Extracting information from spot interest rates and credit ratings using double higher-order hidden Markov models

DOI10.1007/S10614-005-9010-6zbMATH Open1122.91365OpenAlexW2035540965MaRDI QIDQ2432014FDOQ2432014

Michael Ng, Wai-Ki Ching, Tak Kuen Siu, Eric S. Fung

Publication date: 25 October 2006

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10.1007/s10614-006-9057-z

zbMATH Keywords

long range dependencecredit ratingsdouble higher-order hidden Markov modeloptimal hidden economic statesspot interest rates

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

Cites Work

• Error bounds for convolutional codes and an asymptotically optimum decoding algorithm
• A multivariate Markov chain model for categorical data sequences and its applications in demand predictions
• Short rate nonlinearities and regime switches.
• A Model of Intertemporal Asset Prices Under Asymmetric Information
• A simple long-memory equilibrium interest rate model
• Learning, regime switches, and equilibrium asset pricing dynamics
• An automatic leading indicator of economic activity: forecasting GDP growth for European countries

Cited In (4)

• A high-order Markov-switching model for risk measurement
• Modeling default data via an interactive hidden Markov model
• Hidden Markov models with threshold effects and their applications to oil price forecasting
• Numerical methods for backward Markov chain driven Black-Scholes option pricing

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