Duan, Jin-Chuan; Fulop, Andras - Közgazdaság-tudományi Intézet, Közgazdaság- és … - 2005
The transformed-data maximum likelihood estimation (MLE) method for struc- tural credit risk models developed by Duan (1994) is extended to account for the fact that observed equity prices may have been contaminated by trading noises. With the presence of trading noises, the likelihood function...
