Boreiko, D. V.; Kaniovski, S. Y.; Kaniovski, Y. M.; Pflug, G. Ch. Identification of hidden Markov chains governing dependent credit-rating migrations. (English) Zbl 1508.91587 Commun. Stat., Theory Methods 48, No. 1, 75-87 (2019). MSC: 91G40 PDFBibTeX XMLCite \textit{D. V. Boreiko} et al., Commun. Stat., Theory Methods 48, No. 1, 75--87 (2019; Zbl 1508.91587) Full Text: DOI
Boreiko, Dmitri V.; Kaniovski, Yuri M.; Pflug, Georg Ch. Modeling of dependent credit rating transitions governed by industry-specific Markovian matrices. (English) Zbl 1376.91168 Doerner, Karl Franz (ed.) et al., Operations research proceedings 2015. Selected papers of the international conference of the German, Austrian and Swiss operations research societies (GOR, ÖGOR, SVOR/ASRO), University of Vienna, Austria, September 1–4, 2015. Cham: Springer (ISBN 978-3-319-42901-4/pbk; 978-3-319-42902-1/ebook). Operations Research Proceedings, 525-531 (2017). MSC: 91G40 PDFBibTeX XMLCite \textit{D. V. Boreiko} et al., Oper. Res. Proc. 2015, 525--531 (2017; Zbl 1376.91168) Full Text: DOI
Boreiko, D. V.; Kaniovski, Y. M.; Pflug, G. Ch. Modeling dependent credit rating transitions: a comparison of coupling schemes and empirical evidence. (English) Zbl 1358.90169 CEJOR, Cent. Eur. J. Oper. Res. 24, No. 4, 989-1007 (2016). MSC: 90C90 90C30 91G40 91G80 PDFBibTeX XMLCite \textit{D. V. Boreiko} et al., CEJOR, Cent. Eur. J. Oper. Res. 24, No. 4, 989--1007 (2016; Zbl 1358.90169) Full Text: DOI