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

Research output: Contribution to journal › Journal article › Research › peer-review

Standard

Modeling corporate defaults : Poisson autoregressions with exogenous covariates (PARX). / Agosto, Arianna; Cavaliere, Giuseppe; Kristensen, Dennis; Rahbek, Anders.

In: Journal of Empirical Finance, Vol. 38, No. Part B, 09.2016, p. 640–663.

Research output: Contribution to journal › Journal article › Research › peer-review

Harvard

Agosto, A, Cavaliere, G, Kristensen, D & Rahbek, A 2016, 'Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)', Journal of Empirical Finance, vol. 38, no. Part B, pp. 640–663. https://doi.org/10.1016/j.jempfin.2016.02.007

APA

Agosto, A., Cavaliere, G., Kristensen, D., & Rahbek, A. (2016). Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX). Journal of Empirical Finance, 38(Part B), 640–663. https://doi.org/10.1016/j.jempfin.2016.02.007

Vancouver

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

Author

Agosto, Arianna ; Cavaliere, Giuseppe ; Kristensen, Dennis ; Rahbek, Anders. / Modeling corporate defaults : Poisson autoregressions with exogenous covariates (PARX). In: Journal of Empirical Finance. 2016 ; Vol. 38, No. Part B. pp. 640–663.

Bibtex

@article{496a1c725e1d4fbaa376bac1819ba39c,
title = "Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)",
author = "Arianna Agosto and Giuseppe Cavaliere and Dennis Kristensen and Anders Rahbek",
note = "JEL classification: C13; C22; C25; G33",
year = "2016",
month = sep,
doi = "10.1016/j.jempfin.2016.02.007",
language = "English",
volume = "38",
pages = "640–663",
journal = "Journal of Empirical Finance",
issn = "0927-5398",
publisher = "Elsevier",
number = "Part B",

}

RIS

TY - JOUR

T1 - Modeling corporate defaults

T2 - Poisson autoregressions with exogenous covariates (PARX)

AU - Agosto, Arianna

AU - Cavaliere, Giuseppe

AU - Kristensen, Dennis

AU - Rahbek, Anders

N1 - JEL classification: C13; C22; C25; G33

PY - 2016/9

Y1 - 2016/9

U2 - 10.1016/j.jempfin.2016.02.007

DO - 10.1016/j.jempfin.2016.02.007

M3 - Journal article

VL - 38

SP - 640

EP - 663

JO - Journal of Empirical Finance

JF - Journal of Empirical Finance

SN - 0927-5398

IS - Part B

ER -

ID: 156466386