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Extracting Information from Spot Interest Rates and Credit Ratings using Double Higher-Order Hidden Markov Models
Siu, Tak-Kuen; Ching, Wai-Ki; Fung, Eric S.; Ng, Michael K. - In: Computational economics 29 (2007) 3, pp. 425-426
Persistent link: https://www.econbiz.de/10007721057
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Extracting Information from Spot Interest Rates and Credit Ratings using Double Higher-Order Hidden Markov Models
Siu, Tak-Kuen; Ching, Wai-Ki; Fung, Eric S.; Ng, Michael K. - In: Computational economics 26 (2005) 3, pp. 69-102
Persistent link: https://www.econbiz.de/10007020919
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Modeling default data via an interactive hidden Markov model
Ching, Wai Ki; Siu, Tak Kuen; Li, Li-min; Li, Tang; Li, … - In: Computational economics 34 (2009) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10003876947
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On modeling economic default time : a reduced-form model approach
Gu, Jia-Wen; Jiang, Bo; Ching, Wai Ki; Zheng, Harry - In: Computational economics 47 (2016) 2, pp. 157-177
Persistent link: https://www.econbiz.de/10011712314
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Modeling credit risk with hidden Markov default intensity
Yu, Feng-Hui; Lu, Jiejun; Gu, Jia-Wen; Ching, Wai Ki - In: Computational economics 54 (2019) 3, pp. 1213-1229
Persistent link: https://www.econbiz.de/10012134519
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On optimal pricing model for multiple dealers in a competitive market
Yang, Qing-Qing; Gu, Jia-Wen; Ching, Wai Ki; Siu, Tak Kuen - In: Computational economics 53 (2019) 1, pp. 397-431
Persistent link: https://www.econbiz.de/10012134689
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Option pricing under a stochastic interest rate and volatility model with hidden Markovian regime-switching
Zhu, Dong-Mei; Lu, Jiejun; Ching, Wai Ki; Siu, Tak Kuen - In: Computational economics 53 (2019) 2, pp. 555-586
Persistent link: https://www.econbiz.de/10012134818