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

Hambuckers J, Kneib T, Langrock R, Sohn A (2018)
Quantitative Finance 18(10): 1679-1698.

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Zeitschriftenaufsatz | Veröffentlicht | Englisch
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Zeitschriftentitel
Quantitative Finance
Band
18
Zeitschriftennummer
10
Seite
1679-1698
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Hambuckers J, Kneib T, Langrock R, Sohn A. A Markov-switching generalized additive model for compound Poisson processes, with applications to operational losses models. Quantitative Finance. 2018;18(10):1679-1698.
Hambuckers, J., Kneib, T., Langrock, R., & Sohn, A. (2018). A Markov-switching generalized additive model for compound Poisson processes, with applications to operational losses models. Quantitative Finance, 18(10), 1679-1698. doi:10.1080/14697688.2017.1417625
Hambuckers, J., Kneib, T., Langrock, R., and Sohn, A. (2018). A Markov-switching generalized additive model for compound Poisson processes, with applications to operational losses models. Quantitative Finance 18, 1679-1698.
Hambuckers, J., et al., 2018. A Markov-switching generalized additive model for compound Poisson processes, with applications to operational losses models. Quantitative Finance, 18(10), p 1679-1698.
J. Hambuckers, et al., “A Markov-switching generalized additive model for compound Poisson processes, with applications to operational losses models”, Quantitative Finance, vol. 18, 2018, pp. 1679-1698.
Hambuckers, J., Kneib, T., Langrock, R., Sohn, A.: A Markov-switching generalized additive model for compound Poisson processes, with applications to operational losses models. Quantitative Finance. 18, 1679-1698 (2018).
Hambuckers, Julien, Kneib, Thomas, Langrock, Roland, and Sohn, Alexander. “A Markov-switching generalized additive model for compound Poisson processes, with applications to operational losses models”. Quantitative Finance 18.10 (2018): 1679-1698.