{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,6,28]],"date-time":"2025-06-28T06:44:59Z","timestamp":1751093099881,"version":"3.37.3"},"reference-count":38,"publisher":"Informa UK Limited","issue":"7","license":[{"start":{"date-parts":[[2020,4,7]],"date-time":"2020-04-07T00:00:00Z","timestamp":1586217600000},"content-version":"unspecified","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"funder":[{"DOI":"10.13039\/501100001871","name":"Funda\u00e7\u00e3o para a Ci\u00eancia e a Tecnologia","doi-asserted-by":"publisher","award":["UID\/MAT\/00297\/2019"],"award-info":[{"award-number":["UID\/MAT\/00297\/2019"]}],"id":[{"id":"10.13039\/501100001871","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100007947","name":"Universit\u00e4tsbund Erlangen-Nuremberg","doi-asserted-by":"publisher","id":[{"id":"10.13039\/501100007947","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100000266","name":"UK Engineering and Physical Sciences Research Council","doi-asserted-by":"publisher","award":["EP\/L016508\/01"],"award-info":[{"award-number":["EP\/L016508\/01"]}],"id":[{"id":"10.13039\/501100000266","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["www.tandfonline.com"],"crossmark-restriction":true},"short-container-title":["Quantitative Finance"],"published-print":{"date-parts":[[2020,7,2]]},"DOI":"10.1080\/14697688.2020.1726439","type":"journal-article","created":{"date-parts":[[2020,4,7]],"date-time":"2020-04-07T11:01:10Z","timestamp":1586257270000},"page":"1069-1083","update-policy":"https:\/\/doi.org\/10.1080\/tandf_crossmark_01","source":"Crossref","is-referenced-by-count":11,"title":["Capturing model risk and rating momentum in the estimation of probabilities of default and credit rating migrations"],"prefix":"10.1080","volume":"20","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-4993-2672","authenticated-orcid":false,"given":"G.","family":"dos Reis","sequence":"first","affiliation":[{"name":"School of Mathematics, Maxwell Institute for Mathematical Sciences, The University of Edinburgh, James Clerk Maxwell Building, Peter Guthrie Tait Road, Edinburgh EH9 3FD, UK"},{"name":"Centro de Matem\u00e1tica e Aplica\u00e7\u00f5es (CMA), FCT, UNL, Portugal"}]},{"given":"M.","family":"Pfeuffer","sequence":"additional","affiliation":[{"name":"Department of Statistics and Econometrics, University of Erlangen-N\u00fcremberg, Lange Gasse 20, 90403 Nuremberg, Germany"}]},{"given":"G.","family":"Smith","sequence":"additional","affiliation":[{"name":"School of Mathematics, Maxwell Institute for Mathematical Sciences, The University of Edinburgh, James Clerk Maxwell Building, Peter Guthrie Tait Road, Edinburgh EH9 3FD, UK"},{"name":"Moody's Analytics, 7 Exchange Crescent Conference Square, Edinburgh EH3 8RD, UK"}]}],"member":"301","published-online":{"date-parts":[[2020,4,7]]},"reference":[{"key":"CIT0001","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v48.n3.64"},{"key":"CIT0002","first-page":"153","volume":"18","author":"Andersen P.K.","year":"1991","journal-title":"Scand. J. Stat."},{"volume-title":"Statistical Models Based on Counting Processes","year":"2012","author":"Andersen P.K.","key":"CIT0003"},{"key":"CIT0004","doi-asserted-by":"publisher","DOI":"10.1142\/S2382626615500057"},{"key":"CIT0005","doi-asserted-by":"publisher","DOI":"10.1093\/oxfordhb\/9780199546787.013.0010"},{"key":"CIT0006","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9868.2005.00508.x"},{"key":"CIT0007","doi-asserted-by":"publisher","DOI":"10.1080\/14697680802624948"},{"key":"CIT0008","doi-asserted-by":"crossref","unstructured":"Capp\u00e9, O., Moulines, E. and Ryd\u00e9n, T.Inference in Hidden Markov Models, Springer Series in Statistics, 2005 (Springer: New York). With Randal Douc's contributions to Chapter 9 and Christian P. Robert's to Chapters 6, 7 and 13, with Chapter 14 by Gersende Fort, Philippe Soulier and Moulines, and Chapter 15 by St\u00e9phane Boucheron and Elisabeth Gassiat.","DOI":"10.1007\/0-387-28982-8"},{"key":"CIT0009","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(00)00124-2"},{"key":"CIT0010","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2004.06.003"},{"key":"CIT0011","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9780511790485"},{"key":"CIT0012","doi-asserted-by":"publisher","DOI":"10.2139\/ssrn.1963092"},{"volume-title":"Analysis of Survival Data","year":"1984","author":"Cox D.R.","key":"CIT0013"},{"key":"CIT0014","unstructured":"Daley, D.J. and Vere-Jones, D.An Introduction to the Theory of Point Processes. Vol. I, Second edition, Probability and its Applications (New York), 2003 (Springer-Verlag: New York), Elementary theory and methods."},{"key":"CIT0015","doi-asserted-by":"publisher","DOI":"10.1007\/978-0-387-49835-5"},{"key":"CIT0016","doi-asserted-by":"publisher","DOI":"10.1057\/jors.2015.35"},{"key":"CIT0017","doi-asserted-by":"publisher","DOI":"10.1214\/ECP.v18-2717"},{"key":"CIT0018","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2017.1383627"},{"key":"CIT0019","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2007.09.013"},{"key":"CIT0020","doi-asserted-by":"publisher","DOI":"10.1201\/b14835"},{"key":"CIT0021","unstructured":"Inamura, Y., Estimating continuous time transition matrices from discretely observed data. Technical report, Citeseer, 2006."},{"key":"CIT0022","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1985.10478195"},{"key":"CIT0023","doi-asserted-by":"publisher","DOI":"10.1201\/9781584888567"},{"key":"CIT0024","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2007.07.001"},{"key":"CIT0025","volume":"2012","author":"Korolkiewicz M.G.W.","year":"2012","journal-title":"Int. J. Stoch. Anal."},{"key":"CIT0026","first-page":"23","volume":"4","author":"Kreinin A.","year":"2001","journal-title":"Algo Res. Quart."},{"key":"CIT0027","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(01)00228-X"},{"key":"CIT0028","unstructured":"Lehmann, E.L. and Casella, G.Theory of Point Estimation, Second, Springer Texts in Statistics, 1998 (Springer-Verlag: New York)."},{"key":"CIT0029","doi-asserted-by":"publisher","DOI":"10.1016\/j.jebo.2003.09.015"},{"key":"CIT0030","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2006.05.002"},{"volume-title":"Quantitative Risk Management: Concepts, Techniques and Tools","year":"2005","author":"McNeil A.J.","key":"CIT0031"},{"key":"CIT0032","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(99)00057-6"},{"key":"CIT0033","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9868.00188"},{"key":"CIT0034","doi-asserted-by":"publisher","DOI":"10.1109\/TIT.1981.1056305"},{"key":"CIT0035","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1988.10478560"},{"key":"CIT0036","doi-asserted-by":"publisher","DOI":"10.32614\/RJ-2017-038"},{"key":"CIT0037","doi-asserted-by":"publisher","DOI":"10.1109\/TAC.1978.1101743"},{"key":"CIT0038","doi-asserted-by":"publisher","DOI":"10.1063\/1.1705306"}],"container-title":["Quantitative Finance"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.tandfonline.com\/doi\/pdf\/10.1080\/14697688.2020.1726439","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2022,10,20]],"date-time":"2022-10-20T20:32:19Z","timestamp":1666297939000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.tandfonline.com\/doi\/full\/10.1080\/14697688.2020.1726439"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2020,4,7]]},"references-count":38,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2020,7,2]]}},"alternative-id":["10.1080\/14697688.2020.1726439"],"URL":"https:\/\/doi.org\/10.1080\/14697688.2020.1726439","relation":{},"ISSN":["1469-7688","1469-7696"],"issn-type":[{"type":"print","value":"1469-7688"},{"type":"electronic","value":"1469-7696"}],"subject":[],"published":{"date-parts":[[2020,4,7]]},"assertion":[{"value":"The publishing and review policy for this title is described in its Aims & Scope.","order":1,"name":"peerreview_statement","label":"Peer Review Statement"},{"value":"http:\/\/www.tandfonline.com\/action\/journalInformation?show=aimsScope&journalCode=rquf20","URL":"http:\/\/www.tandfonline.com\/action\/journalInformation?show=aimsScope&journalCode=rquf20","order":2,"name":"aims_and_scope_url","label":"Aim & Scope"},{"value":"2019-06-29","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-01-31","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-04-07","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]}}