Credit Risk Measurement Using Score-Driven Clustering with An Application to Bank Customers in Guatemala
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Elsevier BV
Reference52 articles.
1. Generalized Autoregressive Score Models in R: The GAS Package;D Ardia;Journal of Statistical Software,2019
2. Anticipating Extreme Losses Using Score-Driven Shape Filters;A Ayala;Studies in Nonlinear Dynamics & Econometrics,2023
3. Spatial Dependence in Credit Risk and Its Improvement in Credit Scoring;G Barreto Fernandes;European Journal of Operational Research,2016
4. Switching Generalized Autoregressive Score Copula Models with Application to Systemic Risk;M Bernardi;Journal of Applied Econometrics,2019
5. Maximum Likelihood Estimation for Score-Driven Models;F Blasques;Journal of Econometrics,2022
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