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Flexible Estimation of Copulas: An Application to the US Housing Crisis (repl...
Zimmer (?The role of copulas in the housing crisis?, Review of Economics and Statistics 2012; 94: 607-620) provides an interesting case study of the pitfalls of using parametric... -
MULTIPLE EVENT INCIDENCE AND DURATION ANALYSIS FOR CREDIT DATA INCORPORATING ...
Applications of duration analysis in economics and finance exclusively employ methods for events of stochastic duration. In application to credit data, previous research... -
Business and default cycles for credit risk (replication data)
Various economic theories are available to explain the existence of credit and default cycles. There remains empirical ambiguity, however, as to whether these cycles coincide....
