Estimating the structural credit risk model when equity prices are contaminated by trading noises
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Publication:302203
DOI10.1016/J.JECONOM.2008.12.003zbMATH Open1429.62466OpenAlexW2159664368MaRDI QIDQ302203FDOQ302203
Authors: Jin-Chuan Duan, Andras Fulop 
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
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Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)
Cites Work
- The pricing of options and corporate liabilities
- Econometric specification of stochastic discount factor models
- Filtering via Simulation: Auxiliary Particle Filters
- A Tale of Two Time Scales
- MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT
- A framework for valuing corporate securities
Cited In (20)
- Simulation-based estimation methods for financial time series models
- PDE-based Bayesian inference of CEV dynamics for credit risk in stock prices
- Microstructure models with short-term inertia and stochastic volatility
- Particle filters for continuous likelihood evaluation and maximisation
- Volatility forecasting using stochastic conditional range model with leverage effect
- Corporate credit risk prediction under stochastic volatility and jumps
- Pricing equity warrants with a promised lowest price in Merton's jump-diffusion model
- Firm's volatility risk under microstructure noise
- Are financial ratios relevant for trading credit risk? Evidence from the CDS market
- Estimating structural credit risk models when market prices are contaminated with noise
- Bayesian analysis of structural credit risk models with microstructure noises
- Sequential Monte Carlo optimization and statistical inference
- Estimating volatility in the Merton model: The KMV estimate is not maximum likelihood
- Local-momentum autoregression and the modeling of interest rate term structure
- Simulated likelihood inference for stochastic volatility models using continuous particle filtering
- Efficient learning via simulation: a marginalized resample-move approach
- Recovering default risk from CDS spreads with a nonlinear filter
- Maximum likelihood estimation of partially observed diffusion models
- Estimation of correlations in portfolio credit risk models based on noisy security prices
- Maximum likelihood estimation of first-passage structural credit risk models correcting for the survivorship bias
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