Credit Cycles and Macro Fundamentals
Jan Koopman,
Roman Kraussl,
André Lucas,
André Monteiro
Journal Of Empirical Finance,
vol. 16, 2009, p. 42-54.
The Multi-state Latent Factor Intensity Model for Credit Rating Transitions
Jan Koopman,
André Lucas,
André Monteiro
Journal of Econometrics,
vol. 142, 2008, p. 399-424.