Credit rating transition matrices form a little noticed yet vital part of many financial models. Based on historical data, transition matrices measure how quickly ratings can be expected to move from ...
Journal of Applied Probability, Vol. 41, Stochastic Methods and Their Applications (2004), pp. 347-360 (14 pages) This paper investigates the probabilistic behaviour of the eigenvalue of the empirical ...
This paper investigates measurement error biases in estimated poverty transition matrices. We compare transition matrices based on survey expenditure data to ...
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