Time series properties of corporate credit rating transitions by regions and rating agencies
Author:
Affiliation:
1. Department of Business Administration, Jeonbuk National University, Jeonju, Republic of Korea
2. National Pension Service Investment Management, Jeonju, Republic of Korea
Publisher
Informa UK Limited
Link
https://www.tandfonline.com/doi/pdf/10.1080/13504851.2024.2368263
Reference12 articles.
1. The Implications of Corporate Bond Ratings Drift
2. Ratings migration and the business cycle, with application to credit portfolio stress testing
3. Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
4. The Effect of Bond Rating Agency Announcements on Bond and Stock Prices
5. Panel Data and Unobservable Individual Effects
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