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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
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