3 datasets found

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....

Applications of duration analysis in economics and finance exclusively employ methods for events of stochastic duration. In application to credit data, previous research...

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...