Count time series are widely available in fields such as epidemiology, finance, meteorology,
and sports, and thus there is a growing demand for both methodological and application …

The COVID‐19 pandemic has highlighted the importance of reliable statistical models
which, based on the available data, can provide accurate forecasts and impact analysis of …

For low-and no-default portfolios, financial institutions are confronted with the problem to
estimate default probabilities for credit ratings for which no default was observed. The …

A very common way to estimate the parameters of a hidden Markov model (HMM) is the
relatively straightforward computation of maximum likelihood (ML) estimates. For this task …

Is it possible to analyse time series of default and delinquency rates with a simple model that
includes both cross-sectional and serial dependence? To address this question we propose …