Estimation in the continuous time mover-stayer model with an application to bond ratings migration

DOI10.1002/ASMB.531zbMath1063.91031OpenAlexW3123625224MaRDI QIDQ4676863

Ashay Kadam, Halina Frydman

Publication date: 20 May 2005

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: http://archive.nyu.edu/handle/2451/26326

zbMATH Keywords

Markov chain

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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