Modelling portfolio defaults using hidden Markov models with covariates
Konrad Banachewicz, André Lucas and Aad van der Vaart
| Year of publication: |
2008
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|---|---|
| Authors: | Banachewicz, Konrad ; Lucas, André ; Vaart, Aad W. van der |
| Published in: |
The econometrics journal. - Oxford : Oxford University Press, ISSN 1368-4221, ZDB-ID 1412265-0. - Vol. 11.2008, 1, p. 155-171
|
| Subject: | Markov-Kette | Markov chain | Portfolio-Management | Portfolio selection | Theorie | Theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003648671