Modelling Portfolio Defaults Using Hidden Markov Models with Covariates

DOI10.1111/J.1368-423X.2008.00232.XMaRDI QIDQ3499433zbMATH OpenOpenAlexFDO

Authors Konrad Banachewicz, André Lucas, Aad van der Vaart

Publication date 29 May 2008

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1368-423x.2008.00232.x

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

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Cites work

• Analysis of default data using hidden Markov models

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