A hidden Markov reduced-form risk model

Jia-Wen Gu, Wai-Ki Ching, Harry Zheng. A hidden Markov reduced-form risk model. In IEEE Conference on Computational Intelligence for Financial Engineering & Economics, CIFEr 2014, London, UK, March 27-28, 2014. pages 190-196, IEEE, 2014. [doi]

Authors

Jia-Wen Gu

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Wai-Ki Ching

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Harry Zheng

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