Modeling Default Data Via an Interactive Hidden Markov Model-Reference-Cited by-同舟云学术

Modeling Default Data Via an Interactive Hidden Markov Model

Published:2009-06-12 Issue:1 Volume:34 Page:1-19
ISSN:0927-7099
Container-title:Computational Economics
language:en
Short-container-title:Comput Econ

Author:

Ching Wai-Ki,Siu Tak Kuen,Li Li-min,Li Tang,Li Wai-Keung

Publisher

Springer Science and Business Media LLC

Subject

Computer Science Applications,Economics, Econometrics and Finance (miscellaneous)

Link

http://link.springer.com/content/pdf/10.1007/s10614-009-9183-5.pdf

Reference16 articles.

1. Ching, W., & Ng, M. (2006). Markov chains : Models, algorithms and applications. International Series on Operations Research and Management Science. New York: Springer.

2. Ching W., Ng M., Wong K. (2004) Hidden Markov model and its applications in customer relationship management. IMA Journal of Management Mathematics 15: 13–24

3. Ching W., Fung E., Ng M., Siu T., Li W. (2007) Interactive hidden Markov models and their applications. IMA Journal of Management Mathematics 18: 85–97

4. Davis M., Lo V. (1999) Infectious defaults. Quantitative Finance 1: 382–387

5. Davis M., Lo V. (2001) Modeling default correlation in bond portfolio. In: Alescander C. (eds) Mastering risk vol. 2: Applications. Prentice Hall, Financial Times, pp 141–151

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