Extracting Information from Spot Interest Rates and Credit Ratings using Double Higher-Order Hidden Markov Models
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- Tak-Kuen Siu & Wai-Ki Ching & Eric Fung & Michael Ng, 2007. "Extracting Information from Spot Interest Rates and Credit Ratings using Double Higher-Order Hidden Markov Models," Computational Economics, Springer;Society for Computational Economics, vol. 29(3), pages 425-425, May.
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- repec:eee:ecmode:v:66:y:2017:i:c:p:223-232 is not listed on IDEAS
- Xi, Xiaojing & Mamon, Rogemar, 2011. "Parameter estimation of an asset price model driven by a weak hidden Markov chain," Economic Modelling, Elsevier, vol. 28(1-2), pages 36-46, January.
- Xi, Xiaojing & Mamon, Rogemar, 2011. "Parameter estimation of an asset price model driven by a weak hidden Markov chain," Economic Modelling, Elsevier, vol. 28(1), pages 36-46.
- Xiaojing Xi & Rogemar Mamon, 2014. "Capturing the Regime-Switching and Memory Properties of Interest Rates," Computational Economics, Springer;Society for Computational Economics, vol. 44(3), pages 307-337, October.
More about this item
Keywordsdouble higher-order hidden markov model; credit ratings; long range dependence; optimal hidden economic states; spot interest rates;
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