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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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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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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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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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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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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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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
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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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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
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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