Extracting Information from Spot Interest Rates and Credit Ratings using Double Higher-Order Hidden Markov Models

Author: Siu Tak-Kuen   Ching Wai-Ki   Fung Eric   Ng Michael  

Publisher: Springer Publishing Company

ISSN: 0927-7099

Source: Computational Economics, Vol.26, Iss.3-4, 2005-11, pp. : 69-102

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Abstract