This new edition updates Durbin & Koopman's important text on the state space approach to
time series analysis. The distinguishing feature of state space time series models is that …

We propose a class of observation‐driven time series models referred to as generalized
autoregressive score (GAS) models. The mechanism to update the parameters over time is …

The probability of extreme default losses on portfolios of US corporate debt is much greater
than would be estimated under the standard assumption that default correlation arises only …

A forward intensity model for the prediction of corporate defaults over different future periods
is proposed. Maximum pseudo-likelihood analysis is then conducted on a large sample of …

We explore how general economic conditions impact defaults and major credit rating
changes by fitting reduced-form Cox intensity models with a broad range of macroeconomic …

We study the sources of corporate default clustering in the United States. We reject the
hypothesis that firms' default times are correlated only because their conditional default rates …

We survey the modelling of financial markets transaction data characterized by irregular
spacing in time, in particular so-called financial durations. We begin by reviewing the …

We report on the current state and important older findings of empirical studies on corporate
credit ratings and their relationship to ratings of other entities. Specifically, we consider the …

Purpose This paper aims to provide an overview, a classification of existing research groups
for correlated default models using a reduced-form method and an identification of future …

This paper develops dynamic measures of the systemic risk of the financial sector as a
whole. It defines systemic risk as the conditional probability of failure of a sufficiently large …