Market Microstructure Effects on Firm Default Risk Evaluation
Default probability is a fundamental variable determining the credit worthiness of a firm and equity volatility estimation plays a key role in its evaluation. Assuming a structural credit risk modeling approach, we study the impact of choosing different non parametric equity volatility estimators on...
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| Autori principali: | , |
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| Natura: | Artigo |
| Lingua: | Inglês |
| Pubblicazione: |
MDPI AG
2016-07-01
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| Serie: | Econometrics |
| Soggetti: | |
| Accesso online: | http://www.mdpi.com/2225-1146/4/3/31 |
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