Correction: Maximum Likelihood Estimation Using Price Data of the Derivative Contract (Mathematical Finance 1994, 4/2, 155–167)
By Jin-Chuan Duan. 2000
135 citations recorded by the source corpus.
Subfields: Finance
View Paper: https://www.semanticscholar.org/paper/36db5117f645b6c59ed42bd9425a27d4b64e701d
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In Finance
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Citations in the corpus
- Macroprudential capital requirements and systemic risk (2012, unknown): “We use the maximum likelihood estimator developed by Duan (1994, 2000) to estimate the market values of banks’ assets and their volatilities from stock price data.”
- Cross-Border Bank Contagion in Europe (2012, unknown): “Duan (1994, 2000), hence, corrects that in periods of increasing prices, the traditional approach tends to overestimate the default probability, while the opposite happens in period of decreasing prices.”
- Estimating Systemic Risk in the International Financial System (2005, unknown): “The approach has been applied by Ronn and Verma (1986), Jones, Mason, and Rosenfeld (1984), and Duan (1994).11 Using the estimation procedure in Duan (1994, 2000) and Duan et al. (2003), we use equity prices and balance sheet data from pre-crisis and post-crisis periods to infer the implied changes…”
- Multiperiod Corporate Default Prediction - A Forward Intensity Approach (2012, unknown): “(15) According to Merton’s model, the company’s bankruptcy probability at time t isN(−DTDt) where DTDt denotes distance-to-default and it is DTDt = ln(Vt/L) + ( − (2)/2)(T − t) √ T − t .”
- The Impact of Banking Sector Stability on the Real Economy (2013, methodology): “Estimation of the distance-to-defaults with equity market value Duan (1994, 2000) shows how to estimate the unobserved evolution of the asset value and its variance making use of the observed evolution of market capitalization.”
- Bank Risk and Deposit Insurance (2002, methodology): “In estimating the Duan (1994, 2000) deposit insurance premiums, I correct for missing data by accommodating the log-likelihood function in equation (6) accordingly.”