On a statistical analysis of implied data
From MaRDI portal
Publication:651380
DOI10.1007/s10690-010-9124-2zbMath1274.91489MaRDI QIDQ651380
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
bootstrap; consistency; asymptotic normality; statistical model; parametric model; delta method; pseudo maximum likelihood estimator; implied default probability
91G70: Statistical methods; risk measures
Cites Work