An empirical transition matrix for non-homogeneous Markov chains based on censored observations, Scandinavian Journal of Statistics, vol.5, pp.141-50, 1978. ,
Modeling and Forecasting Realized Volatility, Modelling and forecasting volatility, pp.579-625, 2003. ,
DOI : 10.1111/1468-0262.00418
Statistical models based on counting processes, 1993. ,
DOI : 10.1007/978-1-4612-4348-9
Ratings migration and the business cycle, with application to credit portfolio stress testing, Journal of Banking & Finance, vol.26, issue.2-3, pp.445-474, 2002. ,
DOI : 10.1016/S0378-4266(01)00229-1
Dynamic Latent Factor Models for Intensity Processes, SSRN Electronic Journal, 2003. ,
DOI : 10.2139/ssrn.691886
Capital charges under Basel II: Corporate credit risk modeling and the macro economy, 2002. ,
Time-to-default: Life cycle, global and industry cycle impacts, 2004. ,
Renewal theory, 1962. ,
Object-oriented matrix programming using Ox, 2002. ,
Multi-period corporate default prediction with stochastic covariates, Journal of Financial Economics, 2006. ,
Monte Carlo maximum likelihood estimation for non-Gaussian state space models, Biometrika, vol.84, issue.3, pp.669-684, 1997. ,
DOI : 10.1093/biomet/84.3.669
Time series analysis by state space methods, 2001. ,
DOI : 10.1093/acprof:oso/9780199641178.001.0001
A simple and efficient simulation smoother for state space time series analysis, Biometrika, vol.89, issue.3, pp.603-616, 2002. ,
DOI : 10.1093/biomet/89.3.603
Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data, Econometrica, vol.66, issue.5, pp.1127-1162, 1998. ,
DOI : 10.2307/2999632
Non-Parametric Analysis of Rating Transition and Default Data, Journal of Investment Management, vol.11, issue.1-2, 2004. ,
DOI : 10.1002/9781119201892.ch4
Stochastic Migration Models with Application to Corporate Risk, Journal of Financial Econometrics, vol.3, issue.2, 2004. ,
DOI : 10.1093/jjfinec/nbi013
Migration correlation: Definition and efficient estimation, Journal of Banking & Finance, vol.29, issue.4, pp.865-894, 2005. ,
DOI : 10.1016/j.jbankfin.2004.08.006
A GSMP formalism for discrete event systems, Proceedings of the IEEE, vol.77, issue.1, pp.14-23, 1988. ,
DOI : 10.1109/5.21067
Forecasting, structural time series models and the Kalman filter, 1989. ,
Spectra of some self-exciting and mutually exciting point processes, Biometrika, vol.58, issue.1, pp.83-90, 1971. ,
DOI : 10.1093/biomet/58.1.83
Measurement, estimation and comparison of credit migration matrices, Journal of Banking & Finance, vol.28, issue.11, pp.2603-2639, 2004. ,
DOI : 10.1016/j.jbankfin.2004.06.004
The simulation smoother for time series models, Biometrika, vol.82, issue.2, pp.339-350, 1995. ,
DOI : 10.1093/biomet/82.2.339
Estimating Credit Rating Transition Probabilities for Corporate Bonds, SSRN Electronic Journal, 2001. ,
DOI : 10.2139/ssrn.252517
Business and default cycles for credit risk, Journal of Applied Econometrics, vol.4, issue.2, pp.311-323, 2005. ,
DOI : 10.1002/jae.833
A non-Gaussian panel time series model for estimating and decomposing default risk. Tinbergen Institute Discussion paper, 2005. ,
Empirical credit cycles and capital buffer formation, Journal of Banking & Finance, vol.29, issue.12, pp.3159-3179, 2005. ,
DOI : 10.1016/j.jbankfin.2005.01.003
Credit Cycles and Macro Fundamentals, Tinbergen Institute Discussion paper, 2006. ,
Statistical algorithms for models in state space form using SsfPack 2.2, Econometrics Journal, pp.113-166, 1999. ,
The econometric analysis of transition data, 1990. ,
DOI : 10.1017/CCOL0521265967
Analyzing rating transitions and rating drift with continuous observations, Journal of Banking & Finance, vol.26, issue.2-3, pp.423-444, 2002. ,
DOI : 10.1016/S0378-4266(01)00228-X
Univariate and multivariate stochastic volatility models: estimation and diagnostics, Journal of Empirical Finance, vol.10, issue.4, pp.505-531, 2003. ,
DOI : 10.1016/S0927-5398(02)00072-5
Bayesian inference for generalized linear mixed models of portfolio credit risk, Journal of Empirical Finance, vol.14, issue.2, 2006. ,
DOI : 10.1016/j.jempfin.2006.05.002
Nonparametric Estimation for Non- Homogeneous Semi-Markov Processes: An Application to Credit Risk, 2006. ,
Stability of rating transitions, Journal of Banking & Finance, vol.24, issue.1-2, pp.203-227, 2000. ,
DOI : 10.1016/S0378-4266(99)00057-6
Econometric Modelling of Multivariate Irregularly spaced Highfrequency data, 1999. ,
Likelihood analysis of non-Gaussian measurement time series, Biometrika, vol.84, issue.3, pp.653-667, 1997. ,
DOI : 10.1093/biomet/84.3.653
A nonidentifiability aspect of the problem of competing risks., Proceedings of the Nacional Academy of Sciences of the United States of America, pp.20-22, 1975. ,
DOI : 10.1073/pnas.72.1.20
90) -5.50 (1.05) -8.20 (0.69) ? A?AAA -7.06 -6.27 (1.65) -7.03 (0.50) -5.93 (0.82) -7.22 (0.59) ? A?AA -3.96 -3.99 (0.63) -3.93 (0.10) -3.96 (0.56) -3.96 (0.08) ? A?BBB -3.38 -3.49 (0.78) -3.41 (0.25) -3.49 (0.72) -3.40 (0.14) ? A?BB -6, Duration Models: Specification, identification, and multiple durations Handbook of Econometrics, 2001. ,