Quasi-maximum likelihood for estimating structural models

DOI10.1515/SNDE-2023-0052MaRDI QIDQ6905369zbMATH OpenFDO

Authors Malek Ben-Abdellatif, Hatem Ben-Ameur, Rim Chérif, Tarek Fakhfakh

Publication date 6 November 2025

Published in Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL https://www.ncbi.nlm.nih.gov/pmc/articles/12357169

zbMATH Keywords

credit-spread puzzleestimationjump-diffusion processesquasi-maximum likelihoodstructural model

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• A dynamic program for valuing corporate securities
• A structural approach to default modelling with pure jump processes
• Algorithm 909: NOMAD: nonlinear optimization with the MADS algorithm
• American-style options in jump-diffusion models: estimation and evaluation
• Bayesian analysis of structural credit risk models with microstructure noises
• Default prediction with the Merton-type structural model based on the NIG Lévy process
• Estimating default barriers from market information
• Estimating the structural credit risk model when equity prices are contaminated by trading noises
• Estimating volatility in the Merton model: The KMV estimate is not maximum likelihood
• Maximum likelihood estimation of first-passage structural credit risk models correcting for the survivorship bias
• MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT
• Mesh Adaptive Direct Search Algorithms for Constrained Optimization
• Pricing equity warrants in Merton jump-diffusion model with credit risk
• Specification analysis of structural credit risk models

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