Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk
Year of publication: |
2006-03-08
|
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Authors: | Monteiro, Andre ; Smirnov, Georgi V. ; Lucas, Andre |
Institutions: | Tinbergen Instituut |
Subject: | Nonhomogeneous semi-Markov processes | transition matrix | Volterra integral equations | separability | credit risk |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Tinbergen Institute Discussion Papers Number 06-024/2 |
Classification: | C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; C33 - Models with Panel Data ; C41 - Duration Analysis ; G11 - Portfolio Choice |
Source: |
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Nonparametric estimation for non-homogeneous semi-Markov processes : an application to credit risk
Monteiro, André Antonio, (2006)
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Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk
Monteiro, Andre, (2006)
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Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk
Monteiro, Andre, (2006)
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Credit Cycles and Macro Fundamentals
Koopman, Siem Jan, (2006)
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Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk
Monteiro, Andre, (2006)
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Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk
Monteiro, Andre, (2006)
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