Modelling portfolio defaults using hidden markov models with covariates

Econometrics Journal

Volumn 11, Issue 1, 2008, Pages 155-171

  Banachewicz, Konrad ^a   Lucas, André ^a   Van Der Vaart, Aad ^a  

^a VU UNIVERSITY AMSTERDAM   (Netherlands)

Author keywords

Covariates; Default regimes; Defaults; EM algorithm; Markov switching

Indexed keywords

EID: 40149111400     PISSN: 13684221     EISSN: 1368423X     Source Type: Journal    
DOI: 10.1111/j.1368-423X.2008.00232.x     Document Type: Article

References (13)