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Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/272421
Description: Credit ratings and accounting-based Altman Z-scores are two important sources of information for assessing the creditworthiness of firms. In this paper we build a model based on a double hidden Markov ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/172293
Description: We introduce a class of stochastic volatility models whose parameters are modulated by a hidden nonlinear dynamical system. Our aim is to incorporate the impact of economic cycles, or business cycles, ... More
Reviewed: Reviewed
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