Extracting Information from Spot Interest Rates and Credit Ratings using Double Higher-Order Hidden Markov Models

Issue Title: Advances in Asset Pricing and Dynamic Portfolio Decisions

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Bibliographic Details
Published in:Computational economics 2007-04, Vol.29 (3), p.425-425
Main Authors: Siu, Tak Kuen, Ng, Michael, Ching, Wai-Ki, Fung, Eric
Format: Article
Language:English
Subjects:
Credit ratings
Interest rates
Mathematics
Polytopes
Online Access:Get full text
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Description
Summary:Issue Title: Advances in Asset Pricing and Dynamic Portfolio Decisions
ISSN:0927-7099
1572-9974
DOI:10.1007/s10614-006-9057-z