Rate of Occurrence of Failures (ROCOF) of Higher-Order for Markov Processes: Analysis, Inference and Application to Financial Credit Ratings
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DOI: 10.1007/s11009-015-9437-8
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- Weißbach, Rafael & Mollenhauer, Thomas, 2011. "Modelling Rating Transitions," VfS Annual Conference 2011 (Frankfurt, Main): The Order of the World Economy - Lessons from the Crisis 48698, Verein für Socialpolitik / German Economic Association.
- Valérie Girardin & André Sesboüé, 2009. "Comparative Construction of Plug-in Estimators of the Entropy Rate of Two-state Markov Chains," Methodology and Computing in Applied Probability, Springer, vol. 11(2), pages 181-200, June.
- Ouhbi, Brahim & Limnios, Nikolaos, 2002. "The rate of occurrence of failures for semi-Markov processes and estimation," Statistics & Probability Letters, Elsevier, vol. 59(3), pages 245-255, October.
- Amparo Baíllo & José Luis Fernández, 2007. "A simple Markov chain structure for the evolution of credit ratings," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 23(6), pages 483-492, November.
- Christensen, Jens H.E. & Hansen, Ernst & Lando, David, 2004. "Confidence sets for continuous-time rating transition probabilities," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2575-2602, November.
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Keywords
Rocof estimation; Plug-in estimator; Credit ratings;All these keywords.
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