A Markov-switching generalized additive model for compound Poisson processes, with applications to operational loss models
2018 | journal article. A publication with affiliation to the University of Göttingen.
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A Markov-switching generalized additive model for compound Poisson processes, with applications to operational loss models
Hambuckers, J.; Kneib, T. ; Langrock, R. & Silbersdorff, A. (2018)
Quantitative Finance, 18(10) pp. 1679-1698. DOI: https://doi.org/10.1080/14697688.2017.1417625
