Rating transitions forecasting : a filtering approach
Year of publication: |
2023
|
---|---|
Authors: | Cousin, Areski ; Lelong, Jérǒme ; Picard, Tom |
Published in: |
International journal of theoretical and applied finance : IJTAF. - Singapore : World Scientific, ZDB-ID 2027376-9. - Vol. 26.2023, 2/3, Art.-No. 2350009, p. 1-53
|
Subject: | economic cycle | EM algorithms | filtering | Markov chain | Rating transitions | Markov-Kette | Konjunktur | Business cycle | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Theorie | Theory | Zustandsraummodell | State space model | Systemtransformation | Economic transition |
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