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Modelling Portfolio Defaults Using Hidden Markov Models with Covariates

Banachewicz, Konrad Et al.

Modelling Portfolio Defaults Using Hidden Markov Models with Covariates 2008 - 2008 - 155-171 V. 11 Issue. 1

Subjects--Topical Terms:
Econometrics

Subjects--Index Terms: Defaults;Markov switching;Default regimes;EM algorithm;Covariates;

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