Market Microstructure Effects on Firm Default Risk Evaluation

Market Microstructure Effects on Firm Default Risk Evaluation

Default probability is a fundamental variable determining the credit worthiness of a firm and equity volatility estimation plays a key role in its evaluation. Assuming a structural credit risk modeling approach, we study the impact of choosing different non parametric equity volatility estimators on...

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Bibliographic Details
Main Authors: Flavia Barsotti, Simona Sanfelici
Format: Article
Language:English
Published: MDPI AG 2016-07-01
Series:Econometrics
Subjects:
structural models
default probability
stochastic volatility
jumps
non-parametric volatility estimation
high-frequency data
Online Access:http://www.mdpi.com/2225-1146/4/3/31

Internet

http://www.mdpi.com/2225-1146/4/3/31

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