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Financial economics / Markov chain / Maximum likelihood / Stochastic volatility / Volatility / Credit default swap / Autoregressive conditional heteroskedasticity / Mathematical finance / Statistics / Mathematical sciences


Finance and Economics Discussion Series Divisions of Research & Statistics and Monetary Affairs Federal Reserve Board, Washington, D.C. Bayesian Estimation of Time-Changed Default Intensity Models
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Document Date: 2015-02-02 13:08:56

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File Size: 1,27 MB

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Washington / DC / Washington / D.C. / /

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Monte Carlo / Economics Discussion Series / /

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United States / /

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by-product / series solutions / online estimation / /

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CDX / /

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Federal Reserve Board / Board of Governors of the Federal Reserve System / Board of Governors / /

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Jim Marrone / Danny Kannell / Q. Unless / Henry Fingerhut / Bobak Moallemi / Pawel J. Szerszen / Danny Marts / Michael B. Gordy / /

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author / rt / model / /

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SMP algorithm / /

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