✦ LIBER ✦

Modelling Portfolio Defaults Using Hidden Markov Models with Covariates

✍ Scribed by Konrad Banachewicz; André Lucas; Aad Van Der Vaart

Book ID: 110880075
Publisher: John Wiley and Sons
Year: 2008
Tongue: English
Weight: 155 KB
Volume: 11
Category: Article
ISSN: 1368-4221
DOI: 10.1111/j.1368-423x.2008.00232.x

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Tree-Based Covariance Modeling of Hidden

Tree-Based Covariance Modeling of Hidden Markov Models

✍ Ye Tian; Jian-Lai Zhou; Hui Lin; Hui Jiang 📂 Article 📅 2006 🏛 Institute of Electrical and Electronics Engineers 🌐 English ⚖ 583 KB

Portfolio selection with imperfect infor

Portfolio selection with imperfect information: A hidden Markov model

✍ Ethem Çanakoğlu; Süleyman Özekici 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 223 KB

## Abstract We consider a utility‐based portfolio selection problem, where the parameters change according to a Markovian market that cannot be observed perfectly. The market consists of a riskless and many risky assets whose returns depend on the state of the unobserved market process. The states

Modeling default risk via a hidden Marko

Modeling default risk via a hidden Markov model of multiple sequences

✍ Ching, Wai-Ki ;Leung, Ho-Yin ;Wu, Zhenyu ;Jiang, Hao 📂 Article 📅 2010 🏛 Higher Education Press and Springer 🌐 English ⚖ 275 KB

Denoising and recognition using hidden M

Denoising and recognition using hidden Markov models with observation distributions modeled by hidden Markov trees

✍ Diego H. Milone; Leandro E. Di Persia; María E. Torres 📂 Article 📅 2010 🏛 Elsevier Science 🌐 English ⚖ 593 KB

Earthquake Forecasting Using Hidden Mark

Earthquake Forecasting Using Hidden Markov Models

✍ Daniel W. Chambers; Jenny A. Baglivo; John E. Ebel; Alan L. Kafka 📂 Article 📅 2011 🏛 Springer 🌐 English ⚖ 518 KB

Multiuser Detection Using Hidden Markov

Multiuser Detection Using Hidden Markov Model

✍ Fangjiong Chen; Sam Kwong 📂 Article 📅 2009 🏛 IEEE 🌐 English ⚖ 567 KB