Modeling rating transitions with instantaneous default
type: Item
instance of: scholarly article
title: Modeling rating transitions with instantaneous default
zbMATH Open document ID: 1398.91647
author: Rafael Weißbach
author: Fynn Strohecker
published in: Economics Letters
publication date: 2018-09-05T00:00:00Z
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 60J27
Mathematics Subject Classification ID: 60G44
Mathematics Subject Classification ID: 60F99
zbMATH DE Number: 6931997
zbMATH Keywords: rating
zbMATH Keywords: Markov process
zbMATH Keywords: maximum-likelihood
zbMATH Keywords: asymptotic normality
MaRDI profile type: Publication
full work available at URL: j.econlet.2016.05.013
OpenAlex ID: W2400783983
cites work: Maximum-Likelihood Estimation of Parameters Subject to Restraints
cites work: Q3292891
cites work: Bayesian analysis of multistate event history data: beta-Dirichlet process prior
cites work: Central limit theorems for local martingales
cites work: A likelihood ratio test for stationarity of rating transitions
DOI: 10.1016/J.ECONLET.2016.05.013
description: scientific article; zbMATH DE number 6931997