Firm-specific credit risk estimation in the presence of regimes and noisy prices
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DOI: 10.1016/j.frl.2017.08.005
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References listed on IDEAS
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Cited by:
- Kim, Sung Ik, 2023. "A comparative study of firm value models: Default risk of corporate bonds," Finance Research Letters, Elsevier, vol. 56(C).
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More about this item
Keywords
Credit risk; Maximum likelihood estimation; Regime-switching; Filtering; Noisy prices;All these keywords.
JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G01 - Financial Economics - - General - - - Financial Crises
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