A hidden Markov chain model for the term structure of bond credit risk spreads /
Thomas, L. C.
Allen, David E.
Morkel-Kingsbury, Nigel.
University of Edinburgh.Centre for Financial Markets Research.
Edinburgh : University of Edinburgh, Centre for Financial Markets Research, Management School,
1998.
Includes bibliographical references.
Bonds
Capital assets pricing models.
Risk
Markov processes.