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

DOI10.1016/J.JECONOM.2008.12.003MaRDI QIDQ302203zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

maximum likelihoodoption pricingparticle filteringcredit riskmicrostructure

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(20)

• Simulation-based estimation methods for financial time series models
• Microstructure models with short-term inertia and stochastic volatility
• PDE-based Bayesian inference of CEV dynamics for credit risk in stock prices
• 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
• Are financial ratios relevant for trading credit risk? Evidence from the CDS market
• Firm's volatility risk under microstructure noise
• Estimating structural credit risk models when market prices are contaminated with noise
• Bayesian analysis of structural credit risk models with microstructure noises
• Local-momentum autoregression and the modeling of interest rate term structure
• Sequential Monte Carlo optimization and statistical inference
• Estimating volatility in the Merton model: The KMV estimate is not maximum likelihood
• Simulated likelihood inference for stochastic volatility models using continuous particle filtering
• Efficient learning via simulation: a marginalized resample-move approach
• Maximum likelihood estimation of partially observed diffusion models
• Recovering default risk from CDS spreads with a nonlinear filter
• 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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