Similar Search Results

Estimating the Structural Credit Risk Model When Equity Prices Are Contaminated by Trading Noises

Duan, Jin-Chuan; Fulop, Andras - ESSEC Business School - 2006

The transformed-data maximum likelihood estimation (MLE) method for structural credit risk models developed by Duan … nonlinear filtering scheme. We devise a particle filtering algorithm that is practical for conducting the MLE estimation of the … liquidity proxies. A simulation study is then conducted to ascertain the performance of the estimation method. …

Persistent link: https://www.econbiz.de/10005021638

Scheduling processes and inference of scheduled events from price data

Leippold, Markus; Svaton, Michal - 2024

Persistent link: https://www.econbiz.de/10014486795

Estimating the Structural Credit Risk Model When Equity Prices Are Contaminated by Trading Noises

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 … nonlinear filtering scheme. We devise a particle filtering algorithm that is practical for conducting the MLE estimation of the … simulation study is then conducted to ascertain the performance of the estimation method. …

Persistent link: https://www.econbiz.de/10005404531

Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility

Kim, Ha-Young; Viens, Frederi - In: Annals of Finance 8 (2012) 2, pp. 405-425

Persistent link: https://www.econbiz.de/10010866543

Estimating Macroeconomic Models: A Likelihood Approach

Fernández-Villaverde, Jesús; Rubio-Ramírez, Juan … - C.E.P.R. Discussion Papers - 2006

This paper shows how particle filtering allows us to undertake likelihood-based inference in dynamic macroeconomic models. The models can be nonlinear and/or non-normal. We describe how to use the output from the particle filter to estimate the structural parameters of the model, those...

Persistent link: https://www.econbiz.de/10005504323

Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices

Christoffersen, Peter; Jacobs, Kris; Mimouni, Karim - School of Economics and Management, University of Aarhus - 2007

Most recent empirical option valuation studies build on the affine square root (SQR) stochastic volatility model. The SQR model is a convenient choice, because it yields closed-form solutions for option prices. However, relatively little is known about the resulting biases. We investigate...

Persistent link: https://www.econbiz.de/10005787563

Realized stochastic volatility models with generalized Gegenbauer long memory

Asai, Manabu; McAleer, Michael; Peiris, Shelton - 2017

RSV-SLM model to three stock market indices. The estimation and forecasting results indicate the adequacy of considering …

Persistent link: https://www.econbiz.de/10011772999

Realized stochastic volatility with general asymmetry and long memory

Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - 2017 - Revised: April 2017

Basmann's seminal work in terms of the estimation of highly non-linear model specifications ("Causality tests and …

Persistent link: https://www.econbiz.de/10011636455

Persistence in the price-to-dividend ratio and its macroeconomic fundamentals : conference paper

Herwartz, Helmut; Rengel, Malte; Fang, Xu - 2013

Persistent variations in the log price-to-dividend ratio (PtDR) have triggered a lively discussion in the literature. This paper proposes a present value model incorporating this persistence through a time-varying steady state of the PtDR. Log-likelihood statistics confirm that the time-varying...

Persistent link: https://www.econbiz.de/10010340530

Self-exciting jumps in the oil market : bayesian estimation and dynamic hedging

Gonzato, Luca; Sgarra, Carlo - In: Energy economics 99 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10012939406