Gourieroux, Christian; Monfort, Alain - Centre de Recherche en Économie et Statistique … - 2006
In this paper, we explain why a nonparametric approach based on a betakernel [Renault, Scaillet (2004)] will lead to significant bias when appliedto recovery rate distributions. This is due to a specific feature of thesedistributions, which admit strictly positive weights at 100 %...