Model-Based Measurement of Latent Risk in Time Series with Applications

Author:

Bijleveld Frits,Commandeur Jacques,Gould Phillip,Koopman Siem Jan

Publisher

Elsevier BV

Reference20 articles.

1. ). (i) Annual traffic volumes (billion kilometres) of bicycles; (ii) Annual traffic volumes (billion kilometres) of mopeds; (iii) Annual counts of accidents (persons killed or hospitalized) between mopeds and bicycles. Note the increased accuracy o traffic volumes from 1994 onwards;Moped-bicycle accidents in the Netherlands,1985

2. A Survey of Cyclical Effects in Credit Risk Measurement Models

3. Basel II: International convergence of capital measurement and capital standards: A revised framework;Bank of International Settlements,2004

4. Monitoring mortality: A state-space approach;P De Jong;Journal of Econometrics,1983

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