Rating transitions forecasting : a filtering approach
Areski Cousin, Jérǒme Lelong and Tom Picard
| Year of publication: |
2023
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|---|---|
| Authors: | Cousin, Areski ; Lelong, Jérõme ; Picard, Tom |
| Published in: |
International journal of theoretical and applied finance : IJTAF. - Singapore : World Scientific, ZDB-ID 2027376-9. - Vol. 26.2023, 2/3, Art.-No. 2350009, p. 1-53
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| Subject: | economic cycle | EM algorithms | filtering | Markov chain | Rating transitions | Markov-Kette | Konjunktur | Business cycle | Prognoseverfahren | Forecasting model | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Kreditwürdigkeit | Credit rating | Kreditrisiko | Credit risk | Systemtransformation | Economic transition | Zustandsraummodell | State space model | Algorithmus | Algorithm |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024923500097 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014365676