A score-test on measurement errors in rating transition times
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Publication:469565
DOI10.1016/j.jeconom.2014.01.004zbMath1298.62184OpenAlexW2034926564MaRDI QIDQ469565
Sebastian Voß, Rafael Weißbach
Publication date: 11 November 2014
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/2003/31827
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Markov processes: hypothesis testing (62M02) Corporate finance (dividends, real options, etc.) (91G50) Applications of continuous-time Markov processes on discrete state spaces (60J28)
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