Extracting Information from Spot Interest Rates and credit Ratings Using Double Higher-Order Hidden Marcov Models

Tak Kuen Siu, W. K. Ching, E. S. Fung, M. K. Ng

Research output: Contribution to journalArticle

Original languageEnglish
Pages (from-to)251-284
Number of pages34
JournalComputational Economics
Volume26
Publication statusPublished - 2005

Cite this

Siu, Tak Kuen ; Ching, W. K. ; Fung, E. S. ; Ng, M. K. / Extracting Information from Spot Interest Rates and credit Ratings Using Double Higher-Order Hidden Marcov Models. In: Computational Economics. 2005 ; Vol. 26. pp. 251-284.
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title = "Extracting Information from Spot Interest Rates and credit Ratings Using Double Higher-Order Hidden Marcov Models",
author = "Siu, {Tak Kuen} and Ching, {W. K.} and Fung, {E. S.} and Ng, {M. K.}",
year = "2005",
language = "English",
volume = "26",
pages = "251--284",
journal = "Computational Economics",
issn = "0927-7099",
publisher = "Springer",

}

Extracting Information from Spot Interest Rates and credit Ratings Using Double Higher-Order Hidden Marcov Models. / Siu, Tak Kuen; Ching, W. K.; Fung, E. S.; Ng, M. K.

In: Computational Economics, Vol. 26, 2005, p. 251-284.

Research output: Contribution to journalArticle

TY - JOUR

T1 - Extracting Information from Spot Interest Rates and credit Ratings Using Double Higher-Order Hidden Marcov Models

AU - Siu, Tak Kuen

AU - Ching, W. K.

AU - Fung, E. S.

AU - Ng, M. K.

PY - 2005

Y1 - 2005

M3 - Article

VL - 26

SP - 251

EP - 284

JO - Computational Economics

JF - Computational Economics

SN - 0927-7099

ER -