Estimating volatility in the Merton model : the KMV estimate is not maximum likelihood
Year of publication: |
2022
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Authors: | Christoffersen, Benjamin ; Lando, David ; Nielsen, Søren Feodor |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial economics. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1467-9965, ZDB-ID 1481288-5. - Vol. 32.2022, 4, p. 1214-1230
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Subject: | distance-to-default | EM-algorithm | KMV method | Merton model | Volatilität | Volatility | Schätztheorie | Estimation theory | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Schätzung | Estimation |
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