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

Arianna Agosto, Giuseppe Cavaliere, Dennis Kristensen, Anders Rahbek

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

69 Citations (Scopus)

Original language	English
Journal	Journal of Empirical Finance
Volume	38
Issue number	Part B
Pages (from-to)	640–663
ISSN	0927-5398
DOIs	https://doi.org/10.1016/j.jempfin.2016.02.007
Publication status	Published - Sept 2016

JEL classification: C13; C22; C25; G33

Access to Document

@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",

}

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

SN - 0927-5398

VL - 38

SP - 640

EP - 663

JO - Journal of Empirical Finance

JF - Journal of Empirical Finance

IS - Part B

ER -