Modelling portfolio defaults using hidden Markov models with covariates
Year of publication: |
2008
|
---|---|
Authors: | Banachewicz, Konrad ; Lucas, André ; Vaart, Aad W. van der |
Published in: |
The econometrics journal. - Oxford : Oxford University Press, ISSN 1368-4221, ZDB-ID 1412265-0. - Vol. 11.2008, 1, p. 155-171
|
Subject: | Theorie | Theory | Portfolio-Management | Portfolio selection | Markov-Kette | Markov chain |
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