics, 142 (1): 399--424 (January 2008)Estimation of stochastic volatility models via Monte Carlo maximum likelihood, and . Journal of Econometrics, 87 (2): 271--301 (December 1998)Empirical credit cycles and capital buffer formation, , and . Journal of Banking & Finance, 29 (12): 3159--3179 (December 2005)CFEnetwork: The Annals of Computational and Financial Econometrics: 2nd Issue., , , , , , , , , and 32 other author(s). Comput. Stat. Data Anal., (2014)The Annals of Computational and Financial Econometrics, first issue., , , , , , , , , and 16 other author(s). Comput. Stat. Data Anal., 56 (11): 2991-2992 (2012)Advances in Econometrics, and . Volume 20, Part 1, chapter Model-Based Measurement of Actual Volatility in High-Frequency Data, page 183--210. JAI, (2006)Statistical algorithms for models in state space using SsfPack 2.2, , and . Econometrics Journal, 2 (1): 107-160 (1999)Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models, and . Econometric Reviews, 25 (2): 385--408 (2006)Computing observation weights for signal extraction and filtering, and . Journal of Economic Dynamics and Control, 27 (7): 1317--1333 (May 2003)