DURATION MODELS FOR CREDIT RATING MIGRATION: EVIDENCE FROM THE FINANCIAL CRISIS.

We introduce a specific duration model to analyze the prediction of the credit rating migration. We consider hazard rate processes based on multi‐state autoregressive conditional duration models. To take account of the economic context, we model the conditional mean of the duration between two ratin...

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Detalles Bibliográficos

Publicado en:	Economic Inquiry Vol. 56; no. 3; pp. 1870 - 1887
Autores principales:	Ben Ayed, Myriam, Karaa, Adel, Prigent, Jean‐Luc
Formato:	Artículo
Publicado:	Wiley-Blackwell Jul2018
Materias:	New Zealand. Financial Markets Authority Financial crises Economic impact of emigration & immigration Credit ratings Rating agencies (Finance)
Acceso en línea:	Ver este registro en EBSCOhost