Showing 1 - 10 of 469
Persistent link: https://www.econbiz.de/10011377526
Persistent link: https://www.econbiz.de/10009729949
Persistent link: https://www.econbiz.de/10011874781
Persistent link: https://www.econbiz.de/10014448097
Bayesian inference in a time series model provides exact, out-of-sample predictive distributions that fully and coherently incorporate parameter uncertainty. This study compares and evaluates Bayesian predictive distributions from alternative models, using as an illustration five alternative...
Persistent link: https://www.econbiz.de/10011605015
We consider a stochastic volatility model of the mean-reverting type to describe the evolution of a firm’s values instead of the classical approach by Merton with geometric Brownian motions. We develop an analytical expression for the default probability. Our simulation results indicate that...
Persistent link: https://www.econbiz.de/10011753195
Persistent link: https://www.econbiz.de/10009301116
Persistent link: https://www.econbiz.de/10009507857
Persistent link: https://www.econbiz.de/10009489609
Persistent link: https://www.econbiz.de/10011389699