Showing 1 - 5 of 5
The problem of robust estimation and multivariate outlier detection of the term structure of default intensity is considered. Both the multivariate Vasicek and CIR models, embedding the Kalman filter algorithm in a forward search context, are used to estimate default intensity. The focus is not...
Persistent link: https://www.econbiz.de/10013087374
Persistent link: https://www.econbiz.de/10001245344
Persistent link: https://www.econbiz.de/10003800747
Persistent link: https://www.econbiz.de/10009501796
Persistent link: https://www.econbiz.de/10012289398