A Markov-switching generalized additive model for compound Poisson processes, with applications to operational loss models

A Markov-switching generalized additive model for compound Poisson processes, with applications to operational loss models. Hambuckers, J., Kneib, T., Langrock, R., & Silbersdorff, A. Quantitative Finance, 18(10):1679–1698, 2018.

Paper doi bibtex

@article{Hambuckers2018Marcov-switching,
 author = {Hambuckers, Julien and Kneib, Thomas and Langrock, R. and Silbersdorff, A.},
 year = {2018},
 title = {A {M}arkov-switching generalized additive model for compound {P}oisson processes, with applications to operational loss models},
 url = {http://dx.doi.org/10.1080/14697688.2017.1417625},
 keywords = {postdoc;stat},
 pages = {1679--1698},
 volume = {18},
 number = {10},
 issn = {1469-7688},
 journal = {Quantitative Finance},
 doi = {10.1080/14697688.2017.1417625},
 howpublished = {refereed}
}

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