Modelling portfolio defaults using Hidden Markov Models with covariates

K.P. Banachewicz, A.W. van der Vaart, A. Lucas

Research output: Working paperProfessional

Original languageEnglish
Place of PublicationAmsterdam
PublisherTinbergen Instituut (TI)
Publication statusPublished - 2006

Publication series

NameTI Discussion Paper
No.06-94/2

Cite this

Banachewicz, K. P., van der Vaart, A. W., & Lucas, A. (2006). Modelling portfolio defaults using Hidden Markov Models with covariates. (TI Discussion Paper; No. 06-94/2). Amsterdam: Tinbergen Instituut (TI).
Banachewicz, K.P. ; van der Vaart, A.W. ; Lucas, A. / Modelling portfolio defaults using Hidden Markov Models with covariates. Amsterdam : Tinbergen Instituut (TI), 2006. (TI Discussion Paper; 06-94/2).
@techreport{0726ad8b8bb14a908f7f30cc93de1e1b,
title = "Modelling portfolio defaults using Hidden Markov Models with covariates",
author = "K.P. Banachewicz and {van der Vaart}, A.W. and A. Lucas",
year = "2006",
language = "English",
series = "TI Discussion Paper",
publisher = "Tinbergen Instituut (TI)",
number = "06-94/2",
type = "WorkingPaper",
institution = "Tinbergen Instituut (TI)",

}

Banachewicz, KP, van der Vaart, AW & Lucas, A 2006 'Modelling portfolio defaults using Hidden Markov Models with covariates' TI Discussion Paper, no. 06-94/2, Tinbergen Instituut (TI), Amsterdam.

Modelling portfolio defaults using Hidden Markov Models with covariates. / Banachewicz, K.P.; van der Vaart, A.W.; Lucas, A.

Amsterdam : Tinbergen Instituut (TI), 2006. (TI Discussion Paper; No. 06-94/2).

Research output: Working paperProfessional

TY - UNPB

T1 - Modelling portfolio defaults using Hidden Markov Models with covariates

AU - Banachewicz, K.P.

AU - van der Vaart, A.W.

AU - Lucas, A.

PY - 2006

Y1 - 2006

M3 - Working paper

T3 - TI Discussion Paper

BT - Modelling portfolio defaults using Hidden Markov Models with covariates

PB - Tinbergen Instituut (TI)

CY - Amsterdam

ER -

Banachewicz KP, van der Vaart AW, Lucas A. Modelling portfolio defaults using Hidden Markov Models with covariates. Amsterdam: Tinbergen Instituut (TI). 2006. (TI Discussion Paper; 06-94/2).