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Forecasting US bond default ratings allowing for previous and initial state dependence in an ordered probit model

  • Published:2012-01 Issue:1 Volume:28 Page:273-287
  • ISSN:0169-2070
  • Container-title:International Journal of Forecasting
  • language:en
  • Short-container-title:International Journal of Forecasting

Author:

Mizen Paul,Tsoukas Serafeim

Funder

Economic and Social Research Council

Publisher

Elsevier BV

Subject

Business and International Management

Reference44 articles.

1. Financial ratios, discriminant analysis and the prediction of corporate bankruptcy;Altman;Journal of Finance,1968

2. Are credit ratings procyclical?;Amato;Journal of Banking and Finance,2004

3. An introduction to multivariate statistical analysis;Anderson,1984

4. Ratings migration and the business cycle, with applications to credit portfolio stress testing;Bangia;Journal of Banking and Finance,2002

5. Behar, R., & Nagpal, K. (1999). Dynamics of rating transition. Working paper. Standard and Poor’s.

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