Lando, David; Nielsen, Mads Stenbo - In: Journal of Financial Intermediation 19 (2010) 3, pp. 355-372
We revisit a method used by Das et al. (2007) (DDKS) who jointly test and reject a specification of firm default intensities and the doubly stochastic assumption in intensity models of default. The method relies on a time change result for counting processes. With an almost identical set of...