Similar Search Results - EconBiz

Multi-Period Corporate Default Prediction With Stochastic Covariates

Duffie, Darrel; Saita, Leandro; Wang, Ke - Center for Advanced Research in Finance, Faculty of … - 2005

We provide maximum likelihood estimators of term structures of conditional probabilities of corporate default, incorporating the dynamics of firm-specific and macroeconomic covariates. For U.S. Industrial firms, based on over 390,000 firm-months of data spanning 1979 to 2004, the level and shape...

Persistent link: https://www.econbiz.de/10008519581

Multi-period corporate default prediction with stochastic covariates

Duffie, Darrell; Saita, Leandro; Wang, Ke - In: Journal of Financial Economics 83 (2007) 3, pp. 635-665

Persistent link: https://www.econbiz.de/10005210517

"Multi-Period Corporate Default Prediction With Stochastic Covariates"

Duffie, Darrel; Saita, Leandro; Wang, Ke - Center for International Research on the Japanese … - 2005

We provide maximum likelihood estimators of term structures of conditional probabilities of corporate default, incorporating the dynamics of firm-specific and m acroeconomic covariates. For U.S. Industrial firms, based on over 390,000 firm-months of data spanning 1979 to 2004, the level and...

Persistent link: https://www.econbiz.de/10005042374

Multi-period corporate default prediction with stochastic covariates

Duffie, Darrell; Wang, Ke; Saita, Leandro - 2006

Persistent link: https://www.econbiz.de/10003281910

Multi-period corporate default prediction with stochastic covariates

Duffie, Darrell; Saita, Leandro; Wang, Ke - In: Journal of financial economics 83 (2007) 3, pp. 635-665

Persistent link: https://www.econbiz.de/10003439375

Multi-period corporate default prediction with stochastic covariates

Duffie, Darrell; Saita, Leandro; Wang, Ke - In: Journal of financial economics 83 (2007) 3, pp. 635-666

Persistent link: https://www.econbiz.de/10007604736

Multi-Period Corporate Default Prediction with Stochastic Covariates

Duffie, Darrell - 2010

We provide maximum likelihood estimators of term structures of conditional probabilities of corporate default, incorporating the dynamics of firm-specific and macroeconomic covariates. For U.S. Industrial firms, based on over 390,000 firm-months of data spanning 1979 to 2004, the level and shape...

Persistent link: https://www.econbiz.de/10012761778

Multi-Period Corporate Default Prediction with Stochastic Covariates

Duffie, Darrell - 2014

We provide maximum likelihood estimators of term structures of conditional probabilities of corporate default, incorporating the dynamics of firm-specific and macroeconomic covariates. For U.S. Industrial firms, based on over 390,000 firm-months of data spanning 1980 to 2004, the level and shape...

Persistent link: https://www.econbiz.de/10012709765

MULTI-PERIOD CORPORATE DEFAULT PREDICTION WITH STOCHASTIC COVARIATES

Duffie, Darrell; Wang, Ke; Saita, Leandro - 2006

Persistent link: https://www.econbiz.de/10006955613

A service of the