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- Tue Mar 01, 2011 9:59 am
- Forum: Estimation
- Topic: ckls garch epd model
- Replies: 0
- Views: 1891
ckls garch epd model
Hi, i've read the paper "Tail Return of Bear Stearn's Credit Default Swaps" in which it is estimated with the Markov chain Monte Carlo (MCMC) algorithm a discretized ckls model for the CDS serie of Bear Stearns with a GARCH model (to capture conditional heteroschedasticy) and an exponentia...