Dynamic Time Series Binary Choice

Jong, Robert M. de; Woutersen, Tiemen

doi:10.1017/s0266466610000472

Cited by 80 publications

(31 citation statements)

References 35 publications

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“…This is similar to the rating stickiness documented by Ferri et al (); and it is interesting to see whether this extends to European countries as well. De and Woutersen () show the validity of the Maximum Likelihood approach for a dynamic setting.…”

Section: Methodsmentioning

confidence: 99%

Procyclicality and Path Dependence of Sovereign Credit Ratings: The Example of Europe

Freitag

2015

Economic Notes

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This paper investigates empirically the behavior of Credit Rating Agencies (CRAs) when assessing sovereign solvency for European countries. Using probit regressions, I find that even after controlling for macroeconomic factors, CRAs take the business cycle into account. Also, there is a clear case of path dependence in sovereign ratings. Additionally, it turns out that there seems to be a discrepancy between upgrades and downgrades. These results are robust to a number of different specifications.

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Section: Methodsmentioning

confidence: 99%

Procyclicality and Path Dependence of Sovereign Credit Ratings: The Example of Europe

Freitag

2015

Economic Notes

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“…Furthermore, there exist some ε > 0 and neighborhoods {θ ∈ Θ : |θ − π θ | < ε} and {ν : |ν − ν 0 | ≤ ε}, where h 1/2 n (f n,θ,ν − f n,θ,ν 0 ) satisfies the conditions (16) and (17) in Lemma MS' and…”

Section: Lemmamentioning

confidence: 99%

Local M-estimation with discontinuous criterion for dependent and limited observations

Seo¹,

Otsu²

2018

Ann. Statist.

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Abstract. This paper examines asymptotic properties of local M-estimators under three sets of high-level conditions. These conditions are sufficiently general to cover the minimum volume predictive region, conditional maximum score estimator for a panel data discrete choice model, and many other widely used estimators in statistics and econometrics. Specifically, they allow for discontinuous criterion functions of weakly dependent observations, which may be localized by kernel smoothing and contain nuisance parameters whose dimension may grow to infinity. Furthermore, the localization can occur around parameter values rather than around a fixed point and the observation may take limited values, which leads to set estimators. Our theory produces three different nonparametric cube root rates and enables valid inference for the local M-estimators, building on novel maximal inequalities for weakly dependent data. Our results include the standard cube root asymptotics as a special case. To illustrate the usefulness of our results, we verify our conditions for various examples such as the Hough transform estimator with diminishing bandwidth, maximum score-type set estimator, and many others.

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“…The auto‐regressive models that are discussed here in Section are estimated by maximum likelihood based on the Bernoulli density. Theoretical support for the models has been presented by de Jong and Woutersen ().…”

Section: Auto‐regressive Modelling Of the Exceedance Probabilitymentioning

confidence: 87%

Using Auto-Regressive Logit Models to Forecast the Exceedance Probability for Financial Risk Management

Taylor

2016

Journal of the Royal Statistical Society Series A: Statistics in Society

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Summary We present new auto‐regressive logit models for forecasting the probability of a time series of financial asset returns exceeding a threshold. The models can be estimated by maximizing a Bernoulli likelihood. Alternatively, to account for the extent to which an observation does or does not exceed the threshold, we propose that the likelihood is based on the asymmetric Laplace distribution, which has been found to be useful for quantile estimation. We incorporate the exceedance probability forecasts within a new time varying extreme value approach to value at risk and expected shortfall estimation. We provide an empirical illustration using daily stock index data.

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Dynamic Time Series Binary Choice

Cited by 80 publications

References 35 publications

Procyclicality and Path Dependence of Sovereign Credit Ratings: The Example of Europe

Procyclicality and Path Dependence of Sovereign Credit Ratings: The Example of Europe

Local M-estimation with discontinuous criterion for dependent and limited observations

Using Auto-Regressive Logit Models to Forecast the Exceedance Probability for Financial Risk Management

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