On a statistical analysis of implied data

DOI10.1007/S10690-010-9124-2zbMATH Open1274.91489OpenAlexW2028178267MaRDI QIDQ651380FDOQ651380

Authors: Hajime Takahashi 

Publication date: 13 December 2011

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-010-9124-2

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zbMATH Keywords

bootstrapasymptotic normalityconsistencydelta methodstatistical modelparametric modelpseudo maximum likelihood estimatorimplied default probability

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cites Work

• Bootstrap methods: another look at the jackknife
• Title not available (Why is that?)
• Title not available (Why is that?)
• Mathematical methods of statistics.
• Note on the Consistency of the Maximum Likelihood Estimate
• Martingales and stochastic integrals in the theory of continuous trading

Cited In (4)

• Nonparametric estimation of the probability of default with double smoothing
• Measuring of inferred loss rate with application to capital adequacy
• On the Performance of Recovery Rate Modeling
• Implied default probability and credit derivatives

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