Journal of the Royal Statistical Society. Series B (Statistical Methodology), Vol. 62, No. 1 (2000), pp. 57-75 (19 pages) Hidden Markov models form an extension of mixture models which provides a ...

Journal of Applied Econometrics, Vol. 20, No. 2, Recent Developments in Business Cycle Analysis (2005), pp. 253-274 (22 pages) The objective of this paper is to evaluate the effectiveness of using a ...

This paper develops an n-dimensional Markov-functional interest rate model, ie, a model driven by an n-dimensional state process and constructed using Markov functional techniques. It is shown that ...

In this paper we use Ching's multivariate Markov chain model to model the dependency of rating transitions of several credit entities. The model is an enhancement of the multivariate Markov chain ...