Robust analysis of default intensity

DOI10.1016/J.CSDA.2011.03.007zbMath1254.91635OpenAlexW1963815279MaRDI QIDQ1927110

Marco Riani, Tiziano Bellini

Publication date: 30 December 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2011.03.007

zbMATH Keywords

Kalman filteroutlierforward searchterm structure of default intensity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Related Items (5)

The forward search interactive outlier detection in cointegrated VAR analysis ⋮ Forward search outlier detection in data envelopment analysis ⋮ Special issue on robust analysis of complex data ⋮ Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs ⋮ Integrated bank risk modeling: a bottom-up statistical framework

Uses Software

• SsfPack

Cites Work

• Fast calibrations of the forward search for testing multiple outliers in regression
• Early warning systems for sovereign debt crises: The role of heterogeneity
• Editorial: Special issue on statistical and computational methods in finance
• Estimation for diffusion processes from discrete observation
• Robust diagnostic regression analysis
• Martingale estimation functions for discretely observed diffusion processes
• A Theory of the Term Structure of Interest Rates
• Finding an Unknown Number of Multivariate Outliers
• Least Median of Squares Regression
• Extensions of the Forward Search to Time Series
• Computational techniques for basic affine models of portfolio credit risk
• Measuring Systematic Risk in EMU Government Yield Spreads *
• An equilibrium characterization of the term structure

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