Extracting Information from Spot Interest Rates and Credit Ratings using Double Higher-Order Hidden Markov Models
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- repec:eee:ecmode:v:66:y:2017:i:c:p:223-232 is not listed on IDEAS
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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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