Estimating structural credit risk models when market prices are contaminated with noise (Q4628717)
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scientific article; zbMATH DE number 7036572
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English | Estimating structural credit risk models when market prices are contaminated with noise |
scientific article; zbMATH DE number 7036572 |
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Estimating structural credit risk models when market prices are contaminated with noise (English)
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15 March 2019
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Black-Cox model
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stock market noise
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cross-asset class research
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particle-filter algorithm
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sampling-importance-resampling (SIR)
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generalized Gibbs sampling
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