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Additive Intensity Regression Models in Corporate Default Analysis

Lando, David; Medhat, Mamdouh; Nielsen, Mads Stenbo; … - In: Journal of Financial Econometrics 11 (2013) 3, pp. 443-485

We consider additive intensity (Aalen) models as an alternative to the multiplicative intensity (Cox) models for analyzing the default risk of a sample of rated, nonfinancial U.S. firms. The setting allows for estimating and testing the significance of time-varying effects. We use a variety of...

Persistent link: https://www.econbiz.de/10010970338

An elementary introduction to mathematical finance

Nielsen, Søren Feodor - In: Journal of Applied Statistics 39 (2012) 8, pp. 1847-1848

Persistent link: https://www.econbiz.de/10010976040

Introduction to general and generalized linear models

Nielsen, Søren Feodor - In: Journal of Applied Statistics 39 (2012) 4, pp. 923-924

Persistent link: https://www.econbiz.de/10010976082

An introduction to analysis of financial data with R

Nielsen, Søren Feodor - In: Journal of Applied Statistics 41 (2014) 12, pp. 2777-2778

Persistent link: https://www.econbiz.de/10010953653

SAS for data analysis

Nielsen, Søren Feodor - In: Journal of Applied Statistics 38 (2011) 8, pp. 1743-1744

Persistent link: https://www.econbiz.de/10009225372

Introductory time series with R

Nielsen, Søren Feodor - In: Journal of Applied Statistics 38 (2011) 10, pp. 2370-2371

Persistent link: https://www.econbiz.de/10009279017

Generalized linear models for insurance data

Nielsen, Søren Feodor - In: Journal of Applied Statistics 37 (2010) 4, pp. 703-703

Persistent link: https://www.econbiz.de/10008503015