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Mizen et al., 2012 - Google Patents

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

Mizen et al., 2012

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Document ID
12788499885424768291
Author
Mizen P
Tsoukas S
Publication year
Publication venue
International Journal of Forecasting

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Snippet

In this paper we investigate the ability of a number of different ordered probit models to predict ratings based on firm-specific data on business and financial risks. We investigate models which are based on momentum, drift and ageing, and compare them with …
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