Modelling portfolio defaults using Hidden Markov Models with covariates

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

Research output: Working paperProfessional

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

Publication series

NameTI Discussion Paper
No.06-94/2

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