Open AccessDoes the GARCH Structural Credit Risk Model Make a Difference?
Author(s) -
Xisong Jin,
Thorsten Lehnert,
Francisco Nadal De Simone
Publication year - 2011
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.1912792
Subject(s) - autoregressive conditional heteroskedasticity , credit risk , econometrics , actuarial science , business , economics , financial economics , volatility (finance)
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