{"title":"适用于信贷风险的计数时间序列多变量分数驱动模型","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":"{\"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}","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}
Multivariate score-driven models for count time series with application to credit risk
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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