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~person:"Lucas, Andre"
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Nonhomogeneous semi-Markov processes
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credit risk
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Lucas, Andre
Chiarella, Carl
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Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, Andre
-
Tinbergen Instituut
-
2012
integral
is used to ensure the non-degeneracy of such regions. Furthermore, we show how to obtain bounds for these regions in …
Persistent link: https://www.econbiz.de/10011256295
Saved in:
2
Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, Andre
-
2012
integral
is used to ensure the non-degeneracy of such regions. Furthermore, we show how to obtain bounds for these regions in …
Persistent link: https://www.econbiz.de/10010326396
Saved in:
3
Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk
Monteiro, Andre
;
Smirnov, Georgi V.
;
Lucas, Andre
-
Tinbergen Instituut
-
2006
integral
equations defining the transition matrices, therefore showing that these empirical transition probabilities can be …
Persistent link: https://www.econbiz.de/10011255640
Saved in:
4
Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk
Monteiro, Andre
;
Smirnov, Georgi V.
;
Lucas, Andre
-
2006
integral
equations defining the transition matrices, therefore showing that these empirical transition probabilities can be …
Persistent link: https://www.econbiz.de/10010325348
Saved in:
5
Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk
Monteiro, Andre
;
Smirnov, Georgi V.
;
Lucas, Andre
-
Tinbergen Institute
-
2006
integral
equations defining the transition matrices, therefore showing that these empirical transition probabilities can be …
Persistent link: https://www.econbiz.de/10005450790
Saved in:
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