Barsotti, Flavia; Sanfelici, Simona - Dipartimento di Scienze per l'Economia e l'Impresa, … - 2012
Equity returns and firm's default probability are strictly interrelated financial measures capturing the credit risk profile of a firm. Following the idea proposed in [20] we use high-frequency equity prices in order to estimate the volatility risk component of a firm within Merton [17]...