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A Flexible Markov Chain Approach for Multivariate Credit Ratings

Author

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  • Eric Fung
  • Tak Siu

Abstract

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Suggested Citation

  • Eric Fung & Tak Siu, 2012. "A Flexible Markov Chain Approach for Multivariate Credit Ratings," Computational Economics, Springer;Society for Computational Economics, vol. 39(2), pages 135-143, February.
    • Handle: RePEc:kap:compec:v:39:y:2012:i:2:p:135-143
    DOI: 10.1007/s10614-011-9258-y
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    Cited by:

    1. João Nicolau & Flavio Riedlinger, 2015. "Estimation and inference in multivariate Markov chains," Statistical Papers, Springer, vol. 56(4), pages 1163-1173, November.
    2. Bruno Damásio & João Nicolau, 2020. "Time Inhomogeneous Multivariate Markov Chains: Detecting and Testing Multiple Structural Breaks Occurring at Unknown," Working Papers REM 2020/0136, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    3. Damásio, Bruno & Nicolau, João, 2024. "Time inhomogeneous multivariate Markov chains: Detecting and testing multiple structural breaks occurring at unknown dates," Chaos, Solitons & Fractals, Elsevier, vol. 180(C).

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