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The multi-state latent factor intensity model for credit rating transitions

Siem Jan Koopman André Lucas * André Monteiro
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Submitted on : Monday, July 12, 2010 - 4:08:55 PM
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Siem Jan Koopman, André Lucas, André Monteiro. The multi-state latent factor intensity model for credit rating transitions. Econometrics, MDPI, 2007, 142 (1), pp.399. ⟨10.1016/j.jeconom.2007.07.001⟩. ⟨hal-00501799⟩

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