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Firm heterogeneity and credit risk diversification

Hanson, Samuel G. (contributor); … - 2005

This paper considers a simple model of credit risk and derives the limit distribution of losses under different assumptions regarding the structure of systematic and idiosyncratic risks and the nature of firm heterogeneity. The theoretical results obtained indicate that if firm-specific risk...

Persistent link: https://www.econbiz.de/10003120648

Firm heterogeneity and credit risk diversification

Hanson, Samuel G.; Pesaran, M. Hashem; Schuermann, Til - In: Journal of empirical finance 15 (2008) 4, pp. 583-612

Persistent link: https://www.econbiz.de/10003759687

Estimation and Inference for Spatial Models with Heterogeneous Coefficients : An Application to U.S. House Prices

Aquaro, Michele - 2019

This paper considers the problem of identification, estimation and inference in the case of spatial panel data models … errors. A quasi maximum likelihood (QML) estimation procedure is developed and the conditions for identification of spatial …

Persistent link: https://www.econbiz.de/10012890630

Estimation and Inference for Spatial Models with Heterogeneous Coefficients : An Application to U.S. House Prices

Aquaro, Michele - 2020

This paper considers the estimation and inference of spatial panel data models with heterogeneous spatial lag …) estimation procedure is developed and the conditions for identification of the spatial coefficients are derived. The QML …

Persistent link: https://www.econbiz.de/10012849871