Research on Financial Default Model with Stochastic Intensity Using Filtered Likelihood Method

Research on Financial Default Model with Stochastic Intensity Using Filtered Likelihood Method

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...

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Bibliographic Details
Main Authors: Xiangdong Liu, Jiahui Wu, Xianglong Li
Format: Article
Language:English
Published: MDPI AG 2023-07-01
Series:Mathematics
Subjects:
incomplete observable data
financial default markets
marked point process
self-exciting process
filtered likelihood method
Online Access:https://www.mdpi.com/2227-7390/11/14/3061

Internet

https://www.mdpi.com/2227-7390/11/14/3061

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