Bayesian analysis of duration models : an application to Chapter 11 bankruptcy *
نویسنده
چکیده
We develop a Bayesian approach to estimating duration models and apply it to the default data of high yield bonds. The instantaneous probability of a firm completing Chapter 11 increases up to the twenty-first month in Chapter 11 then declines towards zero. 1999 Elsevier Science S.A. All rights reserved.
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تاریخ انتشار 1999