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We develop a new parameter stability test against the alternative of observation driven generalized autoregressive score dynamics. The new test generalizes the ARCH-LM test of Engle (1982) to settings beyond time-varying volatility and exploits any autocorrelation in the likelihood scores under...
Persistent link: https://www.econbiz.de/10011255854
the general economic conditions and default climate. We have to cope with (i) the shared exposure of each age cohort and …
Persistent link: https://www.econbiz.de/10011256141
decomposed into a systematic and firm-specific risk component, where the systematic component reflects the general economic …
Persistent link: https://www.econbiz.de/10005137260