• Corpus ID: 56381855

Modelling corporate defaults: A Markov-switching Poisson log-linear autoregressive model

  title={Modelling corporate defaults: A Markov-switching Poisson log-linear autoregressive model},
  author={Geir Drage Berentsen and Jan Bulla and Antonello Maruotti and Baard Stove},
  journal={arXiv: Methodology},
This article extends the autoregressive count time series model class by allowing for a model with regimes, that is, some of the parameters in the model depend on the state of an unobserved Markov chain. We develop a quasi-maximum likelihood estimator by adapting the extended Hamilton-Grey algorithm for the Poisson log-linear autoregressive model, and we perform a simulation study to check the finite sample behaviour of the estimator. The motivation for the model comes from the study of… 
Stationarity and ergodicity of Markov switching positive conditional mean models
A general Markov‐Switching autoregressive conditional mean model, valued in the set of non‐negative numbers, is considered. The conditional distribution of this model is a finite mixture of
Mixtures of Nonlinear Poisson Autoregressions
We study nonlinear infinite order Markov switching integer‐valued ARCH models for count time series data. Markov switching models take into account complex dynamics and can deal with several
Flexible bivariate Poisson integer-valued GARCH model
Integer-valued time series models have been widely used, especially integer-valued autoregressive models and integer-valued generalized autoregressive conditional heteroscedastic (INGARCH) models.
Poisson Models for Mixtures of Count Time Series
We study nonlinear mixtures of integer-valued ARCH type models for count time series data. We investigate the theoretical properties of these processes and we prove ergodicity and stationarity, under
The Jensen effect and functional single index models: Estimating the ecological implications of nonlinear reaction norms
This paper develops tools to characterize how species are affected by environmental variability, based on a functional single index model relating a response such as growth rate or survival to


Log-linear Poisson autoregression
Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008
We develop a high-dimensional and partly nonlinear non-Gaussian dynamic factor model for the decomposition of systematic default risk conditions into a set of latent components that correspond with
Modeling the Conditional Distribution of Interest Rates as a Regime-Switching Process
Common Failings: How Corporate Defaults are Correlated
We develop, and apply to data on U.S. corporations from 1979-2004, tests of the standard doubly-stochastic assumption under which firms'default times are correlated only as implied by the correlation
Parameter Change Test for Poisson Autoregressive Models
In this paper, we consider the problem of testing for a parameter change in Poisson autoregressive models. We suggest two types of cumulative sum (CUSUM) tests, namely, those based on estimates and
We study inference and diagnostics for count time series regression models that include a feedback mechanism. In particular, we are interested in negative binomial processes for count time series. We
A Markov regime‐switching ARMA approach for hedging stock indices
This study considers the hedging effectiveness of applying the N‐state Markov regime‐switching autoregressive moving‐average (MRS‐ARMA) model to the S&P‐500 and FTSE‐100 markets. The
Corporate Bond Default Risk: A 150-Year Perspective