Identifying Threshold Effects in Credit Risk Stress Testing

A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

James D. Hamilton · Econometrica · 1989 · 9.7K citations

Social Sciences, Business Economics, Economics +17

Testing for two-regime threshold cointegration in vector error-correction models

Bruce E. Hansen, Byeongseon Seo · Journal of Econometrics · 2002 · 849 citations

Social Sciences, Economics, Econometrics +4

Threshold Autoregression with a Unit Root

Mehmet Caner, Bruce E. Hansen · Econometrica · 2001 · 716 citations

Social Sciences, Economics, Econometrics +13

Portfolio Credit Risk

Thomas C. Wilson · Federal Reserve Bank of New York Economic policy review · 1998 · 358 citations

Management, Finance, Risk Management +14

Stress Testing of Financial Systems: An Overview of Issues, Methodologies, and Fsap Experiences

Winfrid Blaschke, Matthew T. Jones, Giovanni Majnoni et al. · SSRN Electronic Journal · 2001 · 174 citations · Full text

Business, Finance, Risk Management +16