Bankruptcy prediction using a discrete-time duration model incorporating temporal and macroeconomic dependencies

Journal of Forecasting

Volumn 27, Issue 6, 2008, Pages 493-506

  Nam, Chae Woo ^a   Kim, Tong Suk ^b   Park, Nam Jung ^c   Lee, Hoe Kyung ^b  

^a National Pension Research Institute   (South Korea)

^b Korea Advanced Institute of Science and Technology (KAIST)   (South Korea)

^c STANFORD UNIVERSITY   (United States)

Author keywords

Bankruptcy prediction; Default correlation; Discrete time hazard model; Duration dependent hazard rate; Time varying covariate

Indexed keywords

HAZARDS;

BANKRUPTCY PREDICTION; COVARIATES; DEFAULT CORRELATIONS; DISCRETE TIME; DISCRETE-TIME HAZARD MODEL; DURATION-DEPENDENT HAZARD RATE; HAZARD MODELING; HAZARD RATES; TIME VARYING; TIME-VARYING COVARIATE;

FORECASTING;

EID: 52649087846     PISSN: 02776693     EISSN: 1099131X     Source Type: Journal    
DOI: 10.1002/for.985     Document Type: Article

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