Microinformation, nonlinear filtering, and granularity

Journal of Financial Econometrics

Volumn 10, Issue 1, 2012, Pages 1-53

  Gagliardini, Patrick ^a   Gouriéroux, Christian ^b,c   Monfort, Alain ^d,e  

^a UNIVERSITY OF LUGANO   (Switzerland)

^b CREST   (France)

^c UNIVERSITY OF TORONTO   (Canada)

^d BANQUE DE FRANCE   (France)

^e MAASTRICHT UNIVERSITY   (Netherlands)

Author keywords

Credit risk; Granularity; Kalman filter; Loss given default; Nonlinear state space; Value at risk

Indexed keywords

EID: 84855407558     PISSN: 14798409     EISSN: 14798417     Source Type: Journal    
DOI: 10.1093/jjfinec/nbr010     Document Type: Article

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