Research on Financial Default Model with Stochastic Intensity Using Filtered Likelihood Method
Research on Financial Default Model with Stochastic Intensity Using Filtered Likelihood Method
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Basel: MDPI AG
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English
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Basel: MDPI AG
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This paper investigates the financial default model with stochastic intensity by incomplete data. On the strength of the process-designated point process, the likelihood function of the model in the parameter estimation can be decomposed into the factor likelihood term and event likelihood term. The event likelihood term can be successfully estimat...
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Full title
Research on Financial Default Model with Stochastic Intensity Using Filtered Likelihood Method
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TN_cdi_doaj_primary_oai_doaj_org_article_da25c1c83e7d49a3a445f3529d6fefe7
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_doaj_primary_oai_doaj_org_article_da25c1c83e7d49a3a445f3529d6fefe7
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ISSN
2227-7390
E-ISSN
2227-7390
DOI
10.3390/math11143061
