Modeling Credit Risk with Hidden Markov Default Intensity

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Computational Economics 2018 / 11

Modeling Credit Risk with Hidden Markov Default Intensity

Yu, Feng-Hui, Lu, Jiejun, Gu, Jia-Wen, Ching, Wai-Ki
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Language:
english
Journal:
Computational Economics
DOI:
10.1007/s10614-018-9869-7
Date:
November, 2018
File:
PDF, 578 KB
english, 2018
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