Commercial and residential mortgage defaults: spatial dependence with frailty

DOI10.1016/j.jeconom.2019.04.020zbMath1452.62741OpenAlexW2944159786WikidataQ127896207 ScholiaQ127896207MaRDI QIDQ2323366

Eric Ghysels, Andrii Babii, Xi Chen

Publication date: 2 September 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2019.04.020

Mathematics Subject Classification ID

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

Related Items

Maximum likelihood estimation for score-driven models

Cites Work

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