Weissbach, Rafael; Walter, Ronja - 2008
results
were similar.
Ultimately, we are interested in testing the null of stationarity (2), at the
signi cance level = 0 …. Schlagen, and T. Schuermann.
Rating migration and the business cycle, with application to credit port-
folio stress testing … simulation estimator for testing the time
homogeneity of credit rating transitions. Journal of Empirical Finance,
14 …