Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises

Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises

In this paper a Markov chain Monte Carlo (MCMC) technique is developed for the Bayesian analysis of structural credit risk models with microstructure noises. The technique is based on the general Bayesian approach with posterior computations performed by Gibbs sampling. Simulations from the Markov c...

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書目詳細資料
Main Authors:	HUANG, Shirley J., YU, Jun
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2009
主題:	MCMC Credit risk Microstructure noise Structural models Deviance information criterion Applied Statistics Econometrics Finance and Financial Management
在線閱讀:	https://ink.library.smu.edu.sg/soe_research/1154 https://ink.library.smu.edu.sg/context/soe_research/article/2153/viewcontent/Bayesian_Analysis_of_Structural_Credit_Risk_Models_2009_wp.pdf
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