Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

Standard

Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX). / Agosto, Arianna; Cavaliere, Guiseppe; Kristensen, Dennis et al.

In: Journal of Empirical Finance, Vol. 38, Part B, No. September, 2016, p. 640-663.

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

Vancouver

Agosto A, Cavaliere G, Kristensen D , Rahbæk A. Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX). Journal of Empirical Finance. 2016;38, Part B(September):640-663. Epub 2016. doi: 10.1016/j.jempfin.2016.02.007

Author

Agosto, Arianna ; Cavaliere, Guiseppe ; Kristensen, Dennis et al. / Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX). In: Journal of Empirical Finance. 2016 ; Vol. 38, Part B, No. September. pp. 640-663.

Bibtex

@article{d9e4d6f8dcb34486bbf83cb6779c8f5c,

title = "Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)",

author = "Arianna Agosto and Guiseppe Cavaliere and Dennis Kristensen and Anders Rahb{\ae}k",

year = "2016",

doi = "10.1016/j.jempfin.2016.02.007",

language = "English",

volume = "38, Part B",

pages = "640--663",

journal = "Journal of Empirical Finance",

issn = "0927-5398",

publisher = "Elsevier BV",

number = "September",

}

RIS

TY - JOUR

T1 - Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)

AU - Agosto, Arianna

AU - Cavaliere, Guiseppe

AU - Kristensen, Dennis

AU - Rahbæk, Anders

PY - 2016

Y1 - 2016

U2 - 10.1016/j.jempfin.2016.02.007

DO - 10.1016/j.jempfin.2016.02.007

M3 - Journal article

VL - 38, Part B

SP - 640

EP - 663

JO - Journal of Empirical Finance

JF - Journal of Empirical Finance

SN - 0927-5398

IS - September

ER -

Department of Economics and Business Economics