06-024/2 - Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk

• Authors
  Andre Monteiro, Vrije Universiteit Amsterdam; Georgi V. Smirnov, University of Porto; Andre Lucas, Vrije Universiteit Amsterdam
• Publication date
  March 8, 2006

• Keywords
  Nonhomogeneous semi-Markov processes; transition matrix; Volterra integral equations; separability; credit risk
• JEL
  C13; C14; C33; C41; G11