Estimating the structural credit risk model when equity prices are contaminated by trading noises

DOI10.1016/j.jeconom.2008.12.003zbMath1429.62466OpenAlexW2159664368MaRDI QIDQ302203

Andras Fulop, Jin-Chuan Duan

Publication date: 4 July 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.12.003

zbMATH Keywords

microstructureoption pricingmaximum likelihoodcredit riskparticle filtering

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

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Cites Work

• The Pricing of Options and Corporate Liabilities
• Econometric specification of stochastic discount factor models
• MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT
• Filtering via Simulation: Auxiliary Particle Filters
• A framework for valuing corporate securities
• A Tale of Two Time Scales

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