4.3 Article

Efficient estimation of transition rates between credit ratings from observations at discrete time points

相关参考文献

注意:仅列出部分参考文献,下载原文获取全部文献信息。
Article Computer Science, Interdisciplinary Applications

Fitting timeseries by continuous-time Markov chains: A quadratic programming approach

D. T. Crommelin et al.

JOURNAL OF COMPUTATIONAL PHYSICS (2006)

Article Statistics & Probability

Statistical inference for discretely observed Markov jump processes

M Bladt et al.

JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY (2005)

Article Business, Finance

Confidence sets for continuous-time rating transition probabilities

JHE Christensen et al.

JOURNAL OF BANKING & FINANCE (2004)

Article Business, Finance

Analyzing rating transitions and rating drift with continuous observations

D Lando et al.

JOURNAL OF BANKING & FINANCE (2002)