Modelling clusters of corporate defaults: regime-switching models significantly reduce the contagion source

DOI10.1111/rssc.12551MaRDI QIDQ6643950

Bård Støve, Antonello Maruotti, Geir Drage Berentsen, Jan Bulla

Publication date: 27 November 2024

Published in: Journal of the Royal Statistical Society. Series C. Applied Statistics (Search for Journal in Brave)

zbMATH Keywords

integer valued time seriesPoisson autoregressionextended Hamilton-Gray algorithmRS-INGARCHX

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

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