Estimating the structural credit risk model when equity prices are contaminated by trading noises (Q302203): Difference between revisions

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@@ Property / Mathematics Subject Classification ID: 62P05 / rank @@
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@@ Property / Mathematics Subject Classification ID: 91G40 / rank @@
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+6600718
@@ Property / zbMATH DE Number: 6600718 / rank @@
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+particle filtering
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+Normal rank
@@ Property / zbMATH Keywords @@
+maximum likelihood
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@@ Property / zbMATH Keywords @@
+option pricing
@@ Property / zbMATH Keywords: option pricing / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+credit risk
@@ Property / zbMATH Keywords: credit risk / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+microstructure
@@ Property / zbMATH Keywords: microstructure / rank @@
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+https://doi.org/10.1016/j.jeconom.2008.12.003
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+W2159664368
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@@ Property / cites work @@
+A Tale of Two Time Scales
@@ Property / cites work: A Tale of Two Time Scales / rank @@
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@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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@@ Property / cites work @@
+MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT
+Normal rank
@@ Property / cites work @@
+A framework for valuing corporate securities
@@ Property / cites work: A framework for valuing corporate securities / rank @@
+Normal rank
@@ Property / cites work @@
+Econometric specification of stochastic discount factor models
+Normal rank
@@ Property / cites work @@
+Filtering via Simulation: Auxiliary Particle Filters
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:302203