{"title":"Multivariate score-driven models for count time series with application to credit risk","authors":"Arianna Agosto","doi":"10.1080/01605682.2024.2398109","DOIUrl":null,"url":null,"abstract":"This paper develops a new multivariate model for count time series, in which the time-varying intensity parameter determining the probability that an event occurs evolves according to a general aut...","PeriodicalId":17308,"journal":{"name":"Journal of the Operational Research Society","volume":"57 1","pages":""},"PeriodicalIF":2.7000,"publicationDate":"2024-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of the Operational Research Society","FirstCategoryId":"91","ListUrlMain":"https://doi.org/10.1080/01605682.2024.2398109","RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"MANAGEMENT","Score":null,"Total":0}
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Abstract
This paper develops a new multivariate model for count time series, in which the time-varying intensity parameter determining the probability that an event occurs evolves according to a general aut...
期刊介绍：
JORS is an official journal of the Operational Research Society and publishes original research papers which cover the theory, practice, history or methodology of OR.
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