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适用于信贷风险的计数时间序列多变量分数驱动模型

IF 2.7 4区 管理学 Q2 MANAGEMENT
Journal of the Operational Research Society Pub Date : 2024-09-05 DOI:10.1080/01605682.2024.2398109
Arianna Agosto
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引用次数: 0

摘要

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