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

Siem Jan Koopman, Andre Lucas and Andre Monteiro

Journal of Econometrics, 2008, vol. 142, issue 1, 399-424

Date: 2008
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Citations: View citations in EconPapers (74)

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Working Paper: The Multi-State Latent Factor Intensity Model for Credit Rating Transitions (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:142:y:2008:i:1:p:399-424

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