Record link: 
http://hdl.handle.net/20.500.12708/84059
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Title: 
A corporate credit rating model with autoregressive errors
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Citation: 
Hirk, R., Vana, L., & Hornik, K. (2022). A corporate credit rating model with autoregressive errors. Journal of Empirical Finance. https://doi.org/10.1016/j.jempfin.2022.09.002
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Publisher DOI: 
10.1016/j.jempfin.2022.09.002
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Publication Type: 
Article - Original Research Article
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Language: 
English
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Authors: 
Hirk, Rainer 
Vana, Laura 
Hornik, Kurt 
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Organisational Unit: 
E105-06 - Forschungsbereich Computational Statistics 
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Journal: 
Journal of Empirical Finance 
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ISSN: 
0927-5398
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Date (published): 
2022
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Number of Pages: 
38
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Publisher: 
ELSEVIER
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Peer reviewed: 
Yes
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Keywords: 
Composite likelihood; Longitudinal ordinal regression model; Ordinal LASSO; Predictive performance
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Project (external): 
OeNB Jubiläumsfond
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Project ID: 
18482 “Multivariate ordinal regression models for enhanced credit risk modeling”
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Research Areas: 
Mathematical Methods in Economics: 100%
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Science Branch: 
5020 - Wirtschaftswissenschaften: 60%
1010 - Mathematik: 40%
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