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1
Pricing risky debts under a Markov-modudated Merton model with completely random measures
Lau, John W.
;
Siu, Tak Kuen
- In:
Computational economics
31
(
2008
)
3
,
pp. 255-288
Persistent link: https://www.econbiz.de/10003691910
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2
Modeling default data via an interactive hidden Markov model
Ching, Wai Ki
;
Siu, Tak Kuen
;
Li, Li-min
;
Li, Tang
;
Li, …
- In:
Computational economics
34
(
2009
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10003876947
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3
Discrete time non-homogeneous semi-markov reliability transition credit risk models and the default distribution functions
D'Amico, Guglielmo
;
Janssen, Jacques
;
Manca, Raimondo
- In:
Computational economics
38
(
2011
)
4
,
pp. 465-481
Persistent link: https://www.econbiz.de/10009356876
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4
Bayesian unit root test in double threshold heteroskedastic models
Chen, Cathy W. S.
;
Chen, Shu-yu
;
Lee, Sangyeol
- In:
Computational economics
42
(
2013
)
4
,
pp. 471-490
Persistent link: https://www.econbiz.de/10010249863
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5
A robust nNumerical scheme for pricing American options under regime switching based on penalty method
Zhang, K.
;
Teo, Kok Lay
;
Swartz, M.
- In:
Computational economics
43
(
2014
)
4
,
pp. 463-483
Persistent link: https://www.econbiz.de/10010396243
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6
Capturing the regime-switching and memory properties of interest rates
Xi, Xiaojing
;
Mamon, Rogemar
- In:
Computational economics
44
(
2014
)
3
,
pp. 307-337
Persistent link: https://www.econbiz.de/10010489078
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7
Accuracy, speed and robustness of policy function iteration
Richter, Alexander W.
;
Throckmorton, Nathaniel A.
; …
- In:
Computational economics
44
(
2014
)
4
,
pp. 445-476
Persistent link: https://www.econbiz.de/10010489870
Saved in:
8
A flexible markov chain approach for multivariate credit ratings
Fung, Eric S.
;
Siu, Tak Kuen
- In:
Computational economics
39
(
2012
)
2
,
pp. 135-143
Persistent link: https://www.econbiz.de/10009513179
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9
The performance of German firms in the business-related service sectors revisited : differential evolution Markov Chain estimation of the multinomial probit model
Kuiper, W. Erno
;
Cozijnsen, Anton J.
- In:
Computational economics
37
(
2011
)
4
,
pp. 331-362
Persistent link: https://www.econbiz.de/10009236463
Saved in:
10
Investigating the performance of non-gaussian stochastic intensity models in the calibration of credit default swap spreads
Bianchi, Michele Leonardo
;
Fabozzi, Frank J.
- In:
Computational economics
46
(
2015
)
2
,
pp. 243-273
Persistent link: https://www.econbiz.de/10011478467
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