A hidden Markov model of credit quality

Journal of Economic Dynamics and Control

Volumn 32, Issue 12, 2008, Pages 3807-3819

  Korolkiewicz, Małgorzata W ^a   Elliott, Robert J ^b  

^a UNIVERSITY OF SOUTH AUSTRALIA   (Australia)

^b UNIVERSITY OF CALGARY   (Canada)

Author keywords

Credit quality; EM algorithm; Filtering; Hidden Markov models

Indexed keywords

EID: 53949087174     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jedc.2008.03.006     Document Type: Article

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