Duan, Jin-Chuan; Sun, Jie; Wang, Tao - In: Journal of Econometrics 170 (2012) 1, pp. 191-209
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 the US industrial and financial firms spanning the period 1991–2011 on a monthly basis. Several commonly used...