Multistate Intensity Model with AR-GARCH Random Effect for Corporate Credit Rating Transition Analysis
This thesis presents a stochastic process and time series study on corporate credit rating and market implied rating transitions. By extending an existing model, this paper incorporates the generalized autoregressive conditional heteroscedastic (GARCH) random effects to capture volatility changes in...
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| Format: | Others |
| Language: | English English |
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Florida State University
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| Online Access: | http://purl.flvc.org/fsu/fd/FSU_migr_etd-1426 |