Equity returns and fi rm's default probability are strictly interrelated financial measures capturing the credit risk profi le of a fi rm. Following the idea proposed in [20] we use high-frequency equity prices in order to estimate the volatility risk component of a fi rm within Merton [17]...

Default probability is a fundamental variable determining the credit worthiness of a firm and equity volatility estimation plays a key role in its evaluation. Assuming a structural credit risk modeling approach, we study the impact of choosing different non parametric equity volatility...

We present a methodology based on Fourier series analysis to compute time series volatility when the data are observations of a semimartingale. The procedure is not based on the Wiener theorem for the quadratic variation, but on the computation of the Fourier coefficients of the process and...

We obtain the link between the Laplace transform of the price process and that of the volatility process in the context of a Brownian semi-martingale model. Relying on this result, we build a new nonparametric estimator of the instantaneous volatility which efficiently reconstructs the...

We define a new consistent estimator of the integrated volatility of volatility based only on a pre-estimation of the Fourier coefficients of the volatility process. We investigate the finite sample properties of the estimator in the presence of noise contamination by computing the bias of the...