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

DOI10.1007/S10614-005-9010-6MaRDI QIDQ2432014zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• A hidden Markov model of credit quality
• A dependent hidden Markov model of credit quality
• The Term Structure of Interest Rates in a Hidden Markov Setting
• Forecasting with non-homogeneous hidden Markov models
• Forecasting with non-homogeneous hidden Markov models

Cites work

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

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

This page was built for publication: Extracting information from spot interest rates and credit ratings using double higher-order hidden Markov models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2432014)