Estimation and Forecasting of Sovereign Credit Rating Migration Based on Regime Switching Markov Chain

Estimation and Forecasting of Sovereign Credit Rating Migration Based on Regime Switching Markov Chain

Our research aims to develop the regime switching Markov chain (RSMC), a discrete time Markov chain whose underlying regime is depending on a hidden Markov model, which express the dynamics of sovereign credit rating migration. Estimated based on a version of the Expectation-Maximization algorithm,...

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Bibliographic Details
Main Authors: Sung Youl Oh, Jae Wook Song, Woojin Chang, Minhyuk Lee
Format: Article
Language:English
Published: IEEE 2019-01-01
Series:IEEE Access
Subjects:
Credit migration
economic forecasting
hidden Markov models
Markov processes
regime switching
sovereign credit rating
Online Access:https://ieeexplore.ieee.org/document/8794496/

Internet

https://ieeexplore.ieee.org/document/8794496/

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