Journal of Applied Econometrics, Vol. 17, No. 5, Special Issue: Modelling and Forecasting Financial Volatility (Sep. - Oct., 2002), pp. 509-534 (26 pages) Theoretical and practical interest in ...
The challenge of using small sample sizes for operational risk capital models fitted via maximum likelihood estimation is well recognized, yet the literature generally provides warning examples rather ...
Nonparametric identification and maximum likelihood estimation for finite-state hidden Markov models are investigated. We obtain identification of the parameters as well as the order of the Markov ...
Maximum likelihood estimation of the parameters of a statistical model involves maximizing the likelihood or, equivalently, the log likelihood with respect to the parameters. The parameter values at ...
In the process of loan pricing, stress testing, capital allocation, modeling of probability of default (PD) term structure and International Financial Reporting Standard 9 expected credit loss ...
Identify characteristics of “good” estimators and be able to compare competing estimators. Construct sound estimators using the techniques of maximum likelihood and method of moments estimation.
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