Firm-specific credit risk estimation in the presence of regimes and noisy prices
Jean-François Bégin, Mathieu Boudreault, Geneviève Gauthier
| Year of publication: |
November 2017
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|---|---|
| Authors: | Bégin, Jean-François ; Boudreault, Mathieu ; Gauthier, Geneviève |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 23.2017, p. 306-313
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| Subject: | Credit risk | Maximum likelihood estimation | Regime-switching | Filtering | Noisy prices | Kreditrisiko | Maximum-Likelihood-Schätzung | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2017.08.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011808423