This paper develops estimators for simultaneous equations with spatial auto-regressive or spatial moving average error components. We derive a limited information estimator and a full information estimator. We give the simultaneous generalized method of moments to get each component of the...

In credit risk modelling, method-of-moment approaches are popular to estimate latent asset return correlations within and between rating buckets. However, the autocorrelation that is often present in time series of default rates leads to systematically too low estimations. We propose a new...