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Estimating structural bond pricing models via simulated maximum likelihood

Bruche, Max (2005) Estimating structural bond pricing models via simulated maximum likelihood. Financial Markets Group Discussion Papers (534). Financial Markets Group, The London School of Economics and Political Science, London, UK.

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This paper describes how structural bond pricing models can be estimated using a Simulated Maximum Likelihood procedure developed by Durbin and Koopman (1997). The approach has the advantage that price dated on any traded claim (such as bonds, equity, and credit default swaps), as well as information about the balance sheet (e.g. accounting data) can be used in the estimation, improving efficiency. Monte Carlo evidence as well as a small application to real data indicates that this approach is superior to both traditional estimation methods and recently proposed versions of Maximum Likelihood Estimation (Ericsson, Reneby 2002)

Item Type: Monograph (Discussion Paper)
Official URL:
Additional Information: © 2005 The Author
Divisions: Financial Markets Group
Subjects: H Social Sciences > HF Commerce
H Social Sciences > HG Finance
H Social Sciences > HB Economic Theory
JEL classification: E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E30 - General
Date Deposited: 29 Jul 2009 11:31
Last Modified: 16 May 2024 11:36

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