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

DOI10.1016/j.jeconom.2008.12.003zbMath1429.62466OpenAlexW2159664368MaRDI QIDQ302203

Andras Fulop, Jin-Chuan Duan

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

microstructureoption pricingmaximum likelihoodcredit riskparticle filtering

Mathematics Subject Classification ID

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

Related Items (15)

Pricing equity warrants with a promised lowest price in Merton's jump-diffusion model ⋮ Local-momentum autoregression and the modeling of interest rate term structure ⋮ Estimation of correlations in portfolio credit risk models based on noisy security prices ⋮ Firm’s Volatility Risk Under Microstructure Noise ⋮ Microstructure models with short-term inertia and stochastic volatility ⋮ Bayesian analysis of structural credit risk models with microstructure noises ⋮ Efficient learning via simulation: a marginalized resample-move approach ⋮ Simulated likelihood inference for stochastic volatility models using continuous particle filtering ⋮ Maximum likelihood estimation of partially observed diffusion models ⋮ Estimating structural credit risk models when market prices are contaminated with noise ⋮ Maximum likelihood estimation of first-passage structural credit risk models correcting for the survivorship bias ⋮ Corporate credit risk prediction under stochastic volatility and jumps ⋮ Recovering default risk from CDS spreads with a nonlinear filter ⋮ Particle filters for continuous likelihood evaluation and maximisation ⋮ Simulation-Based Estimation Methods for Financial Time Series Models

Cites Work

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

This page was built for publication: Estimating the structural credit risk model when equity prices are contaminated by trading noises