Interacting default intensity with a hidden Markov process

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Quantitative Finance 2016 / 11

Interacting default intensity with a hidden Markov process

Yu, Feng-Hui, Ching, Wai-Ki, Gu, Jia-Wen, Siu, Tak-Kuen
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Language:
english
Journal:
Quantitative Finance
DOI:
10.1080/14697688.2016.1237036
Date:
November, 2016
File:
PDF, 630 KB
english, 2016
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