Multivariate score-driven models for count time series with application to credit risk

IF 2.7 4区 管理学 Q2 MANAGEMENT
Arianna Agosto
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引用次数: 0

Abstract

This paper develops a new multivariate model for count time series, in which the time-varying intensity parameter determining the probability that an event occurs evolves according to a general aut...
适用于信贷风险的计数时间序列多变量分数驱动模型
本文为计数时间序列建立了一个新的多变量模型,在该模型中,决定事件发生概率的时变强度参数根据一般自变量模型进行演变。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
Journal of the Operational Research Society
Journal of the Operational Research Society 管理科学-运筹学与管理科学
CiteScore
6.80
自引率
13.90%
发文量
144
审稿时长
7.3 months
期刊介绍: JORS is an official journal of the Operational Research Society and publishes original research papers which cover the theory, practice, history or methodology of OR.
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