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Extracting Information from Spot Interest Rates and Credit Ratings using Double Higher-Order Hidden Markov Models

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Author Info
Tak-Kuen Siu ()
Wai-Ki Ching ()
Eric Fung ()
Michael Ng ()

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File URL: http://hdl.handle.net/10.1007/s10614-006-9057-z
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Article provided by Springer in its journal Computational Economics.

Volume (Year): 29 (2007)
Issue (Month): 3 (May)
Pages: 425-425
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Handle: RePEc:kap:compec:v:29:y:2007:i:3:p:425-425

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  1. Stefan Gerlach & Matthew S. Yiu, 2004. "A Dynamic Factor Model for Current-Quarter Estimates of Economic Activity in Hong Kong," Working Papers 162004, Hong Kong Institute for Monetary Research. [Downloadable!]
  2. Gonzalo Camba-Mendez & George Kapetanios & Richard J. Smith & Martin Weale, 1999. "An Automatic Leading Indicator of Economic Activity: Forecasting GDP growth for European Countries," NIESR Discussion Papers 149, National Institute of Economic and Social Research. [Downloadable!]
    Other versions:
  3. Ang, Andrew & Bekaert, Geert, 2002. "Regime Switches in Interest Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 163-82, April.
    Other versions:
  4. Christian B. Mulder & Brieuc Montfort, 2000. "Using Credit Ratings for Capital Requirements on Lending to Emerging Market Economies - Possible Impact of a New Basel Accord," IMF Working Papers 00/69, International Monetary Fund.
  5. Anil Bangia & Francis X. Diebold & Til Schuermann, 2000. "Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing," Center for Financial Institutions Working Papers 00-26, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
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  6. Detemple, Jerome B, 1986. " Asset Pricing in a Production Economy with Incomplete Information," Journal of Finance, American Finance Association, vol. 41(2), pages 383-91, June. [Downloadable!] (restricted)
  7. Gerlach, Stefan, 2003. "Interpreting the term structure of interbank rates in Hong Kong," Pacific-Basin Finance Journal, Elsevier, vol. 11(5), pages 593-609, November. [Downloadable!] (restricted)
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  8. Duan, Jin-Chuan & Jacobs, Kris, 1996. "A simple long-memory equilibrium interest rate model," Economics Letters, Elsevier, vol. 53(3), pages 317-321, December. [Downloadable!] (restricted)
  9. Sargent, Thomas J, 1973. "Interest Rates and Prices in the Long Run: A Study of the Gibson Paradox," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 5(1), pages 385-449, Part II F. [Downloadable!] (restricted)
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  10. Jarrow, Robert A & Lando, David & Turnbull, Stuart M, 1997. "A Markov Model for the Term Structure of Credit Risk Spreads," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 10(2), pages 481-523.
  11. Nickell, Pamela & Perraudin, William & Varotto, Simone, 2000. "Stability of rating transitions," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 203-227, January. [Downloadable!] (restricted)
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  12. James H. Stock & Mark W. Watson, 1989. "New Indexes of Coincident and Leading Economic Indicators," NBER Chapters, in: NBER Macroeconomics Annual 1989, Volume 4, pages 351-409 National Bureau of Economic Research, Inc. [Downloadable!]
    Other versions:
  13. Thomas, Lyn C. & Allen, David E. & Morkel-Kingsbury, Nigel, 2002. "A hidden Markov chain model for the term structure of bond credit risk spreads," International Review of Financial Analysis, Elsevier, vol. 11(3), pages 311-329. [Downloadable!] (restricted)
  14. Shin-ichi Fukuda & Takashi Onodera, 2001. "A New Composite Index of Coincident Economic Indicators in Japan: How can we improve the forecast performance? ," CIRJE F-Series CIRJE-F-101, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
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